Polityka ujemnych nominalnych stóp procentowych a ryzyko systemowe – wybrane aspekty

Karol Rogowicz

doi:10.26354/bb.1.3.88.2022

Published : 2022-10-07

Vol. 88 No. 3 (2022)

Negative interest rates and systemic risk – selected problems

Karol Rogowicz

https://orcid.org/0000-0002-4288-1446

DOI: https://doi.org/10.26354/bb.1.3.88.2022

Abstract

In recent years some central banks have lowered their official policy rates below zero (implementing a so-called negative interest rate policy – NIRP). This has taken place during a period in which the prevailing view in the literature has been that a zero lower bound constrains nominal interest rates. The goal of this study is to assess whether NIRP has any impact – or, in principle, an impact stronger than that of conventional monetary policy – on systemic risk. The analysis presented in this article allows to conclude that uniqueness of NIRP’s impact may be characterized as arising from the evolution of the structure and intensity of impulse transmission while leaving the structure of the monetary policy transmission mechanism unaffected. Simultaneously, neither NIRP nor positive interest rates policy is not identified as systemic risk event but as a factor affecting the overall level of systemic risk.

Keywords:

monetary policy, systemic risk, contagion effect, negative interest rates, network analysis

JEL Codes

e40, E44, E52, E59

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Rogowicz, K. (2022). Negative interest rates and systemic risk – selected problems. Safe Bank, 88(3), 7–34. https://doi.org/10.26354/bb.1.3.88.2022

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