Negative interest rates as systemic risk event

The goal of the paper is to assess whether the negative interest rate policy (NIRP) conducted by central banks contributes to higher market stress. To measure the risk level, we follow the methodology proposed by Hollo et al. (2012) and consider major segments of the market. However, as potential NIRP consequences are directly built up in the banks, we extend the original approach by implementing the balance sheet data from that sector. Our results suggest that the level of risk has gradually increased since the introduction of NIRP and primarily concerns the bond market and the banking sector.