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Despite these drawbacks to the Z-score (the under- or over- estimation bias in the default probability due to the non- normality of the distribution of ROA), and regardless of the "true" distribution of ROA, the Z-score is a good proxy for bank risk since a decreasing Z-score translates to increasing bank fragility.
Below this threshold value, any interest rate cut increases bank fragility since a 1% decrease in the monetary rate when the Taylor gap is -18.98 basis points or lower, induces around a 0.19 unit decrease in the bank's Z-score.
Our findings confirm the existence of points in the deviation of the monetary rate from the Taylor rule, at which the effects of the monetary rate on bank fragility change.
An interest rate cut, rather than triggering bank fragility, fosters bank soundness if the interest rate is already close to the Taylor rule or if there is a restrictive monetary policy (positive Taylor gap).
Below these threshold values, any interest rate cut increases bank fragility since a 1% decrease in the monetary rate in the low interest regime, induces around a 0.51 unit decrease in the bank Z-score.
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