Table A6.

Impact of unexpected monetary policy rate announcements.

	(1)	(2)	(3)	(4)
n =	0	3	0	3
Liquidity ratio	-0.581	-1.639*	-0.849	-0.968
	[0.399]	[0.869]	[0.538]	[1.011]
Oil exposure	-0.747*	-1.877**	-0.742	-1.616**
	[0.378]	[0.798]	[0.456]	[0.792]
Size	0.444	1.059	-0.114	0.799
	[0.373]	[0.783]	[0.512]	[0.889]
Public bank			1.729*	2.872*
			[0.929]	[1.637]
Capital ratio			0.379	0.245
			[0.303]	[0.553]
Constant	0.546*	-0.839	-0.084	-0.911
	[0.312]	[0.656]	[0.539]	[0.788]
Observations	89	88	61	60
R-squared	0.266	0.395	0.296	0.366

Notes: The table presents OLS estimates of cross-sectional regressions of the impact of financial sector policies on the abnormal returns of banks on announcement days (n = 0) and three days after the announcement (n = 3). Abnormal returns are calculated as the difference between realized returns and the expected returns implied by a market model. Liquidity ratio is defined as the ratio of liquid assets (cash & due from banks) to total assets averaged over the 2019Q1-2019Q4 period. Oil exposure corresponds to the slope coefficient of an OLS regression of bank's stock returns on a constant, the market return where the bank is domiciled, and the rate of return of oil prices using weekly data between May 2018 and December 2019. Size is calculated as the 2019Q1-2019Q4 average total assets for each bank and is reported in logs. Public bank is an indicator variable that equals one for banks with a non-zero equity participation from the domestic government and zero otherwise. Capital ratio corresponds to the 2019Q1-2019Q4 average ratio of Tier 1 + Tier 2 capital to total assets. All control variables are standardized with mean 0 and standard deviation 1. All specifications include day and country fixed effects and control for the daily number of COVID-19 cases in a country. Standard errors are clustered at the country level.