The risk-taking channel of monetary policy in the US : Evidence from corporate loan data
Delis, Manthos D.; Hasan, Iftekhar; Mylonidis, Nikolaos (07.08.2017)
Numero
18/2017Julkaisija
Bank of Finland
2017
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201708091482Tiivistelmä
To study the presence of a risk-taking channel in the US, we build a comprehensive dataset from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk-taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply-side driven only when using Taylor residuals and an ex ante measure of bank risk-taking. Our results highlight the sensitivity of the potency of the risk-taking channel to the measures of monetary policy innovations.
Julkaisuhuomautus
Published in Journal of Money, Credit and Banking, Volume 49, Issue 1
February 2017: 187–213
February 2017: 187–213