Monetary policy and risk taking : [draft december 2011]

We assess, through VAR evidence, the effects of monetary policy on banks’ risk exposure and find the presence of a risk-taking channel. A model combining fragile banks prone to risk mis-incentives and credit constrained 
We assess, through VAR evidence, the effects of monetary policy on banks’ risk exposure and find the presence of a risk-taking channel. A model combining fragile banks prone to risk mis-incentives and credit constrained firms, whose collateral fluctuations generate a balance sheet channel, is used to rationalize the evidence. A monetary expansion increases bank leverage. With two consequences: on the one side this exacerbates risk exposure; on the other, the risk spiral depresses output, therefore dampening the conventional amplification effect of the financial accelerator.
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Metadaten
Author:Ignazio Angeloni, Ester Faia, Marco Lo Duca
URN:urn:nbn:de:hebis:30:3-343217
URL:http://www.bruegel.org/publications/publication-detail/publication/380-monetary-policy-and-risk-taking/
Parent Title (German):Bruegel working paper ; 2010,00
Place of publication:Bruegel
Document Type:Working Paper
Language:English
Year of Completion:2010
Year of first Publication:2010
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2014/08/12
Tag:bank behavior; financial accelerator; leverage; monetary policy
Issue:This draft: December 2011
Pagenumber:46
Last Page:45
HeBIS PPN:347238181
Institutes:Wirtschaftswissenschaften
Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E5 Monetary Policy, Central Banking, and the Supply of Money and Credit
G2 Financial Institutions and Services
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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