TY  - UNPD
A1  - Angeloni, Ignazio
A1  - Faia, Ester
A1  - Lo Duca, Marco
T1  - Monetary policy and risk taking : [draft january 2013]
T2  - SAFE working paper series ; No. 8
N2  - We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel - monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and tends to concentrate on the bank funding side. Then, to rationalize this evidence we build a macro model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk. In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.
T3  - SAFE working paper - 8 
KW  - bank runs
KW  - risk taking
KW  - monetary policy
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/29378
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-293785
UR  - http://ssrn.com/abstract=2230335
N1  - First draft: November 2009. This draft: January 2013
IS  - draft january 2013
PB  - Goethe-Univ., House of Finance, Sustainable Architecture for Finance in Europe, SAFE
CY  - Frankfurt am Main
ER  -