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 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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| Author: | Ignazio AngeloniORCiDGND, Ester FaiaGND, 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 |
| Page Number: | 46 |
| Last Page: | 45 |
| HeBIS-PPN: | 347238181 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
