Monetary policy and risk taking : [draft january 2013]
- 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.
| Author: | Ignazio AngeloniORCiDGND, Ester FaiaGND, Marco Lo Duca |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-293785 |
| URL: | http://ssrn.com/abstract=2230335 |
| DOI: | https://doi.org/10.2139/ssrn.2230335 |
| Parent Title (German): | SAFE working paper series ; No. 8 |
| Series (Serial Number): | SAFE working paper (8) |
| Publisher: | Goethe-Univ., House of Finance, Sustainable Architecture for Finance in Europe, SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2013 |
| Year of first Publication: | 2013 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2013/04/18 |
| Tag: | bank runs; monetary policy; risk taking |
| Issue: | draft january 2013 |
| Page Number: | 41 |
| Note: | First draft: November 2009. This draft: January 2013 |
| HeBIS-PPN: | 337757771 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| 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 |
