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.

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Metadaten
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:Universit├Ątsbibliothek 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:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht