Work

The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data

Year: 2017

Type: article

Abstract: To study the presence of a risk‐taking channel in the U.S., we build a comprehensive data set from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk‐taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply‐side driven only when using Taylor residuals and an ex ante measure of bank risk‐taking. Our results highlight the sensitivity of the potency of the risk‐taking channel to the measures of monetary policy innovations.

Source: Journal of money credit and banking

DOI: 10.1111/jmcb.12372

Authors: MANTHOS D. DELIS, IFTEKHAR HASAN, NIKOLAOS MYLONIDIS

Institutions: University of Surrey, Fordham University, Bank of Finland, University of Ioannina

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2582930072

FWCI: 26.98

Cites: 58

Cited by: 106

Related to: 10