The risk-taking channel of monetary policy in the US : Evidence from corporate loan data

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Title: The risk-taking channel of monetary policy in the US : Evidence from corporate loan data
ISBN: 978-952-323-175-7
Author: Delis, Manthos D. ; Hasan, Iftekhar ; Mylonidis, Nikolaos
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series number: 18/2017
Year of publication: 2017
Publication date: 7.8.2017
Published in: Published in Journal of Money, Credit and Banking, Volume 49, Issue 1 February 2017: 187–213
Pages: 41
Subject (yso): luotot; yritykset; liikepankit; pankit; riskit; rahapolitiikka
Keywords: USA
JEL: G21; G01; E43; E52
Other keywords: bank risk; monetary policy; US commercial banks; total loans; new loans
Abstract: To study the presence of a risk-taking channel in the US, we build a comprehensive dataset 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.
Rights: https://helda.helsinki.fi/bof/copyright


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