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

Manthos D. Delis, Iftekhar Hasan and Nikolaos Mylonidis

No 18/2017, Bank of Finland Research Discussion Papers from Bank of Finland

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.

JEL-codes: E43 E52 G01 G21 (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
Journal Article: The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp2017_018

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