DOES INTERNATIONAL MONETARY POLICY INFLUENCE THE BANK RISK? EVIDENCE FROM INDIA

Ameen Omar Shareef () and K.P. Prabheesh
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Ameen Omar Shareef: Indian Institute of Technology Hyderabad, India
K.P. Prabheesh: Indian Institute of Technology Hyderabad, India

Bulletin of Monetary Economics and Banking, 2022, vol. 25, issue 2, 135-154

Abstract: This study empirically examines the impact of international monetary policy on bank risk in the Indian context. Using annual data from 64 banks and employing panel OLS and GMM techniques, this study finds that: (1) a contractionary international monetary policy increases bank risk; (2) an appreciation of the domestic exchange rate induces bank riskiness; (3) the domestic monetary policy affects bank risk through the “search for yield†channel; and (4) the international monetary policy is relatively significant in explaining the bank riskiness in the post-global financial crisis period.

Keywords: International monetary policy; Banks risk-taking; Z-score; GMM (search for similar items in EconPapers)
JEL-codes: E52 F42 G21 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:25:y:2022:i:2a:p:135-154

DOI: 10.21098/bemp.v25i2.1867

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