The Risk-Taking Channel in the US: A GVAR Approach

Raslan Alzuabi, Mustafa Caglayan () and Kostas Mouratidis

MPRA Paper from University Library of Munich, Germany

Abstract: Using a panel of large US banks, we examine banks' risk-taking behaviour in response to monetary policy shocks. Our investigation provides support for the presence of a risk-taking channel: banks' nonperforming loans increase in the medium to long-run following an expansionary monetary policy shock. We also find that banks' capital structure plays an important role in explaining bank's risk-taking appetite. Impulse response analysis shows that shocks emanating from larger banks spillover to the rest of the sector but no such effect is observed for smaller banks. These findings are confirmed for banks' Z-score.

Keywords: Risk-taking channel: GVAR: Monetary policy shocks; Spillover effects; Impulse response analysis (search for similar items in EconPapers)
JEL-codes: E44 E52 G01 (search for similar items in EconPapers)
Date: 2020-06-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac, nep-mon and nep-rmg
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Related works:
Working Paper: The Risk-Taking Channel in the US: A GVAR Approach (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101391

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