Do bank characteristics influence the effect of monetary policy on bank risk?

Yener Altunbas (), Leonardo Gambacorta () and David Marques-Ibanez ()
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David Marques-Ibanez: European Central Bank, http://www.ecb.europa.eu/home/html/index.en.html
Authors registered in the RePEc Author Service: David Marqués Ibañez

No 1427, Working Paper Series from European Central Bank

Abstract: We analyze whether the impact of monetary policy on bank risk depends upon bank characteristics. We relate the materialization of bank risk during the financial crisis to differences in the monetary policy stance and bank characteristics in the pre-crisis period for a large sample of listed banks operating in the European Union and the United States. We find that the insulation effect produced by capital and liquidity buffers on bank risk was lower for banks operating in countries that, prior to the crisis, experienced a particularly prolonged period of low interest rates. JEL Classification: E44, E52, G21.

Keywords: Risk-taking channel; monetary policy; credit crisis; bank characteristics. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-mac and nep-mon
Date: 2012-03
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Journal Article: Do bank characteristics influence the effect of monetary policy on bank risk? (2012)
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