 Monetary Policy's Risk-Taking Channel in Consideration of Bank's Profit and Asset Structure: Evidence from Korea (in Korean)Uijin Kim () and
Hosung Jung ()
No 2019-7, Working Papers from Economic Research Institute, Bank of Korea Abstract: This paper explores the effect of an interest rate change on the risk-taking of a bank in consideration of its profit and asset structure. The risk-taking is proxied by the risk weight of a bank, derived from its BIS capital ratio. We show that in Korea, an interest rate increase (decrease) make a bank bear less (more) risk. The risk-taking of a bank more profitable is less sensitive to an interest rate change. In addition, the asset structure, such as ratio of loan to total asset and ratio of short-term asset to total asset, of a bank adopting internal ratings based approach for its asset risk assessment, has more impact on bank¡¯s risk-taking than one with standardized approach. This paper is the first attempt to use the risk weight of a bank under capital regulation to analyze the relation between an interest rate change and bank¡¯s risk-taking. It thus contributes to the literature by the use of direct measure for risk-taking of a bank and by showing the interaction between monetary policy and macroprudential policy. Keywords: Monetary Policy; Risk-Taking; Interest Rates; Bank¡¯s Profit and Asset Structure (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1907 Access Statistics for this paper More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.