Bank’s risk measures and monetary policy: Evidence from a large emerging economy

Claudio de Moraes () and Helder de Mendonça ()

The North American Journal of Economics and Finance, 2019, vol. 49, issue C, 121-132

Abstract: Based on data collected from Brazilian banks, this study aims to understand how monetary policy affects bank’s risk measures that can be used as macroprudential financial institutions-based policies. The findings denote that an increase in the monetary policy interest rate implies an adjustment in the banks’ strategy for ensuring safety and soundness. On the other hand, when the central bank reduces the interest rate, banks decrease their risk covers (bank’s risk measures), becoming less safe. Hence, this scenario should trigger macroprudential supervisor awareness. In brief, the results suggest that the coordination between macroprudential and monetary policies is necessary.

Keywords: Bank risk; Monetary policy; Macroprudential policy (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:49:y:2019:i:c:p:121-132

DOI: 10.1016/j.najef.2019.04.002

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