The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data

Manthos Delis (), Iftekhar Hasan and Nikolaos Mylonidis

Journal of Money, Credit and Banking, 2017, vol. 49, issue 1, 187-213

Abstract: To study the presence of a risk‐taking channel in the U.S., we build a comprehensive data set from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk‐taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply‐side driven only when using Taylor residuals and an ex ante measure of bank risk‐taking. Our results highlight the sensitivity of the potency of the risk‐taking channel to the measures of monetary policy innovations.

Date: 2017
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https://doi.org/10.1111/jmcb.12372

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Working Paper: The risk-taking channel of monetary policy in the US: Evidence from corporate loan data (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:49:y:2017:i:1:p:187-213

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