Bank risk and monetary policy
Yener Altunbas (),
Leonardo Gambacorta () and
David Marquï¿½s-Ibï¿½ï¿½ez ()
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David Marquï¿½s-Ibï¿½ï¿½ez: European Central Bank
Authors registered in the RePEc Author Service: David Marques-Ibanez ()
No 712, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area
We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the other indicators (i.e. size, liquidity and capitalization), traditionally used in the bank lending channel literature to assess a bankï¿½s ability and willingness to supply new loans. Using a large sample of European banks, we find that banks characterized by lower expected default frequency are able to offer a larger amount of credit and to better insulate their loan supply from monetary policy changes.
Keywords: Bank; Risk; Bank Lending Channel; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E44 E52 (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
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Journal Article: Bank risk and monetary policy (2010)
Working Paper: Bank risk and monetary policy (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_712_09
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