The risk-taking channel of monetary policy in the US: Evidence from corporate loan data
Manthos Delis (),
Iftekhar Hasan () and
Nikolaos Mylonidis ()
No 18/2017, Research Discussion Papers from Bank of Finland
To study the presence of a risk-taking channel in the US, we build a comprehensive dataset 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.
JEL-codes: G21 G01 E43 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-mac, nep-mon and nep-rmg
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Published in Published in Journal of Money, Credit and Banking, Volume 49, Issue 1 February 2017: 187–213
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Journal Article: The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bof:bofrdp:2017_018
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