EconPapers    
Economics at your fingertips  
 

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

Abstract: 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
Date: 2017-08-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Published in Published in Journal of Money, Credit and Banking, Volume 49, Issue 1 February 2017: 187–213

Downloads: (external link)
https://helda.helsinki.fi/bof/bitstream/123456789/14838/1/BoF_DP_1718.pdf (application/pdf)

Related works:
Journal Article: The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bof:bofrdp:2017_018

Access Statistics for this paper

More papers in Research Discussion Papers from Bank of Finland Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

 
Page updated 2019-10-14
Handle: RePEc:bof:bofrdp:2017_018