Do bank characteristics influence the effect of monetary policy on bank risk?
Leonardo Gambacorta (),
Yener Altunbas () and
David Marques-Ibanez ()
No 1427, Working Paper Series from European Central Bank
We analyze whether the impact of monetary policy on bank risk depends upon bank characteristics. We relate the materialization of bank risk during the financial crisis to differences in the monetary policy stance and bank characteristics in the pre-crisis period for a large sample of listed banks operating in the European Union and the United States. We find that the insulation effect produced by capital and liquidity buffers on bank risk was lower for banks operating in countries that, prior to the crisis, experienced a particularly prolonged period of low interest rates. JEL Classification: E44, E52, G21
Keywords: bank characteristics; credit crisis; monetary policy; Risk-taking channel (search for similar items in EconPapers)
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Journal Article: Do bank characteristics influence the effect of monetary policy on bank risk? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121427
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