 Re-exploring the nexus between monetary policy and banks'risk-takingMelchisedek Joslem Ngambou Djatche Post-Print from HAL Abstract: In this paper, we analyse the link between monetary policy and banks' risk-taking behaviour. Some theoretical and empirical studies show that monetary easing is increasing banks' appetite for risk related to asset valuation and the search for higher yield. However, the low interest rate environment that began in 2010 is casting doubt on these findings. Our study adds to analyses of the monetary risk-taking channel considering non-linearity, especially testing threshold effects in this channel. Using a dataset of US banks, we find that the impact of low interest rates on banks' risk behaviour depends on the previous monetary regime, that is on the deviation of monetary rates from the Taylor rule. We complement the literature on the Taylor rule and provide arguments that extend the use of the Taylor rule by Central Banks to financial stability purposes. Keywords: bank risk-taking; non-dynamic panel threshold model; Monetary policy; financial stability (search for similar items in EconPapers) Published in Economic Modelling, 2019, 82, pp.294-307. ⟨10.1016/j.econmod.2019.01.016⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02144522 DOI: 10.1016/j.econmod.2019.01.016 Access Statistics for this paper More papers in Post-Print from HAL |
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