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Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending

Kiyotaka Nakashima, Masahiko Shibamoto and Koji Takahashi
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Kiyotaka Nakashima: Faculty of Economics, Konan University, Japan
Koji Takahashi: Bank of Japan , Japan

No DP2017-24, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary lending to risky firms from banks with higher leverage.

Keywords: Unconventional monetary policy; Quantitative and qualitative monetary easing; Matched lender-borrower data; Risk-taking channel (search for similar items in EconPapers)
JEL-codes: E44 E52 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
Date: 2017-09, Revised 2019-04
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2017-24.pdf Revised version, 2019 (application/pdf)

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