The Risk-Taking Channel in the US: A GVAR Approach

Raslan Alzubi (), Mustafa Caglayan () and Kostas Mouratidis
Additional contact information
Raslan Alzubi: Department of Economics, University of Sheffield

No 2017009, Working Papers from The University of Sheffield, Department of Economics

Abstract: Employing data from thirty large banks in the US, we examine banks' risk-taking behaviour in response to monetary policy shocks. Our investigation provides support for the presence of a risk-taking channel: banks' nonperforming loans increase in medium to long run following an expansionary monetary policy shock. We also find that banks' capital structure plays an important role in explaining bank's risk-taking appetite. Impulse response analysis shows that shocks emanating from larger banks spillover to the rest of the sector but no such effect is observed for smaller banks. The results are confirmed for banks' Z-score.

Keywords: Risk-taking channel; GVAR; monetary policy shocks; spilloverover effects (search for similar items in EconPapers)
JEL-codes: E44 E52 G01 G19 G29 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2017-03
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac, nep-mon and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sheffield.ac.uk/economics/research/serps/articles/2017_009 First version, March 2017 (application/pdf)

Related works:
Working Paper: The Risk-Taking Channel in the US: A GVAR Approach (2020)
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:shf:wpaper:2017009

Access Statistics for this paper

More papers in Working Papers from The University of Sheffield, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mike Crabtree ().