Monetary policy, economic uncertainty and bank risk: Cross-country evidence

被引：15

作者：

Wu, Ji ^{[1
]}

Yan, Yuanyun ^{[2
]}

Chen, Minghua ^{[2
]}

Jeon, Bang Nam ^{[3
]}

机构：

[1] Southwestern Univ Finance & Econ, Collaborat Innovat Ctr Financial Secur, Res Inst Econ & Management, Chengdu, Peoples R China

[2] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Peoples R China

[3] Drexel Univ, Bennett S LeBow Coll Business, Sch Econ, Philadelphia, PA 19104 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2022年 / 122卷

基金：

中国国家自然科学基金;

关键词：

Monetary policy; Economic uncertainty; Bank risk; INTEREST-RATES; DEFAULT; TRANSMISSION; SUPERVISION; LEVERAGE;

D O I：

10.1016/j.jimonfin.2021.102580

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates how economic uncertainty affects the monetary policy-bank risk nexus. Using panel data on approximately 1100 public banks in 43 economies during the period of 2000-2018, we find consistent evidence that the "risk-taking channel" of mone-tary policy is weakened amid higher economic uncertainty. This finding is in line with the "option value of waiting" hypothesis, which suggests that economic uncertainty may induce banks to withhold their adjustments of risk-taking strategies when monetary policy is altered.(c) 2021 Elsevier Ltd. All rights reserved.

引用

页数：35

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