Identifying the risk-Taking channel of monetary transmission and the connection to economic activity

被引:6
作者
Segev, Nimrod [1 ]
机构
[1] Bank Israel, Res Dept, POB 780, Jerusalem, Israel
关键词
Monetary transmission; Risk-taking channel; Loan-level data; Credit spreads; STRUCTURAL VECTOR AUTOREGRESSIONS; INTEREST-RATES; BALANCE-SHEET; SUPPLY SHOCKS; POLICY; LEVERAGE; SPREADS; IDENTIFICATION; CYCLICALITY; PREDICTION;
D O I
10.1016/j.jbankfin.2020.105850
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
I use loan-level data from the syndicated loan market in the U.S. to investigate how monetary policy affects banks' sensitivity to risk. Using loan-level data and banks' sensitivity to risk enables me to identify the risk-taking channel and disentangle it from other monetary channels. I show that banks change their behavior toward risk following changes in monetary policy where loose monetary policy reduces banks' sensitivity to risk. I then provide evidence for the significant contribution of risk-taking shocks and changes in banks' risk-taking behavior to economic outcomes and business cycle fluctuations. The paper's primary contribution is in providing new loan-level evidence for the existence of the risk-taking channel in the U.S., as well as a possible link between the risk-taking channel and business cycle fluctuations. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数:18
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