Monetary Policy and Risk Taking
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Datum
2016-05-19
Autor
Angeloni, Ignazio
Faia, Ester
Lo Duca, Marco
SAFE No.
8
Metadata
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Zusammenfassung
We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and tends to concentrate on the bank funding side. Then, to rationalize this evidence we build a macro model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk.In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.
Forschungsbereich
Macro Finance
Schlagworte
bank runs, risk taking, monetary policy
JEL-Klassifizierung
E5, G2
Forschungsdaten
Thema
Saving and Borrowing
Monetary Policy
Stability and Regulation
Monetary Policy
Stability and Regulation
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]