Angeloni, Ignazio and Faia, Ester and Lo Duca, Marco (2010) Monetary policy and risk taking. Bruegel Working Paper 2010/00, February 2010. [Working Paper]
![[img]](http://aei.pitt.edu/style/images/fileicons/application_pdf.png)
| PDF - Published Version Download (688Kb) | Preview |
Abstract
We assess, through VAR evidence, the effects of monetary policy on banks’ risk exposure and find the presence of a risk-taking channel. A model combining fragile banks prone to risk mis-incentives and credit constrained firms, whose collateral fluctuations generate a balance sheet channel, is used to rationalize the evidence. A monetary expansion increases bank leverage. With two consequences: on the one side this exacerbates risk exposure; on the other, the risk spiral depresses output, therefore dampening the conventional amplification effect of the financial accelerator. Keywords: monetary policy, bank behavior, leverage, financial accelerator.
| Export/Citation: | EndNote | BibTeX | Dublin Core | ASCII (Chicago style) | HTML Citation | OpenURL |
| Social Networking: |
| Item Type: | Working Paper |
|---|---|
| Subjects for non-EU documents: | EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy EU policies and themes > Policies & related activities > economic and financial affairs > financial crisis 2008-on/reforms/economic governance |
| Subjects for EU documents: | UNSPECIFIED |
| EU Series and Periodicals: | UNSPECIFIED |
| EU Annual Reports: | UNSPECIFIED |
| Series: | Series > Bruegel (Brussels) > Working Papers |
| Depositing User: | Phil Wilkin |
| Official EU Document: | No |
| Language: | English |
| Date Deposited: | 08 Jul 2014 14:16 |
| Number of Pages: | 46 |
| Last Modified: | 16 Jul 2014 15:58 |
| URI: | http://aei.pitt.edu/id/eprint/52273 |
Actions (login required)
| View Item |
![[feed]](/images/feed-icon-32x32.png){kind=icon}
