The Risk-Taking Channel of Monetary Policy in the U.S. : Evidence from Corporate Loan Data
Delis, Manthos D.; Hasan, Iftekhar; Mylonidis, Nikolaos (27.01.2017)
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JulkaisusarjaJournal of Money, Credit and Banking
Numero1 ; February
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-202002181161
To study the presence of a risk-taking channel in the U.S., we build a comprehensive data set from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk-taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply-side driven only when using Taylor residuals and an ex ante measure of bank risk-taking. Our results highlight the sensitivity of the potency of the risk-taking channel to the measures of monetary policy innovations.
Published in BoF DP 18/2017.