G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13456
DP13456 Systemic Bank Risk and Monetary Policy
Ester Faia; Soeren Karau
发表日期2019-01-15
出版年2019
语种英语
摘要The risk-taking channel of monetary policy acquires relevance only if it affects systemic risk. We find robust evidence of a systemic risk-taking channel using cross-country and timeseries evidence in panel and proxy VARs for 29 G-SIBs from seven countries. We detect a significant role for pecuniary externalities by exploiting the differential impact of monetary policy shocks on book and market leverage. We rationalize these findings through a model in which a fall in interest rates induces banks to increase leverage and reduce monitoring. In an interacted VAR, we find that macroprudential policy has a significant role in taming the unintended consequences of monetary policy on systemic risk.
主题Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词Risk-taking channel of monetary policy Deltacovar Lrmes Panel var Proxy var Monitoring intensity Leverage Macroprudential policy Policy complementarities
URLhttps://cepr.org/publications/dp13456
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/542271
推荐引用方式
GB/T 7714
Ester Faia,Soeren Karau. DP13456 Systemic Bank Risk and Monetary Policy. 2019.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ester Faia]的文章
[Soeren Karau]的文章
百度学术
百度学术中相似的文章
[Ester Faia]的文章
[Soeren Karau]的文章
必应学术
必应学术中相似的文章
[Ester Faia]的文章
[Soeren Karau]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。