| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13456 |
| 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 |
| URL | https://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. |
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