Unconventional monetary policy and bank risk taking
Matthys, Thomas Meuleman, Elien Vander Vennet, Rudi
Matthys, Thomas
Meuleman, Elien
Vander Vennet, Rudi
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2020-12
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Abstract
We analyze the presence of bank risk taking associated with unconventional monetary policy in the United States between 2008 and 2015 using corporate syndicated loan data at the bank-firm level. We measure monetary policy using the identification-through-heteroskedasticity approach with a VAR model. To identify the risk-taking channel we control for time-varying heterogeneity in credit demand and supply. Our results indicate that accommodating monetary conditions are associated with overall lower loan spreads. However, the spread reduction is lower for riskier firms, suggesting that there is no risk taking behavior in the syndicated loan market during the UMP period.
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3802 Econometrics, 35 Commerce, Management, Tourism and Services, 3803 Economic Theory, 38 Economics, 3502 Banking, Finance and Investment, Prevention