Identifying the Risk-Taking Channel of Monetary Transmission and the Connection to Economic Activity
Identifying the Risk-Taking Channel of Monetary Transmission and the Connection to Economic Activity
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识别货币传导的风险承担渠道及其与经济活动的联系
DOI：
10.2139/ssrn.2959739
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发表时间：
2018
影响因子：
3.7
通讯作者：
Nimrod Segev
中科院分区：
文献类型：
--
作者：
Nimrod Segev
摘要我使用美国银团贷款市场的贷款水平数据来研究货币政策如何影响银行对风险的敏感性。使用贷款水平数据和银行对风险的敏感性，使我能够识别风险承担渠道，并将其与其他货币渠道区分开来。我认为，随着货币政策的变化，宽松的货币政策降低了银行对风险的敏感度，银行对风险的行为也随之改变。然后，我提供了证据，证明冒险冲击和银行冒险行为的变化对经济结果和商业周期波动的重大贡献。本文的主要贡献在于为美国存在风险承担渠道提供了新的贷款水平证据，以及风险承担渠道与商业周期波动之间可能存在的联系。
Abstract I use loan-level data from the syndicated loan market in the U.S. to investigate how monetary policy affects banks’ sensitivity to risk. Using loan-level data and banks’ sensitivity to risk enables me to identify the risk-taking channel and disentangle it from other monetary channels. I show that banks change their behavior toward risk following changes in monetary policy where loose monetary policy reduces banks’ sensitivity to risk. I then provide evidence for the significant contribution of risk-taking shocks and changes in banks’ risk-taking behavior to economic outcomes and business cycle fluctuations. The paper’s primary contribution is in providing new loan-level evidence for the existence of the risk-taking channel in the U.S., as well as a possible link between the risk-taking channel and business cycle fluctuations.