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(Un)Conventional monetary policy and bank risk-taking: A nonlinear relationship

Author

Listed:
  • Sophie Brana

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Alexandra Campmas

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Ion Lapteacru

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

Abstract
This paper investigates the effect of monetary policy - especially unconventional monetary policy - on bank risk-taking behavior in Europe over the period 2000–2015. Using a dynamic panel model with a threshold effect, we estimate this effect on two measures of bank risk: the Distance to Default, which reflects the market perception of risk, and the asymmetric Z-score, which corresponds to an accounting-based measure of the risk. We find that loosening monetary policy (via low interest rates and increasing central banks' liquidity) has a harmful effect on banks’ risk, confirming the existence of the risk-taking channel. Moreover, we show that this relationship is nonlinear, i.e., with the sustainable implementation of unconventional monetary policies, the effects are stronger below a certain threshold.
(This abstract was borrowed from another version of this item.)

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  • Sophie Brana & Alexandra Campmas & Ion Lapteacru, 2019. "(Un)Conventional monetary policy and bank risk-taking: A nonlinear relationship," Post-Print hal-03285116, HAL.
    • Handle: RePEc:hal:journl:hal-03285116
    DOI: 10.1016/j.econmod.2018.07.005
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    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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