The risk-taking channel of monetary policy in the US: Evidence from corporate loan data

Keywords: Bank risk; monetary policy; US commercial banks; Total loans; New loans.
  • 04 Septiembre 2017

Por Manthos D. Delis–Iftekhar y Hasan–Nikolaos Mylonidis

Bank of Finland Research, Discussion Paper 18, 2017.

Abstract:

To study the presence of a risk-taking channel in the US, we build a comprehensive dataset from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk-taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply-side driven only when using Taylor residuals and an ex ante measure of bank risk-taking. Our results highlight the sensitivity of the potency of the risk-taking channel to the measures of monetary policy innovations.