The Risk-Taking Channel in the US: A GVAR Approach
Alzuabi, R., Caglayan, M. and Mouratidis, K.
(2017)
The Risk-Taking Channel in the US: A GVAR Approach.
Working Paper.
Sheffield Economic Research Paper Series (SERPS), 201700
(2017009).
Department of Economics, University of Sheffield
ISSN 1749-8368
Abstract
Employing data from thirty large banks in the US, we examine banks' risk-taking behaviour in response to monetary policy shocks. Our investigation provides support for the presence of a risk-taking channel: banks' nonperforming loans increase in medium to long run following an expansionary monetary policy shock. We also find that banks' capital structure plays an important role in explaining bank's risk-taking appetite. Impulse response analysis shows that shocks emanating from larger banks spillover to the rest of the sector but no such effect is observed for smaller banks. The results are confirmed for banks' Z-score.
Metadata
Authors/Creators:
Alzuabi, R.
Caglayan, M.
Mouratidis, K.
Copyright, Publisher and Additional Information:
The Sheffield Economic Research Paper Series (SERPS) offers a forum for the research output of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by two internal referees and a departmental editor. However, the contents and opinions expressed remain the responsibility of the author(s). Comments are welcomed and should be addressed to the individual author(s).
Keywords:
Risk-taking channel; GVAR; monetary policy shocks; spilloverover e ects
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)