Alzuabi, R., Caglayan, M. and Mouratidis, K. (2020) The risk‐taking channel in the United States : A GVAR approach. International Journal of Finance and Economics, 26 (4). pp. 5826-5849. ISSN 1099-1158
Abstract
Using a panel of large U.S. banks, 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' non‐performing loans increase in the 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 spill over to the rest of the sector but no such effect is observed for smaller banks. These findings are confirmed for banks' Z‐score.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution‐NonCommercial‐NoDerivs License, (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits use and distribution in any medium, provided the original work is properly cited, the use is non‐commercial and no modifications or adaptations are made. |
Keywords: | impulse response analysis; risk‐taking channel: GVAR: Monetary policy shocks; spillover effects |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 24 Jul 2020 16:08 |
Last Modified: | 21 Jan 2022 14:13 |
Status: | Published |
Publisher: | Wiley |
Refereed: | Yes |
Identification Number: | 10.1002/ijfe.2096 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:163646 |