Arbeitspapier
The Risk-Taking Channel of Monetary Policy Transmission in the Euro Area
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through the relaxation of lending standards for borrowers. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, indicators of bank lending standards and bank lending margins. Based on vector autoregressive models with (i) recursive identification and (ii) sign restrictions, we show that banks react aggressively to an expansionary monetary policy shock by lowering their lending standards. The banks’ efforts to keep their lending margin stable, however, are not successful as we detect a significant compression. We document these findings for the euro area as a whole and for its individual member states. In particular, banks in the Netherlands, Portugal, Spain, and Ireland lowered their lending standards after expansionary monetary policy shocks. The compression of the lending margin is most pronounced in the five crisis countries (Greece, Ireland, Italy, Portugal, and Spain).
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 6982
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Money Supply; Credit; Money Multipliers
Monetary Policy
Central Banks and Their Policies
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
European Central Bank
macroprudential policy
monetary policy transmission
risk-taking channel
vector autoregression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Neuenkirch, Matthias
Nöckel, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Neuenkirch, Matthias
- Nöckel, Matthias
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2018
Ähnliche Objekte (12)
The risk-taking channel of monetary policy transmission in the euro area
Shadow banks and the risk-taking channel of monetary policy: Transmission in the euro area
Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area
Central bank transparency and financial market expectations: The case of emerging markets
An unconventional approach to evaluate the Bank of England's asset purchase program
Managing financial market expectations: The role of central bank transparency and central bank communication
Are public preferences reflected in monetary policy reaction functions?
Predicting Bank of England's asset purchase decisions with MPC voting records
Establishing a hawkish reputation: Interest rate setting by newly appointed central bank governors
Monetary policy transmission in vector autoregressions: A new approach using central bank communication
Federal reserve communications and newswire coverage
Always affecting the wrong people? The impact of US sanctions on poverty
The risk-taking channel of monetary policy transmission in the euro area
Shadow banks and the risk-taking channel of monetary policy: Transmission in the euro area
Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area
Central bank transparency and financial market expectations: The case of emerging markets
An unconventional approach to evaluate the Bank of England's asset purchase program
Managing financial market expectations: The role of central bank transparency and central bank communication
Are public preferences reflected in monetary policy reaction functions?
Predicting Bank of England's asset purchase decisions with MPC voting records
Establishing a hawkish reputation: Interest rate setting by newly appointed central bank governors
Monetary policy transmission in vector autoregressions: A new approach using central bank communication
Federal reserve communications and newswire coverage
Always affecting the wrong people? The impact of US sanctions on poverty
The risk-taking channel of monetary policy transmission in the euro area
Shadow banks and the risk-taking channel of monetary policy: Transmission in the euro area
Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area
Central bank transparency and financial market expectations: The case of emerging markets
An unconventional approach to evaluate the Bank of England's asset purchase program
Managing financial market expectations: The role of central bank transparency and central bank communication
Are public preferences reflected in monetary policy reaction functions?
Predicting Bank of England's asset purchase decisions with MPC voting records
Establishing a hawkish reputation: Interest rate setting by newly appointed central bank governors
Monetary policy transmission in vector autoregressions: A new approach using central bank communication
Federal reserve communications and newswire coverage