Arbeitspapier
Shadow banks and 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 an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2003Q1 - 2017Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find for conventional monetary policy shocks that a portfolio reallocation effect towards riskier assets is more pronounced, whereas for unconventional monetary policy shocks we detect stronger evidence for a general expansion of assets. Country-specific estimations confirm these findings for most of the euro area countries, but also reveal some heterogeneity in the shadow banks' reaction.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Papers in Economics ; No. 3/18
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
Portfolio Choice; Investment Decisions
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
European Central Bank
Macroprudential Policy
Monetary Policy Transmission
Risk-Taking Channel
Shadow Banks
Vector Autoregression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wischnewsky, Arina
Neuenkirch, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Trier, Fachbereich IV - Volkswirtschaftslehre
- (wo)
-
Trier
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Wischnewsky, Arina
- Neuenkirch, Matthias
- Universität Trier, Fachbereich IV - Volkswirtschaftslehre
Entstanden
- 2018
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