Arbeitspapier
In search for yield? Survey-based evidence on bank risk taking
There is growing consensus that the conduct of monetary policy can have an impact on stability through the risk-taking incentives of banks. Falling interest rates might induce a 'search for yield' and generate incentives to invest into risky activities. This paper provides evidence on the link between monetary policy, commercial property prices, and bank risk taking. We use a factor-augmented vector autoregressive model (FAVAR) for the U.S. for the period 1997-2008. We include standard macroeconomic indicators and factors summarizing information provided in the Federal Reserve's Survey of Terms of Business Lending. These data allow modeling the reactions of banks' new lending volumes and prices as well as the riskiness of new loans. We do not find evidence for increased risk taking for the entire banking system after a monetary policy loosening or an unexpected increase in property prices. This masks, however, important differences across banking groups. Small domestic banks increase their exposure to risk, foreign banks lower risk, and large domestic banks do not change their risk exposure.
- ISBN
-
978-3-86558-711-4
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series 1 ; No. 2011,10
- Classification
-
Wirtschaft
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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FAVAR
bank risk taking
macro-finance linkages
monetary policy
commercial property prices
Bankrisiko
Risikopräferenz
Geldpolitik
Immobilienpreis
Finanzsektor
Betriebswirtschaftliches Ziel
Schätzung
USA
- Event
-
Geistige Schöpfung
- (who)
-
Buch, Claudia M.
Eickmeier, Sandra
Prieto, Esteban
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Buch, Claudia M.
- Eickmeier, Sandra
- Prieto, Esteban
- Deutsche Bundesbank
Time of origin
- 2011
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