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http://ssrn.com/abstract=2020278
 
 

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Do Bank Characteristics Influence the Effect of Monetary Policy on Bank Risk?


Yener Altunbas


University of Wales, Bangor

Leonardo Gambacorta


Bank for International Settlements (BIS)

David Marques-Ibanez


Board of Governors of the Federal Reserve System (FRB); European Central Bank (ECB)

March 12, 2012

ECB Working Paper No. 1427

Abstract:     
We analyze whether the impact of monetary policy on bank risk depends upon bank characteristics. We relate the materialization of bank risk during the financial crisis to differences in the monetary policy stance and bank characteristics in the pre-crisis period for a large sample of listed banks operating in the European Union and the United States. We find that the insulation effect produced by capital and liquidity buffers on bank risk was lower for banks operating in countries that, prior to the crisis, experienced a particularly prolonged period of low interest rates.

Number of Pages in PDF File: 10

Keywords: Risk-taking channel, monetary policy, credit crisis, bank characteristics

JEL Classification: E44, E52, G21

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Date posted: March 19, 2012  

Suggested Citation

Altunbas, Yener and Gambacorta, Leonardo and Marques-Ibanez, David, Do Bank Characteristics Influence the Effect of Monetary Policy on Bank Risk? (March 12, 2012). ECB Working Paper No. 1427. Available at SSRN: http://ssrn.com/abstract=2020278

Contact Information

Yener Altunbas
University of Wales, Bangor ( email )
Bangor, Gwynedd, Wales LL57 2DG
United Kingdom
Leonardo Gambacorta
Bank for International Settlements (BIS) ( email )
Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland
David Marques-Ibanez (Contact Author)
Board of Governors of the Federal Reserve System (FRB) ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
49 6913 44 6460 (Phone)
49 6913 44 6460 (Fax)
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