An Empirical Assessment of the Risk-Taking Channel

Altunbas, Yener; Gambacorta, Leonardo; Marques-Ibanez, David

doi:10.2139/ssrn.1459627

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An Empirical Assessment of the Risk-Taking Channel

34 Pages Posted: 23 Aug 2009 Last revised: 3 Oct 2009

See all articles by Yener Altunbas

Leonardo Gambacorta

Bank for International Settlements (BIS); Centre for Economic Policy Research (CEPR)

David Marques-Ibanez

European Central Bank (ECB)

Date Written: August 22, 2009

Abstract

We investigate the risk-taking channel of monetary policy at the global level using a comprehensive database of listed banks. Our sample includes quarterly information for all listed banks operating in the European Union (EU15) and the United States during and prior to the period of the financial turmoil. We find evidence of a significant link between monetary policy looseness – calculated using both the Taylor rule and the natural rate – and bank risk taking. This result holds for a wide range of indicators of banks' risk and macroeconomic controls.

Keywords: bank risk, credit crisis, risk taking channel, monetary policy

JEL Classification: E44, E55, G21

Suggested Citation: Suggested Citation

Altunbas, Yener and Gambacorta, Leonardo and Marques-Ibanez, David, An Empirical Assessment of the Risk-Taking Channel (August 22, 2009). Available at SSRN: https://ssrn.com/abstract=1459627 or http://dx.doi.org/10.2139/ssrn.1459627