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

10 Pages Posted: 19 Mar 2012  

Yener Altunbas

University of Wales, Bangor

Leonardo Gambacorta

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

David Marques-Ibanez

European Central Bank (ECB)

Date Written: March 12, 2012

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.

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

JEL Classification: E44, E52, G21

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: https://ssrn.com/abstract=2020278

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

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

David Marques-Ibanez (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 6913 44 6460 (Phone)
49 6913 44 6460 (Fax)

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