Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending

63 Pages Posted: 1 Oct 2017 Last revised: 9 Sep 2021

See all articles by Kiyotaka Nakashima

Kiyotaka Nakashima

Independent Economist

Masahiko Shibamoto

Kobe University - Research Institute for Economics & Business Administration

Koji Takahashi

Bank for International Settlements (BIS)

Date Written: February 8, 2020

Abstract

We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary base does not have such effects. Furthermore, we find that interest rate cuts stimulate lending to risky firms from banks with higher leverage.

Keywords: unconventional monetary policy; quantitative and qualitative monetary easing; matched lender-borrower data; risk-taking channel; news shock

JEL Classification: E44, E52, G21

Suggested Citation

Nakashima, Kiyotaka and Shibamoto, Masahiko and Takahashi, Koji, Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending (February 8, 2020). Available at SSRN: https://ssrn.com/abstract=3044582 or http://dx.doi.org/10.2139/ssrn.3044582

Kiyotaka Nakashima

Independent Economist ( email )

HOME PAGE: http://kiyotaka.sakura.ne.jp/

Masahiko Shibamoto

Kobe University - Research Institute for Economics & Business Administration ( email )

2-1, Rokkodai cho
Nada-ku
Kobe, 657-8501
Japan

Koji Takahashi (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
195
Abstract Views
1,508
Rank
292,692
PlumX Metrics