Industry Heterogeneity in the Risk-Taking Channel

45 Pages Posted: 11 Jun 2020

See all articles by Manthos D. Delis

Manthos D. Delis

Montpellier Business School

Maria Iosifidi

University of Surrey - Surrey Business School

Nikolaos Mylonidis

University of Ioannina, Dept. of Economics

Date Written: May 16, 2020

Abstract

We examine the transmission of the risk-taking channel to different industries using syndicated loans to U.S. borrowers from 1984 to 2018. We find that a one percentage point decrease in the shadow rate increases loan spreads by more than 30 basis points in the mining & construction and manufacturing sectors. The equivalent effect is lower in the services and trade industries, whereas the effect on the transportation & utilities and finance industries is less pronounced. Our results survive in several sensitivity tests and are immune to time-varying demand-side explanations. The identified differences in the potency of the risk-taking channel explain a significant part of the inferior performance of highly affected sectors compared to less-affected sectors in the year after a loan origination.

Keywords: Bank risk-taking, Monetary policy, United States, Syndicated loans, Different industries

JEL Classification: G21, G01, E43, E52

Suggested Citation

Delis, Manthos D. and Iosifidi, Maria and Mylonidis, Nikolaos, Industry Heterogeneity in the Risk-Taking Channel (May 16, 2020). Available at SSRN: https://ssrn.com/abstract=3602593 or http://dx.doi.org/10.2139/ssrn.3602593

Manthos D. Delis (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

Maria Iosifidi

University of Surrey - Surrey Business School ( email )

Guildford, Surrey GU2 8DN
United Kingdom

Nikolaos Mylonidis

University of Ioannina, Dept. of Economics ( email )

University Campus
Ioannina, 45110
Greece

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