Monetary Policy And The Asset Risk Taking Channel

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Monetary Policy and the Asset Risk-taking Channel

Angela Abbate
Monetary Policy and the Asset Risk taking Channel Book PDF

Author : Angela Abbate
Publisher : Unknown
Page : 56 pages
File Size : 44,7 Mb
Release : 2018
Category : Electronic
ISBN : OCLC:1293393467

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Monetary Policy and the Asset Risk-taking Channel by Angela Abbate Pdf

¿Cuánto importa el canal de toma de riesgos (risk-taking channel) para la política monetaria? Para responder a esta pregunta, desarrollamos y estimamos un modelo cuantitativo macroeconómico DSGE, en el que los bancos eligen inversiones excesivamente arriesgadas, debido a un problema de agencia que distorsiona los incentivos de los bancos. Cuando el tipo de interés real baja, el peso de esas distorsiones aumenta y los bancos toman más riesgos, lo cual tiene un impacto negativo sobre la efi ciencia de sus inversiones. Demostramos que este nuevo canal de transmisión genera un nuevo y cuantitativamente significativo trade-off entre la estabilización de la infl ación y los tipos de interés: para el banco central resulta deseable aceptar más volatilidad de infl ación a cambio de menos toma de riesgos.

Bank Leverage and Monetary Policy's Risk-Taking Channel

Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez
Bank Leverage and Monetary Policy s Risk Taking Channel Book PDF

Author : Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez
Publisher : International Monetary Fund
Page : 41 pages
File Size : 46,6 Mb
Release : 2013-06-06
Category : Business & Economics
ISBN : 9781484333730

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Bank Leverage and Monetary Policy's Risk-Taking Channel by Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez Pdf

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.

Bank Leverage and Monetary Policy's Risk-taking Channel

Giovanni Dell'Ariccia,Luc Laeven,Gustavo A. Suarez
Bank Leverage and Monetary Policy s Risk taking Channel Book PDF

Author : Giovanni Dell'Ariccia,Luc Laeven,Gustavo A. Suarez
Publisher : Unknown
Page : 67 pages
File Size : 46,7 Mb
Release : 2016
Category : Bank loans
ISBN : OCLC:946890600

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Bank Leverage and Monetary Policy's Risk-taking Channel by Giovanni Dell'Ariccia,Luc Laeven,Gustavo A. Suarez Pdf

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on banks' internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's survey of terms of business lending. We find that ex-ante risk taking by banks (measured by the risk rating of new loans) is negatively associated with increases in short-term interest rates. This relationship is more pronounced in regions that are less in sync with the nationwide business cycle, and less pronounced for banks with relatively low capital or during periods of financial distress.

The Economics of Exchange Rates

Lucio Sarno,Mark P. Taylor
The Economics of Exchange Rates Book PDF

Author : Lucio Sarno,Mark P. Taylor
Publisher : Unknown
Page : 344 pages
File Size : 40,9 Mb
Release : 2002
Category : Business & Economics
ISBN : STANFORD:36105025930772

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

Table of contents

Will Macroprudential Policy Counteract Monetary Policy’s Effects on Financial Stability?

Mr.Itai Agur,Ms.Maria Demertzis
Will Macroprudential Policy Counteract Monetary Policy s Effects on Financial Stability Book PDF

Author : Mr.Itai Agur,Ms.Maria Demertzis
Publisher : International Monetary Fund
Page : 23 pages
File Size : 48,9 Mb
Release : 2015-12-29
Category : Business & Economics
ISBN : 9781513545332

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Will Macroprudential Policy Counteract Monetary Policy’s Effects on Financial Stability? by Mr.Itai Agur,Ms.Maria Demertzis Pdf

How does monetary policy impact upon macroprudential regulation? This paper models monetary policy's transmission to bank risk taking, and its interaction with a regulator's optimization problem. The regulator uses its macroprudential tool, a leverage ratio, to maintain financial stability, while taking account of the impact on credit provision. A change in the monetary policy rate tilts the regulator's entire trade-off. We show that the regulator allows interest rate changes to partly "pass through" to bank soundness by not neutralizing the risk-taking channel of monetary policy. Thus, monetary policy affects financial stability, even in the presence of macroprudential regulation.

Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data

Margherita Bottero,Ms.Camelia Minoiu,José-Luis Peydro,Andrea Polo,Mr.Andrea F Presbitero,Enrico Sette
Negative Monetary Policy Rates and Portfolio Rebalancing Evidence from Credit Register Data Book PDF

Author : Margherita Bottero,Ms.Camelia Minoiu,José-Luis Peydro,Andrea Polo,Mr.Andrea F Presbitero,Enrico Sette
Publisher : International Monetary Fund
Page : 59 pages
File Size : 50,9 Mb
Release : 2019-02-28
Category : Business & Economics
ISBN : 9781498300858

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Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data by Margherita Bottero,Ms.Camelia Minoiu,José-Luis Peydro,Andrea Polo,Mr.Andrea F Presbitero,Enrico Sette Pdf

We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.

Managing the Sovereign-Bank Nexus

Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Managing the Sovereign Bank Nexus Book PDF

Author : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 53,6 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Bank Profitability and Risk-Taking

Natalya Martynova,Mr.Lev Ratnovski,Mr.Razvan Vlahu
Bank Profitability and Risk Taking Book PDF

Author : Natalya Martynova,Mr.Lev Ratnovski,Mr.Razvan Vlahu
Publisher : International Monetary Fund
Page : 44 pages
File Size : 41,9 Mb
Release : 2015-11-25
Category : Business & Economics
ISBN : 9781513517582

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Bank Profitability and Risk-Taking by Natalya Martynova,Mr.Lev Ratnovski,Mr.Razvan Vlahu Pdf

Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.

The Federal Reserve System Purposes and Functions

Board of Governors of the Federal Reserve System
The Federal Reserve System Purposes and Functions Book PDF

Author : Board of Governors of the Federal Reserve System
Publisher : Unknown
Page : 0 pages
File Size : 43,6 Mb
Release : 2002
Category : Banks and Banking
ISBN : 0894991965

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The Federal Reserve System Purposes and Functions by Board of Governors of the Federal Reserve System Pdf

Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.

The Effects of Bank Capital on Lending

Jose M. Berrospide
The Effects of Bank Capital on Lending Book PDF

Author : Jose M. Berrospide
Publisher : Unknown
Page : 50 pages
File Size : 41,9 Mb
Release : 2016
Category : Electronic
ISBN : OCLC:1306285991

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The Effects of Bank Capital on Lending by Jose M. Berrospide Pdf

The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. We use panel-regression techniques - following Bernanke and Lown (1991) and Hancock and Wilcox (1993, 1994) - to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. We then consider the effect of capital ratios on lending using a variant of Lown and Morgan's (2006) VAR model, and again find modest effects of bank capital ratio changes on lending. These results are in marked contrast to estimates obtained using simple empirical relations between aggregate commercial-bank assets and leverage growth, which have recently been very influential in shaping forecasters' and policymakers' views regarding the effects of bank capital on loan growth. Our estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments.

Monetary Policy, Leverage, and Bank Risk Taking

Mr.Luc Laeven,Mr.Giovanni Dell'Ariccia,Mr.Robert Marquez
Monetary Policy Leverage and Bank Risk Taking Book PDF

Author : Mr.Luc Laeven,Mr.Giovanni Dell'Ariccia,Mr.Robert Marquez
Publisher : International Monetary Fund
Page : 38 pages
File Size : 41,9 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781455210831

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Monetary Policy, Leverage, and Bank Risk Taking by Mr.Luc Laeven,Mr.Giovanni Dell'Ariccia,Mr.Robert Marquez Pdf

We provide a theoretical foundation for the claim that prolonged periods of easy monetary conditions increase bank risk taking. The net effect of a monetary policy change on bank monitoring (an inverse measure of risk taking) depends on the balance of three forces: interest rate pass-through, risk shifting, and leverage. When banks can adjust their capital structures, a monetary easing leads to greater leverage and lower monitoring. However, if a bank's capital structure is fixed, the balance depends on the degree of bank capitalization: when facing a policy rate cut, well capitalized banks decrease monitoring, while highly levered banks increase it. Further, the balance of these effects depends on the structure and contestability of the banking industry, and is therefore likely to vary across countries and over time.

Monetary Policy Strategy

Frederic S. Mishkin
Monetary Policy Strategy Book PDF

Author : Frederic S. Mishkin
Publisher : MIT Press
Page : 561 pages
File Size : 54,8 Mb
Release : 2009-08-21
Category : Business & Economics
ISBN : 9780262513371

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Monetary Policy Strategy by Frederic S. Mishkin Pdf

A leading academic authority and policymaker discusses monetary policy strategy from the perspectives of both scholar and practitioner, offering theory, econometric evidence, and extensive case studies. This book by a leading authority on monetary policy offers a unique view of the subject from the perspectives of both scholar and practitioner. Frederic Mishkin is not only an academic expert in the field but also a high-level policymaker. He is especially well positioned to discuss the changes in the conduct of monetary policy in recent years, in particular the turn to inflation targeting. Monetary Policy Strategy describes his work over the last ten years, offering published papers, new introductory material, and a summing up, “Everything You Wanted to Know about Monetary Policy Strategy, But Were Afraid to Ask,” which reflects on what we have learned about monetary policy over the last thirty years. Mishkin blends theory, econometric evidence, and extensive case studies of monetary policy in advanced and emerging market and transition economies. Throughout, his focus is on these key areas: the importance of price stability and a nominal anchor; fiscal and financial preconditions for achieving price stability; central bank independence as an additional precondition; central bank accountability; the rationale for inflation targeting; the optimal inflation target; central bank transparency and communication; and the role of asset prices in monetary policy.

Monetary Policy and Balance Sheets

Ms.Deniz Igan,Alain N. Kabundi,Mr.Francisco Nadal De Simone,Ms.Natalia T. Tamirisa
Monetary Policy and Balance Sheets Book PDF

Author : Ms.Deniz Igan,Alain N. Kabundi,Mr.Francisco Nadal De Simone,Ms.Natalia T. Tamirisa
Publisher : International Monetary Fund
Page : 38 pages
File Size : 41,6 Mb
Release : 2013-07-03
Category : Business & Economics
ISBN : 9781484343500

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Monetary Policy and Balance Sheets by Ms.Deniz Igan,Alain N. Kabundi,Mr.Francisco Nadal De Simone,Ms.Natalia T. Tamirisa Pdf

This paper evaluates the strength of the balance sheet channel in the U.S. monetary policy transmission mechanism over the past three decades. Using a Factor-Augmented Vector Autoregression model on an expanded data set, including sectoral balance sheet variables, we show that the balance sheets of various economic agents act as important links in the monetary policy transmission mechanism. Balance sheets of financial intermediaries, such as commercial banks, asset-backed-security issuers and, to a lesser extent, security brokers and dealers, shrink in response to monetary tightening, while money market fund assets grow. The balance sheet effects are comparable in magnitude to the traditional interest rate channel. However, their economic significance in the run-up to the recent financial crisis was small. Large increases in interest rates would have been needed to avert a rapid rise of house prices and an unsustainable expansion of mortgage credit, suggesting an important role for macroprudential policies.

Financial Stability Monitoring

Tobias Adrian,Daniel M. Covitz,Nellie Liang
Financial Stability Monitoring Book PDF

Author : Tobias Adrian,Daniel M. Covitz,Nellie Liang
Publisher : Unknown
Page : 0 pages
File Size : 54,5 Mb
Release : 2020
Category : Electronic
ISBN : OCLC:1375396082

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Financial Stability Monitoring by Tobias Adrian,Daniel M. Covitz,Nellie Liang Pdf

In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.

International Evidence on Government Support and Risk Taking in the Banking Sector

Mr.Luis Brandão Brandao Marques,Mr.Ricardo Correa,Mr.Horacio Sapriza
International Evidence on Government Support and Risk Taking in the Banking Sector Book PDF

Author : Mr.Luis Brandão Brandao Marques,Mr.Ricardo Correa,Mr.Horacio Sapriza
Publisher : International Monetary Fund
Page : 36 pages
File Size : 40,6 Mb
Release : 2013-05-02
Category : Business & Economics
ISBN : 9781484309346

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International Evidence on Government Support and Risk Taking in the Banking Sector by Mr.Luis Brandão Brandao Marques,Mr.Ricardo Correa,Mr.Horacio Sapriza Pdf

Government support to banks through the provision of explicit or implicit guarantees affects the willingness of banks to take on risk by reducing market discipline or by increasing charter value. We use an international sample of bank data and government support to banks for the periods 2003-2004 and 2009-2010. We find that more government support is associated with more risk taking by banks, especially during the financial crisis (2009-10). We also find that restricting banks' range of activities ameliorates the moral hazard problem. We conclude that strengthening market discipline in the banking sector is needed to address this moral hazard problem.