Bank leverage and monetary policy's risk-taking channel: evidence from the United States
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 ri...
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| Main Authors: | , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, DC
IMF
2013
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| Series: | IMF working paper
13/143 |
| Subjects: | |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | 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 |
| Item Description: | Description based upon print version of record |
| Physical Description: | 1 Online-Ressource (40 Seiten) graph. Darst |
| Format: | Systemvoraussetzungen: Acrobat Reader |
| ISBN: | 9781484381137 |
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| 505 | 8 | |a Cover; Contents; I. Introduction; II. A Simple Model of Interest Rates, Leverage, and Bank Risk Taking; III. Empirical Methodology; A. Regression Model of Bank Risk Taking; B. Financial Stability Considerations and Monetary Policy: Evidence from FOMC Minutes; IV. Data and Descriptive Statistics; A. Survey of Terms of Business Lending; B. Datasets and Variable Definitions; C. Descriptive Statistics of Main Variables; V. Empirical Results; A. Main Results; B. Robustness Checks; C. Long Periods with Low Interest Rates; VI. Conclusions; References; Figures; 1. Interest Rates and Bank Risk Taking | |
| 505 | 8 | |a Tables1. Summary Statistics; 2. Loan Risk Ratings and the Federal Funds Rate; 3. Loan Risk Ratings, the Federal Funds Rate, and Loan Characteristics; 4. Risk Ratings, the Federal Funds Rate, and Bank Capital; 5. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital for Loans Not Under Commitment; 6. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in Small Banks; 7. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in States Without Large Banks; 8. Loan Risk Rating, the Federal Funds Rate, and Bank Capital and State Cyclicality | |
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Record in the Search Index
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| author | Dell'Ariccia, Giovanni 1988- Laeven, Luc Suárez, Gustavo A. |
| author_GND | (DE-588)130436178 (DE-588)128755245 (DE-588)13219080X |
| author_facet | Dell'Ariccia, Giovanni 1988- Laeven, Luc Suárez, Gustavo A. |
| author_role | aut aut aut |
| author_sort | Dell'Ariccia, Giovanni 1988- |
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| bvnumber | BV048341453 |
| collection | ZDB-1-IMF |
| contents | 9. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital during Periods of Bank Distress10. Loan Risk Ratings, Bank Capital, and Regional Monetary Policy Conditions; 11. Loan Risk Rating, the Federal Funds Rate, Bank Capital, and the State of the Economy; 12. Loan Risk Rating, Bank Capital, and Long Periods of Low Interest Rates; Appendix Table 1. Frequency of Keywords Appearing in FOMC Minutes Cover; Contents; I. Introduction; II. A Simple Model of Interest Rates, Leverage, and Bank Risk Taking; III. Empirical Methodology; A. Regression Model of Bank Risk Taking; B. Financial Stability Considerations and Monetary Policy: Evidence from FOMC Minutes; IV. Data and Descriptive Statistics; A. Survey of Terms of Business Lending; B. Datasets and Variable Definitions; C. Descriptive Statistics of Main Variables; V. Empirical Results; A. Main Results; B. Robustness Checks; C. Long Periods with Low Interest Rates; VI. Conclusions; References; Figures; 1. Interest Rates and Bank Risk Taking Tables1. Summary Statistics; 2. Loan Risk Ratings and the Federal Funds Rate; 3. Loan Risk Ratings, the Federal Funds Rate, and Loan Characteristics; 4. Risk Ratings, the Federal Funds Rate, and Bank Capital; 5. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital for Loans Not Under Commitment; 6. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in Small Banks; 7. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in States Without Large Banks; 8. Loan Risk Rating, the Federal Funds Rate, and Bank Capital and State Cyclicality |
| ctrlnum | (ZDB-1-IMF)768412129 (OCoLC)867928189 (DE-599)GBV768412129 |
| format | Electronic eBook |
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| id | DE-604.BV048341453 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:13Z |
| indexdate | 2024-07-10T09:35:20Z |
| institution | BVB |
| isbn | 9781484381137 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033720720 |
| oclc_num | 867928189 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
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| physical | 1 Online-Ressource (40 Seiten) graph. Darst |
| psigel | ZDB-1-IMF |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | IMF |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Dell'Ariccia, Giovanni 1988- Verfasser (DE-588)130436178 aut Bank leverage and monetary policy's risk-taking channel evidence from the United States Giovanni Dell'Ariccia, Luc Laeven, and Gustavo Suarez Washington, DC IMF 2013 1 Online-Ressource (40 Seiten) graph. Darst txt rdacontent c rdamedia cr rdacarrier IMF working paper 13/143 Description based upon print version of record 9. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital during Periods of Bank Distress10. Loan Risk Ratings, Bank Capital, and Regional Monetary Policy Conditions; 11. Loan Risk Rating, the Federal Funds Rate, Bank Capital, and the State of the Economy; 12. Loan Risk Rating, Bank Capital, and Long Periods of Low Interest Rates; Appendix Table 1. Frequency of Keywords Appearing in FOMC Minutes Cover; Contents; I. Introduction; II. A Simple Model of Interest Rates, Leverage, and Bank Risk Taking; III. Empirical Methodology; A. Regression Model of Bank Risk Taking; B. Financial Stability Considerations and Monetary Policy: Evidence from FOMC Minutes; IV. Data and Descriptive Statistics; A. Survey of Terms of Business Lending; B. Datasets and Variable Definitions; C. Descriptive Statistics of Main Variables; V. Empirical Results; A. Main Results; B. Robustness Checks; C. Long Periods with Low Interest Rates; VI. Conclusions; References; Figures; 1. Interest Rates and Bank Risk Taking Tables1. Summary Statistics; 2. Loan Risk Ratings and the Federal Funds Rate; 3. Loan Risk Ratings, the Federal Funds Rate, and Loan Characteristics; 4. Risk Ratings, the Federal Funds Rate, and Bank Capital; 5. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital for Loans Not Under Commitment; 6. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in Small Banks; 7. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in States Without Large Banks; 8. Loan Risk Rating, the Federal Funds Rate, and Bank Capital and State Cyclicality 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 Systemvoraussetzungen: Acrobat Reader Electronic books Laeven, Luc Verfasser (DE-588)128755245 aut Suárez, Gustavo A. Verfasser (DE-588)13219080X aut http://elibrary.imf.org/view/IMF001/20562-9781484381137/20562-9781484381137/20562-9781484381137.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Dell'Ariccia, Giovanni 1988- Laeven, Luc Suárez, Gustavo A. Bank leverage and monetary policy's risk-taking channel evidence from the United States 9. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital during Periods of Bank Distress10. Loan Risk Ratings, Bank Capital, and Regional Monetary Policy Conditions; 11. Loan Risk Rating, the Federal Funds Rate, Bank Capital, and the State of the Economy; 12. Loan Risk Rating, Bank Capital, and Long Periods of Low Interest Rates; Appendix Table 1. Frequency of Keywords Appearing in FOMC Minutes Cover; Contents; I. Introduction; II. A Simple Model of Interest Rates, Leverage, and Bank Risk Taking; III. Empirical Methodology; A. Regression Model of Bank Risk Taking; B. Financial Stability Considerations and Monetary Policy: Evidence from FOMC Minutes; IV. Data and Descriptive Statistics; A. Survey of Terms of Business Lending; B. Datasets and Variable Definitions; C. Descriptive Statistics of Main Variables; V. Empirical Results; A. Main Results; B. Robustness Checks; C. Long Periods with Low Interest Rates; VI. Conclusions; References; Figures; 1. Interest Rates and Bank Risk Taking Tables1. Summary Statistics; 2. Loan Risk Ratings and the Federal Funds Rate; 3. Loan Risk Ratings, the Federal Funds Rate, and Loan Characteristics; 4. Risk Ratings, the Federal Funds Rate, and Bank Capital; 5. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital for Loans Not Under Commitment; 6. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in Small Banks; 7. Loan Risk Ratings, the Federal Funds Rate, and Bank Capital in States Without Large Banks; 8. Loan Risk Rating, the Federal Funds Rate, and Bank Capital and State Cyclicality |
| title | Bank leverage and monetary policy's risk-taking channel evidence from the United States |
| title_auth | Bank leverage and monetary policy's risk-taking channel evidence from the United States |
| title_exact_search | Bank leverage and monetary policy's risk-taking channel evidence from the United States |
| title_exact_search_txtP | Bank leverage and monetary policy's risk-taking channel evidence from the United States |
| title_full | Bank leverage and monetary policy's risk-taking channel evidence from the United States Giovanni Dell'Ariccia, Luc Laeven, and Gustavo Suarez |
| title_fullStr | Bank leverage and monetary policy's risk-taking channel evidence from the United States Giovanni Dell'Ariccia, Luc Laeven, and Gustavo Suarez |
| title_full_unstemmed | Bank leverage and monetary policy's risk-taking channel evidence from the United States Giovanni Dell'Ariccia, Luc Laeven, and Gustavo Suarez |
| title_short | Bank leverage and monetary policy's risk-taking channel |
| title_sort | bank leverage and monetary policy s risk taking channel evidence from the united states |
| title_sub | evidence from the United States |
| url | http://elibrary.imf.org/view/IMF001/20562-9781484381137/20562-9781484381137/20562-9781484381137.xml |
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