scholarly journals Shadow banks and the risk-taking channel of monetary policy transmission in the euro area

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Arina Wischnewsky ◽  
Matthias Neuenkirch
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Risk Taking ◽  
Banking Sector ◽  
Shadow Banking ◽  
Monetary Policy Transmission ◽  
Monetary Policy Shocks ◽  
Shadow Banks ◽  
Policy Transmission ◽  
Policy Shocks

AbstractWe provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks’ total asset growth and their risk assets ratio. Our dataset covers the period 2000Q1–2018Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find a portfolio reallocation effect towards riskier assets and evidence for a general expansion of assets. Both effects last for roughly six quarters in the case of conventional monetary policy shocks, whereas for unconventional monetary policy shocks the responses are significant for two quarters only. Country-specific as well as sector-specific estimations confirm these findings for most of the euro area countries and all non-bank types, but also reveal some heterogeneity in the reaction of financial institutions.

Ownership diversity and the risk-taking channel of monetary policy transmission

2020 ◽  
Vol 44 (6) ◽  
pp. 1329-1364
Author(s):  
Giorgio Caselli ◽  
Catarina Figueira ◽  
Joseph G Nellis
Keyword(s):  
Monetary Policy ◽  
Risk Taking ◽  
Financial Services ◽  
Diversity Index ◽  
Banking System ◽  
Interdisciplinary Approach ◽  
Monetary Policy Transmission ◽  
Policy Transmission ◽  
Policy Shocks ◽  
The Impact

Abstract This paper joins a rapidly growing body of literature that aims to uncover the link between monetary policy and bank risk taking. We investigate the hypothesis that the ownership composition of the banking system moderates monetary policy transmission via the risk-taking channel. Borrowing measures used in ecology to quantify diversity of species within an ecosystem and first applied to the field of finance by Michie, J. and Oughton, C. 2013. ‘Measuring Diversity in Financial Services Markets: A Diversity Index’, Centre for Financial and Management Studies Discussion Papers no. 113, this paper shows that the impact of exogenous monetary policy shocks on banks’ probability of default is reduced in countries with greater ownership diversity. We also find that—ceteris paribus—shareholder- and stakeholder-oriented banks located in more ownership-diverse systems tend to have a lower appetite for risk than their counterparts operating in less diverse markets. These results are robust across several econometric specifications and emphasise the stabilising role played by ownership diversity in modern financial systems. At the same time, our evidence suggests that a more interdisciplinary approach, firmly grounded in the applied, empirical research methodology, can provide novel and useful insights into the implications of monetary policy for financial and economic outcomes.

scholarly journals Banking Sector and Monetary Policy Transmission: Bank Capital, Credit and Risk-Taking Channels

2013 ◽  
Vol 04 (01) ◽  
pp. 77-86 ◽  
Author(s):  
Philippe Gilles ◽  
Marie-Sophie Gauvin ◽  
Nicolas Huchet
Keyword(s):  
Monetary Policy ◽  
Risk Taking ◽  
Banking Sector ◽  
Bank Capital ◽  
Monetary Policy Transmission ◽  
Policy Transmission

Monetary Policy Shocks and Effectiveness of Channels of Transmission in Nigeria: A Dynamic Stochastic General Equilibrium Approach

2019 ◽  
Vol 20 (2) ◽  
pp. 331-353 ◽  
Author(s):  
Akinlo Anthony Enisan ◽  
Apanisile Olumuyiwa Tolulope
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Dynamic Stochastic General Equilibrium ◽  
Monetary Policy Transmission ◽  
Monetary Policy Shocks ◽  
Transmission Channels ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Dynamic Stochastic ◽  
Monetary Policy Shock

This study examines the effect of anticipated and unanticipated monetary policy shocks on the effectiveness of monetary policy transmission mechanism in Nigeria by estimating a sticky-price dynamic stochastic general equilibrium (DSGE) model using Bayesian estimation approach. Four major transmission channels (exchange rate, interest rate, credit and expectation) are considered due to the economic and financial conditions of Nigeria. The study employs quarterly data from 1986:1 to 2013:4 and data are sourced from World Development Indicator (online version). Results show that unanticipated monetary policy shock has short-run impact on monetary policy transmission channels, while anticipated monetary policy shock has long-run impact on the monetary policy transmission channels. The study, therefore, concluded that efforts should be directed at reducing the unanticipated monetary policy by announcing government policy at the beginning of the year so as to reduce people’s expectation.

scholarly journals Firm Investment and Monetary Policy Transmission in the Euro Area

2001 ◽  
Author(s):  
Jean-Bernard Chatelain ◽  
Andrea Generale ◽  
Ignacio Hernando ◽  
Ulf von Kalckreuth ◽  
Philip Vermeulen
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Firm Investment ◽  
Monetary Policy Transmission ◽  
Policy Transmission
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