Does Monetary Policy Affect Bank Risk-Taking?
- 1 March 2010
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low interest rates over an extended period of time contributed to an increase in banks' risk. This result holds for a wide range of measures of risk, as well as macroeconomic and institutional controls.Keywords
All Related Versions
This publication has 54 references indexed in Scilit:
- Bank profitability and the business cycleJournal of Financial Stability, 2009
- Incentives and risk taking in hedge fundsJournal of Banking & Finance, 2007
- Bank regulation and supervision: what works best?Published by Elsevier ,2003
- The impact of risk regulation on price dynamicsJournal of Banking & Finance, 2003
- Deregulation, market power and risk behaviour in Spanish banksPublished by Elsevier ,2002
- On estimating the expected return on the market: An exploratory investigationPublished by Elsevier ,2002
- Imperfect competition, risk taking, and regulation in bankingEuropean Economic Review, 2000
- Initial conditions and moment restrictions in dynamic panel data modelsJournal of Econometrics, 1998
- Another look at the instrumental variable estimation of error-components modelsJournal of Econometrics, 1995
- The impact of monetary policy on bank balance sheetsCarnegie-Rochester Conference Series on Public Policy, 1995