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Do bank characteristics influence the effect of monetary policy on bank risk?

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  • Altunbas, Yener
  • Gambacorta, Leonardo
  • Marques-Ibanez, David

Abstract

We analyze whether bank characteristics affect the impact of monetary policy on bank risk. We find that the insulation effects produced by capital and liquidity were lower for banks operating in countries with particularly low interest rates.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 220-222

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:220-222

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Risk-taking channel; Monetary policy; Credit crisis; Bank characteristics;

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References

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  1. Giovanni Dell'Ariccia, 2010. "Monetary Policy and Bank Risk-Taking," IMF Staff Position Notes 2010/09, International Monetary Fund.
  2. Angela Maddaloni, 2011. "Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(6), pages 2121-2165.
  3. Hamid Mehran, 0. "Bank Capital and Value in the Cross-Section," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(4), pages 1019-1067.
  4. DellAriccia, Giovanni & Laeven, Luc & Marquez, Robert, 2011. "Monetary Policy, Leverage, and Bank Risk-taking," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8199, C.E.P.R. Discussion Papers.
  5. Raghuram G. Rajan, 2005. "Has financial development made the world riskier?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
  6. John H. Boyd & Gianni De Nicolã, 2005. "The Theory of Bank Risk Taking and Competition Revisited," Journal of Finance, American Finance Association, American Finance Association, vol. 60(3), pages 1329-1343, 06.
  7. John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
  8. Douglas W. Diamond & Raghuram G. Rajan, 2009. "Illiquidity and Interest Rate Policy," NBER Working Papers 15197, National Bureau of Economic Research, Inc.
  9. Matutes, Carmen & Vives, Xavier, 1995. "Imperfect Competition, Risk Taking, and Regulation in Banking," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1177, C.E.P.R. Discussion Papers.
  10. Altunbas, Yener & Marqués-Ibáñez, David & Manganelli, Simone, 2011. "Bank risk during the financial crisis: do business models matter?," Working Paper Series, European Central Bank 1394, European Central Bank.
  11. Dubecq, S. & Mojon, B. & Ragot, X., 2009. "Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy," Working papers, Banque de France 254, Banque de France.
  12. Ouarda Merrouche & Enrica Detragiache & Asli Demirgüç-Kunt, 2010. "Bank Capital," IMF Working Papers 10/286, International Monetary Fund.
  13. González-Aguado, Carlos & Suarez, Javier, 2011. "Interest Rates and Credit Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8398, C.E.P.R. Discussion Papers.
  14. Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2010. "Does monetary policy affect bank risk-taking?," Working Paper Series, European Central Bank 1166, European Central Bank.
  15. Tobias Adrian & Hyun Song Shin, 2009. "Financial intermediaries and monetary economics," Staff Reports, Federal Reserve Bank of New York 398, Federal Reserve Bank of New York.
  16. Berger, Allen N. & Bouwman, Christa H.S., 2013. "How does capital affect bank performance during financial crises?," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(1), pages 146-176.
  17. Demirguc-Kunt, Asli & Detragiache, Enrica & Merrouche, Ouarda, 2010. "Bank capital : lessons from the financial crisis," Policy Research Working Paper Series 5473, The World Bank.
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Cited by:
  1. Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013. "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia 763, Banco de la Republica de Colombia.

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