IDEAS home Printed from https://ideas.repec.org/a/plo/pone00/0292007.html
   My bibliography  Save this article

Analysis of the risk transmission mechanism of monetary policy in the monetary and financial service sectors from the perspective of asset-liability management

Author

Listed:
  • Xuanling Ma
  • Meng Ji

Abstract

The Silicon Valley Bank crisis that occurred in March 2023 highlights the importance of studying the risk transmission mechanism underlying monetary policy. To explore this mechanism in the monetary and financial services sector from the perspective of asset-liability management, the relationships between asset- and liability-side risks and the corresponding action direction of those risks were empirically studied based on the risk-taking channel theory of monetary policy using publicly available information on 176 Chinese monetary and financial services companies covering the period of 2000 to 2022. The analysis shows that asset-side risks are transmitted through monetary policy as liability-side risks in the monetary and financial service sectors. If the liability side passively takes on these risks, the action direction of monetary policy to asset-side risks is determined; when the liability side actively takes on these risks, monetary policy exerts opposite effects on both types of risks. This conclusion somewhat deepens our understanding of the risk transmission mechanism of monetary policy, which is helpful in better formulating and implementing monetary policy.

Suggested Citation

  • Xuanling Ma & Meng Ji, 2023. "Analysis of the risk transmission mechanism of monetary policy in the monetary and financial service sectors from the perspective of asset-liability management," PLOS ONE, Public Library of Science, vol. 18(10), pages 1-16, October.
    • Handle: RePEc:plo:pone00:0292007
    DOI: 10.1371/journal.pone.0292007
    as

    Download full text from publisher

    File URL: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0292007
    Download Restriction: no
    File URL: https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0292007&type=printable
    Download Restriction: no
    File URL: https://libkey.io/10.1371/journal.pone.0292007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Wischnewsky Arina & Neuenkirch Matthias, 2021. "Shadow banks and the risk-taking channel of monetary policy transmission in the euro area," German Economic Review, De Gruyter, vol. 22(1), pages 97-128, February.
    2. Martin Feldkircher & Florian Huber, 2018. "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, vol. 11(4), pages 1-31, October.
    3. Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2021. "Banks’ exposure to interest rate risk and the transmission of monetary policy," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 543-570.
    4. Diana Bonfim & Carla Soares, 2018. "The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1507-1541, October.
    5. Gambacorta, Leonardo & Shin, Hyun Song, 2018. "Why bank capital matters for monetary policy," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 17-29.
    6. Giorgio Caselli & Catarina Figueira, 2023. "Monetary policy, ownership structure, and risk‐taking at financial intermediaries," The Financial Review, Eastern Finance Association, vol. 58(1), pages 167-191, February.
    7. Usman Bashir & Yu Yugang & Muntazir Hussain, 2020. "Role of bank heterogeneity and market structure in transmitting monetary policy via bank lending channel: empirical evidence from Chinese banking sector," Post-Communist Economies, Taylor & Francis Journals, vol. 32(8), pages 1038-1061, November.
    8. Bruno, Valentina & Shin, Hyun Song, 2015. "Capital flows and the risk-taking channel of monetary policy," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 119-132.
    9. Ciccarelli, Matteo & Maddaloni, Angela & Peydró, José-Luis, 2015. "Trusting the bankers: A new look at the credit channel of monetary policy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 18(4), pages 979-1002.
    10. Jin Cao & Gerhard Illing, 2022. "Money in the Equilibrium of Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 119-144, February.
    11. Koray Alper & Mahir Binici & Selva Demiralp & Hakan Kara & Pinar Özlü, 2018. "Reserve Requirements, Liquidity Risk, and Bank Lending Behavior," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(4), pages 817-827, June.
    12. Mariusz Kapuściński, 2017. "The Role of Bank Balance Sheets in Monetary Policy Transmission: Evidence from Poland," Eastern European Economics, Taylor & Francis Journals, vol. 55(1), pages 50-69, January.
    13. DellʼAriccia, Giovanni & Laeven, Luc & Marquez, Robert, 2014. "Real interest rates, leverage, and bank risk-taking," Journal of Economic Theory, Elsevier, vol. 149(C), pages 65-99.
    14. Yoon G. Lee & Emily Hales & Heather H. Kelley, 2023. "Financial Behaviors, Government Assistance, and Financial Satisfaction," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 166(1), pages 85-103, February.
    15. Tsvetomira Tsenova, 2014. "International monetary transmission with bank heterogeneity and default risk," Annals of Finance, Springer, vol. 10(2), pages 217-241, May.
    16. Dorothy Nampewo, 2021. "Why are Lending Rates Sticky? Investigating the Asymmetrical Adjustment of Bank Lending Rates in Uganda," Journal of African Business, Taylor & Francis Journals, vol. 22(1), pages 126-151, January.
    17. Schmidt, Julia & Caccavaio, Marianna & Carpinelli, Luisa & Marinelli, Giuseppe, 2018. "International spillovers of monetary policy: Evidence from France and Italy," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 50-66.
    18. de Moraes, Claudio Oliveira & Montes, Gabriel Caldas & Antunes, José Américo Pereira, 2016. "How does capital regulation react to monetary policy? New evidence on the risk-taking channel," Economic Modelling, Elsevier, vol. 56(C), pages 177-186.
    19. Tito Cordella & Giovanni Dell’Ariccia & Robert Marquez, 2018. "Government Guarantees, Transparency, and Bank Risk Taking," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(1), pages 116-143, March.
    20. Usman Bashir & Shoaib Khan & Abdulhafiz Jones & Muntazir Hussain, 2021. "Do banking system transparency and market structure affect financial stability of Chinese banks?," Economic Change and Restructuring, Springer, vol. 54(1), pages 1-41, February.
    21. Usman Bashir & Yugang Yu, 2020. "Do confucianism and political connections affect stock price crash risk: evidence from Chinese economy?," Applied Economics Letters, Taylor & Francis Journals, vol. 27(7), pages 569-575, April.
    22. Maciej Ryczkowski, 2020. "Macroeconomic Effects of Unconventional Balance Sheet Policies in the United States and the Euro Area," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 67(5), pages 627-655.
    23. Bhaumik, Sumon Kumar & Dang, Vinh & Kutan, Ali M., 2011. "Implications of bank ownership for the credit channel of monetary policy transmission: Evidence from India," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2418-2428, September.
    24. Theo Kiriazidis, 2018. "The European deposit insurance game plan," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 11(1), pages 2-20, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
    2. Christian Bittner & Diana Bonfim & Florian Heider & Farzad Saidi & Glenn Schepens & Carla Soares, 2022. "The Augmented Bank Balance-Sheet Channel of Monetary Policy," ECONtribute Discussion Papers Series 149, University of Bonn and University of Cologne, Germany.
    3. Buch, Claudia M. & Bussierè, Matthieu & Goldberg, Linda & Hills, Robert, 2019. "The international transmission of monetary policy," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 29-48.
    4. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    5. Segev, Nimrod, 2020. "Identifying the risk-Taking channel of monetary transmission and the connection to economic activity," Journal of Banking & Finance, Elsevier, vol. 116(C).
    6. Jiang, Hai & Yuan, Chao, 2022. "Monetary policy, capital regulation and bank risk-taking：Evidence from China," Journal of Asian Economics, Elsevier, vol. 82(C).
    7. Koenig, Philipp J. & Schliephake, Eva, 2022. "Bank risk-taking and impaired monetary policy transmission," Working Paper Series 2638, European Central Bank.
    8. Heider, Florian & Leonello, Agnese, 2021. "Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking," Working Paper Series 2593, European Central Bank.
    9. Avdjiev, Stefan & Aysun, Uluc & Hepp, Ralf, 2019. "What drives local lending by global banks?," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 54-75.
    10. Bruno de Menna, 2021. "Monetary Policy, Credit Risk, and Profitability: The Influence of Relationship Lending on Cooperative Banks' Performance," Working Papers hal-03138738, HAL.
    11. Gilbert COLLETAZ & Grégory LEVIEUGE & Alexandra POPESCU, 2016. "Monetary Policy and Long-Run Risk-Taking," LEO Working Papers / DR LEO 2409, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    12. Rendón, Juan F. & Cortés, Lina M. & Perote, Javier, 2024. "Basel III countercyclical bank capital buffer estimation and its relation to monetary policy," Journal of Economics and Business, Elsevier, vol. 130(C).
    13. Luigi Bonatti & Andrea Fracasso & Roberto Tamborini, 2021. "Monetary and Fiscal Spillovers Across the Atlantic: The Role of Financial Markets," DEM Working Papers 2021/09, Department of Economics and Management.
    14. Hamdi Jbir & Cornel Oros & Alexandra Popescu, 2024. "Macroprudential policy and financial system stability: an aggregate study," Empirical Economics, Springer, vol. 66(5), pages 1941-1973, May.
    15. Lee, Seung Jung & Liu, Lucy Qian & Stebunovs, Viktors, 2022. "Risk-taking spillovers of U.S. monetary policy in the global market for U.S. dollar corporate loans," Journal of Banking & Finance, Elsevier, vol. 138(C).
    16. Seung Jung Lee & Lucy Qian Liu & Viktors Stebunovs, 2017. "Risk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market," IMF Working Papers 2017/016, International Monetary Fund.
    17. Bekaert, Geert & Hoerova, Marie & Xu, Nancy, 2023. "Risk, Monetary Policy and Asset Prices in a Global World," CEPR Discussion Papers 18229, C.E.P.R. Discussion Papers.
    18. Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
    19. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    20. Lazopoulos, Ioannis & Gabriel, Vasco, 2019. "Policy mandates and institutional architecture," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 122-134.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:plo:pone00:0292007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: plosone (email available below). General contact details of provider: https://journals.plos.org/plosone/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.