Monetary Conditions and Banks' Behaviour in the Czech Republic
This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At the same time, a lower interest rate during the life of a loan reduces its riskiness. While seeking to assess the association between banksâ€™ appetite for risk and the short-term interest rate we answer a set of questions related to the difference between higher liquidity versus credit risk and the effect of the policy rate conditioned on bank and borrower characteristics.
|Date of creation:||Jan 2012|
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- Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010.
"Does monetary policy affect bank risk-taking?,"
BIS Working Papers
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- Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
- Alex Stomper, 2006. "A Theory of Banks' Industry Expertise, Market Power, and Credit Risk," Management Science, INFORMS, vol. 52(10), pages 1618-1633, October.
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