Jurnal of Finance - Bank Leverage and Monetary Policy's Risk-Taking Channel: Evidence from the United States (GIOVANNI DELL'ARICCIA,LUC AEVEN,GUSTAVO A. SUAREZ )
ABSTRACT
We present evidence of a risk-taking channel of
monetary policy for the U.S. banking system. We use confidential data on banks’
internal ratings on loans to businesses over the period 1997 to 2011 from the
Federal Reserve's Survey of Terms of Business Lending. We find that ex ante
risk-taking by banks (measured by the risk rating of new loans) is negatively
associated with increases in short-term interest rates. This relationship is
more pronounced in regions that are less in sync with the nationwide business
cycle, and less pronounced for banks with relatively low capital or during
periods of financial distress.
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