The Risk-Taking Channel of Monetary Policy in the Us: Evidence from Corporate Loan Data

41 Pages Posted: 14 Aug 2017 Last revised: 18 Nov 2021

See all articles by Manthos D. Delis

Manthos D. Delis

Audencia Business School

Iftekhar Hasan

Fordham University ; Bank of Finland; University of Sydney

Nikolaos Mylonidis

University of Ioannina, Dept. of Economics

Date Written: August 7, 2017

Abstract

To study the presence of a risk-taking channel in the US, we build a comprehensive dataset from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk-taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply-side driven only when using Taylor residuals and an ex ante measure of bank risk-taking. Our results highlight the sensitivity of the potency of the risk-taking channel to the measures of monetary policy innovations.

Keywords: bank risk, monetary policy, US commercial banks, total loans, new loans

JEL Classification: G21, G01, E43, E52

Suggested Citation

Delis, Manthos D. and Hasan, Iftekhar and Mylonidis, Nikolaos, The Risk-Taking Channel of Monetary Policy in the Us: Evidence from Corporate Loan Data (August 7, 2017). Bank of Finland Research Discussion Paper No. 18/2017, Available at SSRN: https://ssrn.com/abstract=3016717 or http://dx.doi.org/10.2139/ssrn.3016717

Manthos D. Delis (Contact Author)

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

Iftekhar Hasan

Fordham University ( email )

45 COLUMBUS AVENUE
GBA-5TH FLOOR
NEW YORK, NY 10023
United States

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

University of Sydney ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

Nikolaos Mylonidis

University of Ioannina, Dept. of Economics ( email )

University Campus
Ioannina, 45110
Greece

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
106
Abstract Views
626
Rank
460,172
PlumX Metrics