Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162170
Authors: 
Neuenkirch, Matthias
Nöckel, Matthias
Year of Publication: 
2017
Series/Report no.: 
Research Papers in Economics 2/17
Abstract: 
In this paper, we provide evidence for a risk-taking channel of monetary policy transmission in the euro area. Our dataset covers the period 2003Q1-2016Q2 and includes, in addition to the standard variables for real GDP growth, inflation, and the main refinancing rate, indicators of bank lending standards and bank lending margins. Based on vector autoregressive models with (i) recursive identification and (ii) sign restrictions, we show that banks react quickly and aggressively to an expansionary monetary policy shock by decreasing their lending standards. The banks' efforts to keep their lending margins stable are successful, as we find only an insignificant decrease in the margins over the medium-run.
Subjects: 
European Central Bank
Macroprudential Policy
Monetary Policy Transmission
Risk-Taking Channel
Vector Autoregression
JEL: 
E44
E51
E52
E58
G28
Document Type: 
Working Paper

Files in This Item:
File
Size
850.17 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.