Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/207183
Authors: 
Huang, Yiping
Li, Xiang
Wang, Chu
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper 7792
Abstract: 
This paper uses loan application-level data from a peer-to-peer lending platform to study the risk-taking channel of monetary policy. By employing a direct ex-ante measure of risk-taking and estimating the simultaneous equations of loan approval and loan amount, we are the first to provide quantitative evidence of the impact of monetary policy on the risk-taking of nonbank financial institution. We find that the search-for-yield is the main workhorse of the risk-taking effect, while we do not observe consistent findings of risk-shifting from the liquidity change. Monetary policy easing is associated with a higher probability of granting loans to risky borrowers and a greater riskiness of credit allocation, but these changes do not necessarily relate to a larger loan amount on average.
Subjects: 
monetary policy
risk-taking
nonbank financial institution
peer-to-peer lending
search-for-yield
risk-shifting
JEL: 
E52
G23
Document Type: 
Working Paper

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