Bank risk aversion and the risk-taking channel of monetary policy in the euro area

The financial crisis has provoked economic policy interest and academic research on the functioning and empirical verification of the risktaking channel of monetary policy. The results of this paper demonstrate how the European Central Bank?s Bank lending survey responses can be used to construct a...

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Bibliographic Details
Published inPanoeconomicus Vol. 64; no. 5; pp. 607 - 621
Main Author Dajcman, Silvo
Format Journal Article
LanguageEnglish
Published Novi Sad The Associations of Economists of Vojvodina 01.01.2017
Economists' Association of Vojvodina
Subjects
Balance sheets
bank credit standards
Banking
Banks
Central banks
Credit risk
Econometrics
Economic crisis
Economic policy
Euro
Eurozone
GDP
Gross Domestic Product
Inflation
Interest rates
International finance
Loans
Monetary policy
Regression analysis
Responses
Risk
Risk aversion
Risk behavior
Risk factors
Risk taking
risk-taking channel of monetary policy transmission
Stiglitz, Joseph E
Verification
Europe
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Summary:The financial crisis has provoked economic policy interest and academic research on the functioning and empirical verification of the risktaking channel of monetary policy. The results of this paper demonstrate how the European Central Bank?s Bank lending survey responses can be used to construct a ?pure? risk aversion indicator of banks? business lending. Using panel vector autoregression econometric methodology, we find evidence that the monetary policy affects the ?pure? risk aversion of banks and later affects business loans and inflation in the euro area. The results suggest that the risktaking channel in the euro area is operational. nema
ISSN:1452-595X
2217-2386
DOI:10.2298/PAN150601016D