Séminaire interne GREDEG - Joslem Ngambou

Recherche

"Re-exploring the nexus between monetary policy and banks’ risk-taking "

15-03-2018 - 14h00 à 15h30 - Picasso Room

Title : Re-exploring the nexus between monetary policy and banks’ risk-taking

Abstract : In this paper, we analyse the link between monetary policy and banks’ risk-taking behaviour. Some theoretical and empirical studies show that monetary easy whet banks’ risk appetite through asset valuation and search for yield process. However, since 2010, the low interest rate environment has cast doubt on these results. Our study deepens the analysis of the monetary risk-taking channel considering non-linearity, especially through threshold effects model. Using a dataset of US banks, we find that the impact of low interest rates on banks risk depend on the regime of the monetary stance, i.e on the deviation of monetary rate from the Taylor rule.

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