Exploiting the panel VAR GMM estimator's features, macroeconomic country factors are combined with micro-economic bank data to test for the risk taking channel in the Euro Area. According to prior expectations based on an extended DSGE model, the analysis demonstrates that the monetary policy incentives bank risk taking by increasing the bank leverage, but it is not able to influence the level of credit risk. However, deeper investigations indicates the Taylor gap adds to the bank risk appetite in all its forms, while regarding the reactions to target variables, movements in the interest rate smooth the bank risk.

The cost of deviating from the optimal monetary policy: A panel VAR analysis / Guerello, Chiara. - In: JOURNAL OF FINANCIAL STABILITY. - ISSN 1572-3089. - 15:(2014), pp. 210-229. [10.1016/j.jfs.2014.10.004]

The cost of deviating from the optimal monetary policy: A panel VAR analysis

GUERELLO, CHIARA
2014

Abstract

Exploiting the panel VAR GMM estimator's features, macroeconomic country factors are combined with micro-economic bank data to test for the risk taking channel in the Euro Area. According to prior expectations based on an extended DSGE model, the analysis demonstrates that the monetary policy incentives bank risk taking by increasing the bank leverage, but it is not able to influence the level of credit risk. However, deeper investigations indicates the Taylor gap adds to the bank risk appetite in all its forms, while regarding the reactions to target variables, movements in the interest rate smooth the bank risk.
Credit risk; Monetary policy; Panel VAR; Risk taking channel; Taylor gap; Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous); Finance
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/177341
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