Economic sectors and the risk-taking channel of monetary policy

The recent financial crises brought about a new string of theoretical and empirical studies about the so-called risk-taking channel of monetary policy. There is strong empirical evidence of the channel in terms of local and in terms of the international spillovers of the mechanism. In this paper we...

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Autor Principal: López-Piñeros, Martha Rosalba
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Banco de la República de Colombia 2017
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Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/6342
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spelling oai:RI-BanRep:20.500.12134-63422019-04-16T16:33:44Z Economic sectors and the risk-taking channel of monetary policy López-Piñeros, Martha Rosalba Política monetaria Riesgo crediticio Suministro de crédito Capital bancario Estabilidad financiera E52 - Monetary Policy E44 - Financial Markets and the Macroeconomy E51 - Money Supply; Credit; Money Multipliers G10 - General Financial Markets: General G20 - Financial Institutions and Services: General Monetary policy Credit risk Supply of credit Bank capital Financial stability Crédito -- Colombia -- 2005-2014 Riesgo (Economía) -- Colombia -- 2005-2014 Empresas -- Crédito -- Colombia -- 2005-2014 G10 - Mercados financieros en general: Generalidades E44 - Mercados financieros y macroeconomía E51 - Oferta monetaria; Crédito; Multiplicadores monetarios E52 - Política monetaria G20 - Instituciones y servicios financieros: Generalidades The recent financial crises brought about a new string of theoretical and empirical studies about the so-called risk-taking channel of monetary policy. There is strong empirical evidence of the channel in terms of local and in terms of the international spillovers of the mechanism. In this paper we contribute to this empirical literature and enhance the range of the analysis by studying which economic sectors are more vulnerable to the channel. We use loan level micro-data for 3019 Colombian firms between 2005:1 and 2014:3. The identification technique used for our estimations is the one developed in Jimenez et al. (2014). Our results show strong evidence of a risk-taking channel for the economy as a whole and a stronger effect in the agriculture and services sectors than in the others. This results are supported in terms not only of ex ante credit risk but also in terms of ex post credit risk. The firms more affected are the less profitable and the less leveraged. 2017-11-29 2017-11-29 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/6342 http://hdl.handle.net/20.500.12134/6342 eng Documentos de trabajo Borradores de Economía Borradores de Economía; No. 1029 https://ideas.repec.org/p/bdr/borrec/1029.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. 26 páginas : gráficas, tablas PDF application/pdf Bogotá Banco de la República de Colombia Adrian, T. and Shin, H. (2010). Financial Intermediaries and Monetary Economics. 3:601-650. Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2014). Does Monetary Policy Affect Bank Risk? International Journal of Central Banking, 10(1):95-136. Apel, M. and Claussen, C. A. (2012). Monetary Policy, Interest Rates and Risk-Taking. Sveriges Riskbank Economic Review, 467(2):68-83.
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Inglés (English)
topic Política monetaria
Riesgo crediticio
Suministro de crédito
Capital bancario
Estabilidad financiera
E52 - Monetary Policy
E44 - Financial Markets and the Macroeconomy
E51 - Money Supply; Credit; Money Multipliers
G10 - General Financial Markets: General
G20 - Financial Institutions and Services: General
Monetary policy
Credit risk
Supply of credit
Bank capital
Financial stability
Crédito -- Colombia -- 2005-2014
Riesgo (Economía) -- Colombia -- 2005-2014
Empresas -- Crédito -- Colombia -- 2005-2014
G10 - Mercados financieros en general: Generalidades
E44 - Mercados financieros y macroeconomía
E51 - Oferta monetaria; Crédito; Multiplicadores monetarios
E52 - Política monetaria
G20 - Instituciones y servicios financieros: Generalidades
spellingShingle Política monetaria
Riesgo crediticio
Suministro de crédito
Capital bancario
Estabilidad financiera
E52 - Monetary Policy
E44 - Financial Markets and the Macroeconomy
E51 - Money Supply; Credit; Money Multipliers
G10 - General Financial Markets: General
G20 - Financial Institutions and Services: General
Monetary policy
Credit risk
Supply of credit
Bank capital
Financial stability
Crédito -- Colombia -- 2005-2014
Riesgo (Economía) -- Colombia -- 2005-2014
Empresas -- Crédito -- Colombia -- 2005-2014
G10 - Mercados financieros en general: Generalidades
E44 - Mercados financieros y macroeconomía
E51 - Oferta monetaria; Crédito; Multiplicadores monetarios
E52 - Política monetaria
G20 - Instituciones y servicios financieros: Generalidades
López-Piñeros, Martha Rosalba
Economic sectors and the risk-taking channel of monetary policy
description The recent financial crises brought about a new string of theoretical and empirical studies about the so-called risk-taking channel of monetary policy. There is strong empirical evidence of the channel in terms of local and in terms of the international spillovers of the mechanism. In this paper we contribute to this empirical literature and enhance the range of the analysis by studying which economic sectors are more vulnerable to the channel. We use loan level micro-data for 3019 Colombian firms between 2005:1 and 2014:3. The identification technique used for our estimations is the one developed in Jimenez et al. (2014). Our results show strong evidence of a risk-taking channel for the economy as a whole and a stronger effect in the agriculture and services sectors than in the others. This results are supported in terms not only of ex ante credit risk but also in terms of ex post credit risk. The firms more affected are the less profitable and the less leveraged.
format Documento de trabajo (Working Paper)
author López-Piñeros, Martha Rosalba
author_facet López-Piñeros, Martha Rosalba
author_sort López-Piñeros, Martha Rosalba
title Economic sectors and the risk-taking channel of monetary policy
title_short Economic sectors and the risk-taking channel of monetary policy
title_full Economic sectors and the risk-taking channel of monetary policy
title_fullStr Economic sectors and the risk-taking channel of monetary policy
title_full_unstemmed Economic sectors and the risk-taking channel of monetary policy
title_sort economic sectors and the risk-taking channel of monetary policy
publisher Banco de la República de Colombia
publishDate 2017
url http://repositorio.banrep.gov.co/handle/20.500.12134/6342
_version_ 1637306231958798336
score 10,696028