Monetary policy, risk-taking and pricing: evidence from a quasi-natural experiment
Monetary policy, risk-taking and pricing: evidence from a quasi-natural experiment
Citació
- Ioannidou V, Ongena S, Peydró JL. Monetary policy, risk-taking and pricing: evidence from a quasi-natural experiment. Review of Finance. 2015 Mar;19(1):95-144. DOI: 10.1093/rof/rfu035
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Resum
We study the risk-taking channel of monetary policy in Bolivia, a dollarized country where monetary changes are transmitted exogenously from the USA. We find that a lower policy rate spurs the granting of riskier loans, to borrowers with worse credit histories, lower ex-ante internal ratings, and weaker ex-post performance (acutely so when the rate subsequently increases). Effects are stronger for small firms borrowing from multiple banks. To uniquely identify risk-taking, we assess collateral coverage, expected returns, and risk premia of the newly granted riskier loans, finding that their returns and premia are actually lower, especially at banks suffering from agency problems.Col·leccions
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