Monetary policy, risk-taking and pricing: evidence from a quasi-natural experiment

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• dc.contributor.author Ioannidou, Vasso
• dc.contributor.author Ongena, Steven
• dc.contributor.author Peydró, José-Luis
• dc.date.accessioned 2020-01-13T08:25:16Z
• dc.date.available 2020-01-13T08:25:16Z
• dc.date.issued 2015
• dc.description.abstract 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.
• dc.format.mimetype application/pdf
• dc.identifier.citation 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
• dc.identifier.doi http://dx.doi.org/10.1093/rof/rfu035
• dc.identifier.issn 1572-3097
• dc.identifier.uri http://hdl.handle.net/10230/43263
• dc.language.iso eng
• dc.publisher Oxford University Press
• dc.relation.ispartof Review of Finance. 2015 Mar;19(1):95-144
• dc.rights © Oxford University Press. This is a pre-copyedited, author-produced version of an article accepted for publication in Review of Finance following peer review. The version of record Ioannidou V, Ongena S, Peydró J-L. 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 is available online at: https://academic.oup.com/rof/article-abstract/19/1/95/1631255 and https://doi.org/10.1093/rof/rfu035
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.keyword Monetary policy
• dc.subject.keyword Low short-term interest rates
• dc.subject.keyword Softening lending standards
• dc.subject.keyword Credit risk
• dc.subject.keyword Liquidity risk
• dc.subject.keyword Subprime borrowers
• dc.subject.keyword Bank agency problems
• dc.subject.keyword Duration analysis
• dc.title Monetary policy, risk-taking and pricing: evidence from a quasi-natural experiment
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion