Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Ioannidou, Vasso
- dc.contributor.author Ongena, Steven
- dc.contributor.author Peydró, José-Luis
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:09:31Z
- dc.date.available 2024-11-14T10:09:31Z
- dc.date.issued 2007-09-01
- dc.date.modified 2024-11-14T10:06:49Z
- 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 US. 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 https://econ-papers.upf.edu/ca/paper.php?id=1704
- dc.identifier.citation Review of Finance, 19(1), 2015, 95-144
- dc.identifier.uri http://hdl.handle.net/10230/44687
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1704
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- 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.subject.keyword Finance and Accounting
- dc.title Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper