Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area

Version
1
Resource Type
Collection
Creator
  • Neuenkirch, Matthias (University of Trier)
  • Wischnewsky, Arina (University of Trier)
Publication Date
2020
Publisher
  • ZBW - Leibniz Informationszentrum Wirtschaft
Language
English
Classification
  • JEL:
    • Financial Markets and the Macroeconomy
    • Monetary Policy
    • Financial Institutions and Services: Government Policy and Regulation
Free Keywords
European Central Bank; Macroprudential Policy; Monetary Policy Transmission; Risk-Taking Channel; Shadow Banks; Vector Autoregression
Description
  • Abstract

    We provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk assets ratio. Our dataset covers the period 2000Q1-2018Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find a portfolio reallocation effect towards riskier assets and evidence for a general expansion of assets. Both effects last for roughly six quarters in the case of conventional monetary policy shocks, whereas for unconventional monetary policy shocks the responses are significant for two quarters only. Country-specific as well as sector-specific estimations confirm these findings for most of the euro area countries and all non-bank types, but also reveal some heterogeneity in the reaction of financial institutions.
Availability
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Rights
Creative Commons Attribution 4.0 (CC-BY)
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Update Metadata: 2020-07-20 | Issue Number: 1 | Registration Date: 2020-07-20