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Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending

Author

Listed:
  • Kiyotaka Nakashima

    (Faculty of Economics, Konan University, Japan)

  • Masahiko Shibamoto

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Koji Takahashi

    (Bank of Japan , Japan)

Abstract

We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary lending to risky firms from banks with higher leverage.

Suggested Citation

  • Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending," Discussion Paper Series DP2017-24, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2019.
    • Handle: RePEc:kob:dpaper:dp2017-24
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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2017-24.pdf
    File Function: Revised version, 2019
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    Cited by:

    1. Nakashima, Kiyotaka & Ogawa, Toshiaki, 2020. "The Impacts of Strengthening Regulatory Surveillance on Bank Behavior: A Dynamic Analysis from Incomplete to Complete Enforcement of Capital Regulation in Microprudential Policy," MPRA Paper 99938, University Library of Munich, Germany.
    2. Inoue, Hitoshi & Nakashima, Kiyotaka & Takahashi, Koji, 2018. "The Emergence of A Parallel World: The Misperception Problem for Bank Balance Sheet Risk and Lending Behavior," MPRA Paper 89088, University Library of Munich, Germany.
    3. Bongiovanni, Alessio & Reghezza, Alessio & Santamaria, Riccardo & Williams, Jonathan, 2021. "Do negative interest rates affect bank risk-taking?," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 350-364.
    4. NAKASHIMA, KIYOTAKA & Ogawa, Toshiaki, 2021. "The Impacts of Strengthening Regulatory Surveillance on Bank Behavior: A Dynamic Analysis from Incomplete to Complete Enforcement of Capital Regulation in Microprudential Policy," MPRA Paper 109147, University Library of Munich, Germany.
    5. Yoshiaki Ogura, 2019. "Search-for-Yield under Prolonged Monetary Easing and Aging," Working Papers e142, Tokyo Center for Economic Research.
    6. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, december.

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    More about this item

    Keywords

    Unconventional monetary policy; Quantitative and qualitative monetary easing; Matched lender-borrower data; Risk-taking channel;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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