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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Review of Finance |
| Publisher | Oxford University Press |
| Geographical Reach | international |
| ISSN | 1572-3097 |
| Volume | 19 |
| Number | 1 |
| Page Range | 95 - 144 |
| Date | 2015 |
| Abstract Text | 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. |
| Related URLs | |
| Digital Object Identifier | 10.1093/rof/rfu035 |
| Other Identification Number | merlin-id:10051 |
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