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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk? |
| 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 | Econometrica |
| Publisher | Wiley-Blackwell |
| Geographical Reach | international |
| ISSN | 0012-9682 |
| Volume | 82 |
| Number | 2 |
| Page Range | 463 - 505 |
| Date | 2014 |
| Abstract Text | We identify the effects of monetary policy on bank risk-taking with an exhaustive credit register containing loan contracts and applications since 1984. We separate the compositional changes in the credit supply from the demand, firm and bank balance-sheet channels by accounting for both observed and unobserved time-varying firm and bank heterogeneity through time*firm and time*bank fixed effects. A lower overnight interest rate induces lower capitalized banks to expand and prolong credit to riskier firms, and to lend to riskier new applicants, granting them loans that are larger and longer-term. A lower long-term rate, however, has smaller or no such effects. |
| Digital Object Identifier | 10.3982/ECTA10104 |
| Other Identification Number | merlin-id:8423 |
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