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1、Capitalflowsandtherisk-takingchannelofmonetarypolicyValentinaBrunoa,,HyunSongShinb∗†aAmericanUniversity;bBankforInternationalSettlementsNovember20,2014AbstractAdjustmentsinbankleverageactasthelinchpininthemonetarytransmissionmechanismthatworksthroughfluctuatio
2、nsinrisk-taking.Intheinternationalcontext,wefindevidenceofmonetarypolicyspilloversoncross-borderbankcapitalflowsandtheUSdollarexchangeratethroughthebankingsector.AcontractionaryshocktoUSmonetarypolicyleadstoadecreaseincross-borderbankingcapitalflowsandadeclinei
3、ntheleverageofinternationalbanks.SuchadecreaseinbankcapitalflowsisassociatedwithanappreciationoftheUSdollar.Keywords:Bankleverage,monetarypolicy,capitalflows,risk-takingchannelJELclassification:F32,F33,F34∗Correspondingauthor:HyunSongShin,BankforInternationalSe
4、ttlements,Centralbahnplatz2,CH-4002Basel,Switzerland.†ForthcomingintheJournalofMonetaryEconomics.WearegratefultotheeditorUrbanJermannandtherefereefortheircommentsandguidance.WethankChristopherSims,JohnTaylor,Jean-PierreLandau,GuillaumePlantin,LarsSvenssonand
5、TarekHassanforcommentsonanearlierversionofthispaper.Wealsothankparticipantsatthe2012BISAnnualConference,BankofCanadaAnnualResearchConference,2013and2014AEAmeetingsandpresentationsattheMonetaryAuthorityofSingapore,BankofKoreaandattheCentralBankoftheRepublicof
6、Turkey.WearegratefultoJonathanWallenforhiscapableresearchassistance.Theviewsexpressedherearethoseoftheauthors,notnecessarilythoseoftheBankforInternationalSettlements.Capitalflowsandtherisk-takingchannelofmonetarypolicy11.IntroductionLowinterestratesmaintained
7、byadvancedeconomycentralbankshaveledtoalivelydebateoncross-bordermonetarypolicyspilloversandthepossibletransmissionchannels.Weexamineonesuchchannel:thebankingsector.Banksareintermediarieswhosefinancingcostsarecloselytiedtothepolicyratechosenbythecentralbank.I
8、ffundingcostsaffectdecisionsonhowmuchexposurestotakeon,monetarypolicywillthenaffecttheeconomythroughgreaterrisk-takingbythebankingsector.BorioandZhu(2012)coinedtheterm“risk-takingchannel”ofmonetar
