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1、FinanceandEconomicsDiscussionSeriesDivisionsofResearch&StatisticsandMonetaryAffairsFederalReserveBoard,Washington,D.C.TheRiskChannelofMonetaryPolicyOliverdeGroot2014-31NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcritica
2、lcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthes
3、epapers.TheRiskChannelofMonetaryPolicyOliverdeGrootyApril9,2014AbstractThispaperexamineshowmonetarypolicya¤ectstheriskinessofthe…nancialsector’saggregatebalancesheet,amechanismreferredtoastheriskchannelofmonetarypolicy.IstudytheriskchannelinaDSGEmodelwithnominalfrictionsandabankingsectorthatcaniss
4、uebothoutsideequityanddebt,makingbanks’exposuretoriskanendogenouschoice,anddependentonthe(monetary)policyenvironment.Banks’equilibriumportfoliochoiceisdeterminedbysolvingthemodelaroundarisk-adjustedsteadystate.I…ndthatbanksreducetheirrelianceondebt…nanceanddecreaseleveragewhenmonetarypolicyshocksar
5、eprevalent.Amonetarypolicyreactionfunctionthatrespondstomovementsinbankleverageortomovementsincreditspreadscanincentivizebankstoincreasetheiruseofdebt…nanceandincreaseleverage,ceterisparibus,increasingtheriskinessofthe…nancialsectorfortherealeconomy.Keywords:Financialintermediation,Porfoliochoice,D
6、ebtandequity,Monetarypolicy,Risk-adjustedsteadystateJELclassi…cations:C63,E32,E44,E52,G11IwouldliketothankP.Benigno(IJCBco-editor),J.Bianchi,G.Corsetti,E.deGroot,C.Giannitsarou,J.Matheron,M.Paustian,M.RavnandJ.RobertsforhelpfulcommentsanddiscussionsaswellasparticipantsattheSymposiumoftheSocietyofN
7、onlinearDynamicsandEconometrics,theChicagoFed’sAnnualConfer-enceonBankStructuresandCompetition,theBanquedeFrance-DeutscheBundesbankWorshoponCurrentMacroeconomicChallenges,theFederalReserveBoard’sMonetaryAna
