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1、LeonardoGambacortaleonardo.gambacorta@bis.org1Monetarypolicyandtherisk-takingchannelThispaperinvestigatesthelinkbetweenlowinterestratesandbankrisk-taking.Monetarypolicymayinfluencebanks’perceptionsof,andattitudetowards,riskinatleasttwoways:(i)throughasearchfor
2、yieldprocess,especiallyinthecaseofnominalreturntargets;and(ii)bymeansoftheimpactofinterestratesonvaluations,incomesandcashflows,whichinturncanmodifyhowbanksmeasurerisk.Usingacomprehensivedatasetoflistedbanks,thispaperfindsthatlowinterestratesoveranextendedperi
3、odcauseanincreaseinbanks’risk-taking.JELclassification:E44,E55,G21.Easymonetaryconditionsareaclassicingredientoffinancialcrises:lowinterestratesmaycontributetoanexcessiveexpansionofcredit,andhencetoboom-busttypebusinessfluctuations.Inaddition,somerecentpapersf
4、indasignificantlinkbetweenlowinterestratesandbanks’risk-taking,pointingtoadifferentdimensionofthemonetarytransmissionmechanism,theso-calledrisk-takingchannel(BorioandZhu(2008),AdrianandShin(2009)).Thischannelmayoperateinatleasttwoways.First,lowreturnsoninvestm
5、ents,suchasgovernment(risk-free)securities,mayincreaseincentivesforbanks,assetmanagersandinsurancecompaniestotakeonmoreriskforcontractualorinstitutionalreasons(forexample,tomeetatargetnominalreturn).Second,lowinterestratesaffectvaluations,incomesandcashflows,w
6、hichinturncanmodifyhowbanksmeasurerisk.Thisarticleanalysesempiricallythelinkbetweenmonetarypolicyandrisk-takingbybanksintherun-uptothecrisis.UsingacomprehensivedatabaseoflistedbanksfromtheEuropeanUnionandUnitedStatesdevelopedbyAltunbasetal(2009),itfindsevidenc
7、ethatbanks’riskofdefaultimpliedbyassetpricesshotupbyalargeramountincountrieswhereinterestrateshadremainedlowforanextendedperiodpriortothecrisis.Thisresultisconsistentwiththeexistenceofarisk-takingchannelandholdsevenifone1Thisarticlebenefitedgreatlyfromworkdone
8、onthistopicjointlywithYenerAltunbasandDavidMarquésIbañez.IwouldalsoliketothankClaudioBorio,StephenCecchetti,RobertMcCauley,KostasTsatsaronisandChristianUpperforveryusefulcommentsan
