The Risk‐Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data
利用美国银团企业贷款数据，研究发现货币政策利率与银行风险承担之间存在负相关关系，尤其在2007年金融危机前，但该效应仅在使用特定货币政策度量时表现为纯供给驱动。
To study the presence of a risk‐taking channel in the U.S., we build a comprehensive data set from the syndicated corporate loan market and measure monetary policy using different measures, most notably Taylor (1993) and Romer and Romer (2004) residuals. We identify a negative relation between monetary policy rates and bank risk‐taking, especially in the run up to the 2007 financial crisis. However, this effect is purely supply‐side driven only when using Taylor residuals and an ex ante measure of bank risk‐taking. Our results highlight the sensitivity of the potency of the risk‐taking channel to the measures of monetary policy innovations.