The interplay between quantitative easing, risk and competition: The case of Japanese banking
首次使用Boone指标衡量日本银行竞争，结合破产和重组贷款数据，通过动态面板阈值和面板VAR分析，发现量化宽松和竞争增强会减少不良贷款但损害金融稳定，提示量化宽松存在阈值效应。
Abstract The Japanese economy is infamous for the magnitude of bank nonperforming loans that have originated back in the 1990s, whereas they are still causing controversies. Japan is also known for an extended quantitative easing programme of unprecedented scale. Yet the links between risk‐taking activities, quantitative easing and bank competition are largely unexplored. This paper employs, for the first time, the Boone indicator to measure bank competition in Japan to examine these underlying linkages. Given the scale of nonperforming loans, we explicitly measure bank risk‐taking based on a new data set of bankrupt and restructured loans. The dynamic panel threshold and panel Vector Autoregression analyses show that enhancing quantitative easing and competition would reduce bankrupt and restructured loans, but it would negatively affect financial stability. Given the recent adoption of negative rates in January 2016 by the Bank of Japan, our study provides new insights as clearly there is a trade‐off between quantitative easing and financial stability beyond a certain threshold. Caution, therefore, regarding further scaling up quantitative easing is warranted.