Bank Leverage and Monetary Policy's Risk‐Taking Channel: Evidence from the United States
利用美国银行对企业贷款的内部评级数据，发现短期利率上升会降低银行对新贷款的风险承担，且这种效应在地区经济周期不同步时更强，在资本不足银行或金融困境时期更弱。
ABSTRACT We present evidence of a risk‐taking channel of monetary policy for the U.S. banking system. We use confidential data on banks’ internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's Survey of Terms of Business Lending. We find that ex ante risk‐taking by banks (measured by the risk rating of new loans) is negatively associated with increases in short‐term interest rates. This relationship is more pronounced in regions that are less in sync with the nationwide business cycle, and less pronounced for banks with relatively low capital or during periods of financial distress.