Monetary policy transmission under pandemic uncertainty: Effect on banks' risk and capital adjustments
研究了2018年至2021年12个最大经济体中，货币政策如何影响银行资产组合风险和资本的同时调整，发现宽松政策降低风险，但疫情不确定性放大了风险降低效应，而资本水平不变。
Abstract This paper investigates the effects of monetary policy on the simultaneous adjustments in asset portfolio risk and capital of banks amidst the uncertainty of the COVID‐19 pandemic, focusing on the 12 largest economies from 2018 Q1 to 2021 Q4. Results indicate that banks show lower portfolio risk and capital levels when the monetary policy stance is eased. However, amid heightened pandemic uncertainty, the risk‐reducing effect of monetary policy on banks amplifies, while bank capital levels remain unchanged. Heterogeneity analyses reveal that banks with higher levels of diversification and herding are more responsive to interest rates amid pandemic uncertainty, exhibiting lower risk exposure in their asset portfolios. Banks in countries adopting negative interest rate policies also tend to assume greater asset risk to accommodate the intended stimulus of monetary policies.