The impact of monetary policy and its surprises on bank’s risk-taking

Detalhes bibliográficos
Autor(a) principal: Gaudêncio, João miguel Bravo
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/36366
Resumo: The latest financial crisis accentuated the importance of understanding bank risk and its ties to financial stability. This paper looks to investigate the impact of monetary policy in the risk-taking behaviour of Euro Area banks, when taking unconventional monetary policy into account. Looking further into this relationship, the impact of unanticipated monetary policy shocks is also analysed. Using both fixed effects and a system GMM model, sufficient statistical evidence was found to claim that looser monetary policy leads to increased risk-taking behaviour from banks. This effect, however, is mitigated in case banks and/or the market originally anticipated an even looser stance by the central bank.
id RCAP_c98d5bff51106f73425251ca8d2fa3a3
oai_identifier_str oai:run.unl.pt:10362/36366
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The impact of monetary policy and its surprises on bank’s risk-takingBank riskMonetary policy surprisesCentral bankingPanel dataDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe latest financial crisis accentuated the importance of understanding bank risk and its ties to financial stability. This paper looks to investigate the impact of monetary policy in the risk-taking behaviour of Euro Area banks, when taking unconventional monetary policy into account. Looking further into this relationship, the impact of unanticipated monetary policy shocks is also analysed. Using both fixed effects and a system GMM model, sufficient statistical evidence was found to claim that looser monetary policy leads to increased risk-taking behaviour from banks. This effect, however, is mitigated in case banks and/or the market originally anticipated an even looser stance by the central bank.Duarte, JoãoRUNGaudêncio, João miguel Bravo2018-05-10T14:25:03Z2018-01-162018-01-16T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/36366TID:201862085enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:19:44Zoai:run.unl.pt:10362/36366Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:30:26.939223Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of monetary policy and its surprises on bank’s risk-taking
title The impact of monetary policy and its surprises on bank’s risk-taking
spellingShingle The impact of monetary policy and its surprises on bank’s risk-taking
Gaudêncio, João miguel Bravo
Bank risk
Monetary policy surprises
Central banking
Panel data
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The impact of monetary policy and its surprises on bank’s risk-taking
title_full The impact of monetary policy and its surprises on bank’s risk-taking
title_fullStr The impact of monetary policy and its surprises on bank’s risk-taking
title_full_unstemmed The impact of monetary policy and its surprises on bank’s risk-taking
title_sort The impact of monetary policy and its surprises on bank’s risk-taking
author Gaudêncio, João miguel Bravo
author_facet Gaudêncio, João miguel Bravo
author_role author
dc.contributor.none.fl_str_mv Duarte, João
RUN
dc.contributor.author.fl_str_mv Gaudêncio, João miguel Bravo
dc.subject.por.fl_str_mv Bank risk
Monetary policy surprises
Central banking
Panel data
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Bank risk
Monetary policy surprises
Central banking
Panel data
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The latest financial crisis accentuated the importance of understanding bank risk and its ties to financial stability. This paper looks to investigate the impact of monetary policy in the risk-taking behaviour of Euro Area banks, when taking unconventional monetary policy into account. Looking further into this relationship, the impact of unanticipated monetary policy shocks is also analysed. Using both fixed effects and a system GMM model, sufficient statistical evidence was found to claim that looser monetary policy leads to increased risk-taking behaviour from banks. This effect, however, is mitigated in case banks and/or the market originally anticipated an even looser stance by the central bank.
publishDate 2018
dc.date.none.fl_str_mv 2018-05-10T14:25:03Z
2018-01-16
2018-01-16T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/36366
TID:201862085
url http://hdl.handle.net/10362/36366
identifier_str_mv TID:201862085
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137928595636224

Registros relacionados