Detail publikace

Does Monetary Policy Influence Banks' Perception of Risks?

Autor: Mgr. Václav Brož ,
Mgr. Dominika Ehrenbergerová (Kolcunová) ,
PhDr. Simona Malovaná Ph.D.,
Typ: IES Working Papers
Rok: 2018
Číslo: 3
ISSN / ISBN:
Publikováno v: IES Working Papers 03/2018
Místo vydání: Prague
Klíčová slova: Banks, financial stability, internal ratings-based approach, risk-taking channel
JEL kódy: E52, E58, G21, G28
Citace: Malovana S., Kolcunova D. and Broz, V. (2018). "Does Monetary Policy Influence Banks' Perception of Risks?” IES Working Paper 03/2018. IES FSV. Charles University.
Abstrakt: This paper studies the extent to which monetary policy may affect banks' perception of credit risk and the way banks measure risk under the internal ratings-based approach. Specifically, we analyze the effect of different monetary policy indicators on banks' risk weights for credit risk. We present robust evidence of the existence of the risk-taking channel in the Czech Republic. Further, we show that the recent prolonged period of accommodative monetary policy has been instrumental in establishing this relationship. Finally, we obtain comparable results by extending the analysis to cover all the Visegrad Four countries. The presented findings have important implications for the prudential authority, which should be aware of the possible side-effects of monetary policy on how banks measure risk.
Ke stažení: wp_2018_03_malovana
Srpen 2022
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