The Role of Capital Regulation and Risk-Taking by Banks in Monetary Policy
DOI:
https://doi.org/10.12775/OeC.2014.001Keywords:
bank capital channel, bank risk-taking, monetary policy, bank lending boomAbstract
The credit boom prevailing in the period preceding the last financial crisis was prolonged and associated with neither particularly strong output growth nor rising inflation in economies in which it occurred. This type of credit cycle and financial cycle is hard to reconcile with existing economic theory applied in monetary policy. In this paper we point out to endogenous factors behind this phenomenon. We aim to identify what is the role of bank capital regulation and bank risktaking in the transmission mechanism of monetary policy. The transmission of monetary policy impulses through capital channel is a diversified process, and depends on bank specific, background macroeconomics?s specific and other factors. Bank capital standards affect the banks? perception, management and pricing of risks. In this area, monetary policy is also of great importance, with prominent role of the so called risk-taking channel in which central banks actions have an impact on bank risk attitudes. Consequently monetary policy is not fully neutral from a financial stability perspective. Stable level of inflation does not guarantee the stability of financial system. Therefore central banks in their conduct of monetary policy should constrain the build-up of financial imbalances.
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References
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De Nicolo, G., Dell?Ariccia G., Laeven L., Valencia F. (2010), Monetary Policy and Bank Risk-Taking, ?International Monetary Fund Working Paper?, Staff Position Note, 2010/09.
Delis M. D., Hasan I., Mylonidis N. (2011), The Risk-Taking Channel of Monetary Policy in the USA: Evidence from Micro-Level Data, ?MPRA Paper?, No. 34084.
Delis M., Brissimis S.N. (2009), Identification of a Loan Supply Function: A Cross-Country Test for the Existence of a Bank Lending Channel, ?Journal of International Financial Markets, Institutions and Money?, Vol. 19, No. 2, doi:10.1016/j.jfs.2009.07.001.
Delis M.D., Kouretas G.P. (2011), Interest Rates and Bank Risk Taking, ?Journal of Banking and Finance?, Vol. 35, http://dx.doi:10.1016/j.jbankfin.2010.09.032 .
Dell? Ariccia G., Marquez R. (2006), Lending Booms and Lending Standards, ?Journal of Finance?, Vol. 61, No. 5.
Dell?Ariccia G., De Nicol? G., Laeven L., Valencia F. (2010a), Monetary Policy and Bank Risk Taking, ?IMF STAFF POSITION NOTE?, SPN/10/09.
Dell?Ariccia G., Igan D., Laeven L. (2008), Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market, ?IMF Working Paper?, No. WP/08/106.
Dell?Ariccia G., Laeven L., Marquez-Ibanez R. (2010b), Monetary Policy, Leverage, and Bank Risk- Taking, ?International Monetary Fund Working Paper?, No. 10/276.
Enria A., Capiello L., Diedrick F., Grintini S., Haralambous A., Maddaloni A., Molitor P., Pires F., Poloni P. (2004), Fair Value Accounting and Financial Stability, ?Occasional Paper Series?, No. 13/April.
Gambacorta L. (2009), Monetary Policy and the Risk-Taking Channel, ?BIS Quarterly Review?, December.
Gambacorta L., Mistrulli P.E. (2004), Does bank capital affect lending behavior? ?Journal of Financial Intermediation?, Vol. 12, http://dx.doi.org/10.1016/j.jfi.2004.06.001 .
Greszta M., Hulej M., Lewińska R., Michałek A., Pońsko P., Rybaczyk B., Schulz B. (2012), Reestymacja kwartalnego modelu gospodarki polskiej NECMOD 2012, Narodowy Bank Polski.
Gualandri E., Landi A., Venturelli V. (2009), Financial Crisis and New Dimensions of Liquidity Risk: Rethinking Prudential Regulation and Supervision, ?Journal of Money, Investment and Banking?, Issue 8, http://dx.doi.org/10.2139/ssrn.1337031 .
Hara N., Ichiue H., Kojima S., Nakamura K., Shirota T. (2009), Practical use of macroeconomic models at central banks, ?Bank of Japan Review?.
Hume M., Sentance A. (2009), The Global Credit Boom: Challenges for Macroeconomics and Policy, ?Journal of International Money and Finance?, Vol. 28, http://dx.doi.org/10.1016/j.jimonfin.2009.08.009 .
Ioannidou V P., Ongena S., Peydró J.L., (2009), Monetary Policy, Risk-Taking and Pricing: Evidence from a Quasi-natural Experiment, ?European Banking Center Discussion Paper?, No. 2009?04S.
Jimenez G., Ongena S., Peydro J.L., Saurina J. (2009), Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?, ?Banco de Espa?a Working Papers?, No. 0833.
Jiménez G., Saurina J. (2006), Credit cycles, credit risk, and prudential regulation, ?International Journal of Central Banking?.
Kishan R.P., Timothy P.O. (2000), Bank Size, Bank Capital, and the Bank Lending Channel, ?Journal of Money, Credit and Banking?, Vol. 32, No. 1. http://dx.doi.org/10.2307/2601095.
Kishan R.P., Timothy P.O. (2006), Bank capital and loan asymmetry in the transmission of monetary policy, ?Journal of Banking and Finance?, Vol. 30, No. 1, http://dx.doi.org/10.1016/j.jbankfin.2005.05.002 .
Kokoszczyński R. (2004), Współczesna polityka pieniężna w Polsce, PWE, Warszawa.
Maddaloni A.J., Peydró L. (2011), Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards, ?Review of Financial Studies?, Vol. 24, No. 6, http://dx.doi.org/10.1093/rfs/hhr015.
Maddaloni A., Peydro L., Scopel S. (2008), Does Monetary Policy Affect Bank Credit Standards?, http://www.cepr.org/meets/ wkcn/1/1693/papers MaddaloniFinal. pdf.
Markovic B. (2006), Bank capital channels in the monetary transmission mechanism, Bank of England, ?Working Paper?, No. 313.
Matherat S. (2008), Fair value accounting and financial stability: challenges and dynamics, ?Banque de France, Financial Stability Review?, No. 12 October.
Mendoza E.G., Terrones M.E. (2008), An Anatomy of Credit Booms: Evidence from Macro Aggregates and Firm Level Data, ?IMF Working Paper?, No. 08/226.
Michalak, T.C. (2010), The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking: An Empirical Assessment of the Risk Taking Channel of Monetary Policy, ?Working Paper?, Ruhr-universität Bochum; http://www.southwesternfinance.org/conf2011/swfa2011 _submission_152.pdf.
Nier E., Zicchino L. (2006), Bank weakness, loan supply and monetary policy, ?Working paper?, http://www.eea-esem.com
Olszak M. (2009), Normy adekwatności kapitałowej, Wydawnictwo Naukowe WZ UW Warszawa.
Ozsuca E.A., Akbostanci E. (2012), An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey, ?ERC Working Papers in Economics? 12/08
Plantin G., Sapra H., Shin H.S (2008), Fair value accounting and financial stability Banque de France, ?Financial Stability Review No. 12 ? Valuation and financial stability?, October.
Rajan R.G. (2006), Has Finance Made the World Riskier?, ?European Financial Management?, 12(4), http://dx.doi.org/10.1111/j.1468-036X.2006.00330.x
Tovar C.E. (2008), DSGE models and central banks, ?BIS Working Papers?, No. 258.
Valencia F. (2011), Monetary Policy, Bank Leverage, and Financial Stability, ?IMF Working Paper?, No. 11/244.
Van den Heuvel S. (2007), The bank capital channel of monetary policy, ?University of Pennsylvania Working Paper?.
Adrian T., Shin H. S. (2009), Money, Liquidity, and Monetary Policy, ?American Economic Review: Papers and Proceedings?, Vol. 99, No. 2, http://dx.doi.org/10.1257/aer.99.2.600.
Adrian, T., Shin H.S. (2010), Liquidity and Leverage, ?Journal of Financial Intermediation?, Vol. 19, No. 3, http://dx.doi.org/10.1016/j.jfi.2008.12.002 .
Aguiar A., Drumond I. (2006) Monetary Policy Amplification Effects through a Bank Capital Channel, ?Universidade do Porto Working Paper?.
Agur I., Demertzis M. (2012), Excessive Bank Risk Taking and Monetary Policy, ?ECB Working Paper Series?, No. 1457.
Altunbaş Y., Gambacorta L., Marqués-Ibá?ez D. (2010), Bank risk and monetary policy, ?Journal of Financial Stability? Vol. 6, No. 3, http://dx.doi.org/10.1016/j.jfs.2009.07.001 .
Altunbas Y., Gambacorta L., Marqués-Iba?ez D. (2010a), Does Monetary Policy Affect Bank Risk-Taking?, ?ECB Working Paper? No. 1166.
Altunbaş Y., Gambacorta L., Marques-Ibanez D. (2012), Do Bank Characteristics Influence the Effect of Monetary Policy on Bank Risk?, ?European Central Bank Working Paper Series? No. 1427.
Altunbaş Y., Gambacorta L., Marques-Ibanez D. (2012), Does monetary policy affect bank risk? ?Bangor Business School Working Paper?, BBSWP/12/002.
Altunbas Y., Gambacorta, L., Marques-Ibanez D. (2010b), Does Monetary Policy Affect Bank Risk-Taking?, ?BIS Working Paper? No. 298.
Angeloni, I., Faia E., Duca M. Lo (2010), Monetary Policy and Risk Taking, ?Bruegel Working Papers?, No. 380.
Angkinand A., Wihlborg C. (2008), Deposit Insurance, Risk-Taking and Banking Crises: Is there a Risk-Minimizing Level of Deposit Insurance Coverage?, ?Working Paper?, Center for Law, Economics and Financial Institutions, Copenhagen Business School.
Apel M., Claussen C.A. (2012), Monetary Policy, Interest Rates and Risk Taking, ?Sveriges Riksbank Economic Review?, No. 2.
Bekaert G., Hoerova M., Lo DucBekaert M. (2010), Risk, Uncertainty and Monetary Policy, ?NBER Working Paper? 16397.
Bernanke B., Gertler M. (1995), Inside the black box: the credit channel of monetary transmission, ?Journal of Economic Perspectives?, Vol. 9, No. 4, http://dx.doi.org/10.1257/jep.9.4.27.
Bernanke B., Gertler M., Gilchrist S. (1996), The Financial Accelerator and the Flight to Quality, ?Review of Economics and Statistics?, Vol. 78, No. 1, http://dx.doi.org/10.2307/2109844. Bernanke B., Gertler M., Gilchrist S. (1998), The financial accelerator in a quantitative business cycle framework, ?NBER Working Paper Series?, Working Paper No. 6455.
Bohachova O. (2008), The Impact of Macroeconomic Factors on Risks in the Banking Sector: A Cross-Country Empirical Assessment, ?IAWDiskussionpapiere Discussion Paper?, No. 44.
Borio C. (2011) Central banking post-crisis: What compass for unchartered waters?, ?BIS Working Papers?, No. 353.
Borio C.E., Zhu V.H. (2008), Capital Regulation, Risk-Taking, and Monetary Policy: A Missing Link in the Transmission Mechanism?, ?BIS Working Paper?, No. 268.
Borio C.E., Zhu V.H. (2012), Capital Regulation, Risk-Taking, and Monetary Policy: A Missing Link in the Transmission Mechanism?, ?Journal of Financial Stability?, Vol. 8, No. 4, http://dx.doi.org/10.1016/j.jfs.2011.12.003.
Borio C., Lowe P. (2002), Asset prices, financial and monetary stability: exploring the nexus, ?BIS Working Papers?, No. 114.
Bruno V., Shin H. S. (2013), Capital flows and the Risk-Taking Channel of Monetary Policy, ?Working Paper?.
Buch C.M., Eickmeier S., Prieto E. (2010), Macroeconomic Factors and Micro- Level Bank Risk, ?CESifo Working Paper?, No. 3194. Buch C.M., Eickmeier S., Prieto E. (2011), In Search for Yield? Survey-Based Evidence on Bank Risk Taking, ?Deutsche Bundesbank Discussion Paper Series? 1, Economic Studies 10/2011.
Cecchetti S.G., Li L. (2008), Do Capital Adequacy Requirements Matter For Monetary Policy?, ?Economic Inquiry?, Vol. 46, No. 4, http://dx.doi.org/10.1111/j.1465-7295.2007.00085.x.
Claessens S., Kose M.A., Terrones M.E. (2010), The global financial crisis: How similar? How different? How costly?, ?Journal of Asian Economics?, Vol. 21, No. 3, http://dx.doi.org/10.1016/j.asieco.2010.02.002 .
Claessens S., Kose M.A., Terrones M. E. (2011), Financial Cycles: What? How? When?, ?IMF Working Paper? WP/11/76.
Claessens S., Kose M.A., Terrones M.E. (2012), How Do Business and Financial Cycles Interact?, ?Journal of International Economics?, Vol. 87, No. 1, http://dx.doi.org/10.1016/j.jinteco.2011.11.008.
De Nicolo, G., Dell?Ariccia G., Laeven L., Valencia F. (2010), Monetary Policy and Bank Risk-Taking, ?International Monetary Fund Working Paper?, Staff Position Note, 2010/09.
Delis M. D., Hasan I., Mylonidis N. (2011), The Risk-Taking Channel of Monetary Policy in the USA: Evidence from Micro-Level Data, ?MPRA Paper?, No. 34084.
Delis M., Brissimis S.N. (2009), Identification of a Loan Supply Function: A Cross-Country Test for the Existence of a Bank Lending Channel, ?Journal of International Financial Markets, Institutions and Money?, Vol. 19, No. 2, doi:10.1016/j.jfs.2009.07.001.
Delis M.D., Kouretas G.P. (2011), Interest Rates and Bank Risk Taking, ?Journal of Banking and Finance?, Vol. 35, http://dx.doi:10.1016/j.jbankfin.2010.09.032 .
Dell? Ariccia G., Marquez R. (2006), Lending Booms and Lending Standards, ?Journal of Finance?, Vol. 61, No. 5.
Dell?Ariccia G., De Nicol? G., Laeven L., Valencia F. (2010a), Monetary Policy and Bank Risk Taking, ?IMF STAFF POSITION NOTE?, SPN/10/09.
Dell?Ariccia G., Igan D., Laeven L. (2008), Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market, ?IMF Working Paper?, No. WP/08/106.
Dell?Ariccia G., Laeven L., Marquez-Ibanez R. (2010b), Monetary Policy, Leverage, and Bank Risk- Taking, ?International Monetary Fund Working Paper?, No. 10/276.
Enria A., Capiello L., Diedrick F., Grintini S., Haralambous A., Maddaloni A., Molitor P., Pires F., Poloni P. (2004), Fair Value Accounting and Financial Stability, ?Occasional Paper Series?, No. 13/April.
Gambacorta L. (2009), Monetary Policy and the Risk-Taking Channel, ?BIS Quarterly Review?, December.
Gambacorta L., Mistrulli P.E. (2004), Does bank capital affect lending behavior? ?Journal of Financial Intermediation?, Vol. 12, http://dx.doi.org/10.1016/j.jfi.2004.06.001 .
Greszta M., Hulej M., Lewińska R., Michałek A., Pońsko P., Rybaczyk B., Schulz B. (2012), Reestymacja kwartalnego modelu gospodarki polskiej NECMOD 2012, Narodowy Bank Polski.
Gualandri E., Landi A., Venturelli V. (2009), Financial Crisis and New Dimensions of Liquidity Risk: Rethinking Prudential Regulation and Supervision, ?Journal of Money, Investment and Banking?, Issue 8, http://dx.doi.org/10.2139/ssrn.1337031 .
Hara N., Ichiue H., Kojima S., Nakamura K., Shirota T. (2009), Practical use of macroeconomic models at central banks, ?Bank of Japan Review?.
Hume M., Sentance A. (2009), The Global Credit Boom: Challenges for Macroeconomics and Policy, ?Journal of International Money and Finance?, Vol. 28, http://dx.doi.org/10.1016/j.jimonfin.2009.08.009 .
Ioannidou V P., Ongena S., Peydró J.L., (2009), Monetary Policy, Risk-Taking and Pricing: Evidence from a Quasi-natural Experiment, ?European Banking Center Discussion Paper?, No. 2009?04S.
Jimenez G., Ongena S., Peydro J.L., Saurina J. (2009), Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?, ?Banco de Espa?a Working Papers?, No. 0833.
Jiménez G., Saurina J. (2006), Credit cycles, credit risk, and prudential regulation, ?International Journal of Central Banking?.
Kishan R.P., Timothy P.O. (2000), Bank Size, Bank Capital, and the Bank Lending Channel, ?Journal of Money, Credit and Banking?, Vol. 32, No. 1. http://dx.doi.org/10.2307/2601095.
Kishan R.P., Timothy P.O. (2006), Bank capital and loan asymmetry in the transmission of monetary policy, ?Journal of Banking and Finance?, Vol. 30, No. 1, http://dx.doi.org/10.1016/j.jbankfin.2005.05.002 .
Kokoszczyński R. (2004), Współczesna polityka pieniężna w Polsce, PWE, Warszawa.
Maddaloni A.J., Peydró L. (2011), Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards, ?Review of Financial Studies?, Vol. 24, No. 6, http://dx.doi.org/10.1093/rfs/hhr015.
Maddaloni A., Peydro L., Scopel S. (2008), Does Monetary Policy Affect Bank Credit Standards?, http://www.cepr.org/meets/ wkcn/1/1693/papers MaddaloniFinal. pdf.
Markovic B. (2006), Bank capital channels in the monetary transmission mechanism, Bank of England, ?Working Paper?, No. 313.
Matherat S. (2008), Fair value accounting and financial stability: challenges and dynamics, ?Banque de France, Financial Stability Review?, No. 12 October.
Mendoza E.G., Terrones M.E. (2008), An Anatomy of Credit Booms: Evidence from Macro Aggregates and Firm Level Data, ?IMF Working Paper?, No. 08/226.
Michalak, T.C. (2010), The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking: An Empirical Assessment of the Risk Taking Channel of Monetary Policy, ?Working Paper?, Ruhr-universität Bochum; http://www.southwesternfinance.org/conf2011/swfa2011 _submission_152.pdf.
Nier E., Zicchino L. (2006), Bank weakness, loan supply and monetary policy, ?Working paper?, http://www.eea-esem.com
Olszak M. (2009), Normy adekwatności kapitałowej, Wydawnictwo Naukowe WZ UW Warszawa.
Ozsuca E.A., Akbostanci E. (2012), An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey, ?ERC Working Papers in Economics? 12/08
Plantin G., Sapra H., Shin H.S (2008), Fair value accounting and financial stability Banque de France, ?Financial Stability Review No. 12 ? Valuation and financial stability?, October.
Rajan R.G. (2006), Has Finance Made the World Riskier?, ?European Financial Management?, 12(4), http://dx.doi.org/10.1111/j.1468-036X.2006.00330.x
Tovar C.E. (2008), DSGE models and central banks, ?BIS Working Papers?, No. 258.
Valencia F. (2011), Monetary Policy, Bank Leverage, and Financial Stability, ?IMF Working Paper?, No. 11/244.
Van den Heuvel S. (2007), The bank capital channel of monetary policy, ?University of Pennsylvania Working Paper?.
