Bank market power and the risk channel of monetary policy

• 成果类型: Article
• 署名作者: Afanasyeva, Elena; Guentner, Jochen
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Johannes Kepler University Linz; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.029
• 发表日期: 2020
• 页码: 118-134
• 关键词: Costly state verification; Lending standards; monetary policy; Risk channel

摘要

Do banks lend to riskier borrowers after a monetary expansion? We modify the classic costly state verification problem by introducing a risk-neutral monopolistic bank, which maximizes profits subject to borrowers' participation. While the bank can diversify idiosyncratic default risk, it bears the aggregate risk. In partial equilibrium, the bank prefers a higher leverage ratio of the borrower, when the profitability of lending increases, e.g. after a monetary expansion. This risk channel persists in a New Keynesian DSGE model that replicates the conditional comovement in response to a monetary policy shock and the unconditional cross-correlations of bank-related variables in the data. Published by Elsevier B.V.