Capital flows and the risk-taking channel of monetary policy

• 成果类型: Article
• 署名作者: Bruno, Valentina; Shin, Hyun Song
• 署名单位: American University; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.11.011
• 发表日期: 2015
• 页码: 119-132
• 关键词: Bank leverage; monetary policy; capital flows; Risk-taking channel

摘要

Adjustments in bank leverage act as the linchpin in the monetary transmission mechanism that works through fluctuations in risk-taking. In the international context, we find evidence of monetary policy spillovers on cross-border bank capital flows and the US dollar exchange rate through the banking sector. A contractionary shock to US monetary policy leads to a decrease in cross-border banking capital flows and a decline in the leverage of international banks. Such a decrease in bank capital flows is associated with an appreciation of the US dollar. (C) 2014 Elsevier B.V. All rights reserved.