Banks' market capital and the international risk taking channel of US monetary policy

• 成果类型: Article
• 署名作者: Avdjiev, Stefan; Serena, Jose Maria
• 署名单位: Bank for International Settlements (BIS); Banco de Espana
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104099
• 发表日期: 2025
• 关键词: Bank capital; International risk taking channel; US monetary policy; International leveraged loans

摘要

We demonstrate that banks' market capital is a key determinant of the strength of the international risk-taking channel of US monetary policy. The impact of US monetary policy on international risk-taking is greater for banks with low market capital. The effect of market capital exists in addition to the previously documented effect of regulatory capital, which works in the opposite direction. As a result, the international risk-taking channel of monetary policy is most powerful for banks that have a combination of high regulatory capital and low market capital.