Real interest rates, leverage, and bank risk-taking

• 成果类型: Article
• 署名作者: Dell'Ariccia, Giovanni; Laeven, Luc; Marquez, Robert
• 署名单位: International Monetary Fund; Centre for Economic Policy Research - UK; University of California System; University of California Davis
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.06.002
• 发表日期: 2014
• 页码: 65-99
• 关键词: real interest rates; leverage; risk taking; banking crises; monetary policy

摘要

Do low interest rate environments lead to greater bank risk-taking? We show that, when banks can adjust their capital structures, reductions in real interest rates lead to greater leverage and higher risk for any downward sloping loan demand function. However, if the capital structure is fixed, the effect depends on the degree of leverage: following a decrease in interest rates, well capitalized banks increase risk, while highly levered banks may decrease it if loan demand is linear or concave. Further, the capitalization cutoff depends on the degree of bank competition. This effect therefore should vary across countries and over time. (C) 2013 International Monetary Fund. Published by Elsevier Inc. All rights reserved.