NDLI: Monetary Policy and Long-Run Systemic Risk-Taking

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Monetary Policy and Long-Run Systemic Risk-Taking

Content Provider	Scilit
Author	Colletaz, Gilbert Levieuge, Grégory Popescu, Alexandra
Copyright Year	2018
Description	Journal: SSRN Electronic Journal As an extension to the literature on the risk-taking channel of monetary policy, this paper studies the existence of a systemic risk-taking channel (SRTC) in the Eurozone, through an original macroeconomic perspective based on causality measures. Because the SRTC is effective after an “incubation period”, we make a distinction between short and long-term causality, following the methodology proposed by Dufour and Taamouti (2010). We find that causality from monetary policy to systemic risk, while not significant in the very short term, robustly represents 75 to 100% of the total dependence between the two variables in the long run. Reverse causality is rejected: systemic risk did not influence the policy of the European Central Bank before the global financial crisis. However, central banks must be aware that a too loose monetary policy stance may be conducive to a build-up of systemic risk.
Related Links	https://publications.banque-france.fr/sites/default/files/medias/documents/wp694.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3250617
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3250617
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2018-09-01
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Development Studies Social Sciences, Interdisciplinary Monetary Policy Systemic Risk-taking Long Run Causality
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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