Title

Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending

Abstract

We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary lending to risky firms from banks with higher leverage.

Keywords

Unconventional monetary policy, Quantitative and qualitative monetary easing, Matched lender-borrower data, Risk-taking channel

JEL Classification

E44, E52, G21

Inquiries

Kiyotaka NAKASHIMA
Faculty of Economics, Konan University

Masahiko SHIBAMOTO
Research Institute for Economics and Business Administration,
Kobe University
Rokkodai-cho, Nada-ku, Kobe
657-8501 Japan
Phone: +81-78-803-7036
FAX: +81-78-803-7059

Koji TAKAHASHI
Bank of Japan , Japan