Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending
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.
Unconventional monetary policy, Quantitative and qualitative monetary easing, Matched lender-borrower data, Risk-taking channel
E44, E52, G21
Faculty of Economics, Konan University
Research Institute for Economics and Business Administration,
Rokkodai-cho, Nada-ku, Kobe
Bank of Japan , Japan