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Fève, Patrick
, Garcia Sanchez, Pablo and Sahuc, Jean-Guillaume
(2017)
State-dependent risk taking and the transmission of monetary policy shocks.
TSE Working Paper, n. 17-872, Toulouse
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Official URL : http://tse-fr.eu/pub/32282
Abstract
Is risk taking an important channel by which monetary policy shocks affect economic activity? On the basis of a nonlinear structural VAR including a new measure of risk sensitivity by economic agents, we show that the role of the risk-taking channel depends on the state of the economy. While it is irrelevant during recession or normal times, it acts as an amplifier by boosting output during expansion. It means that, as long as monetary policy does not actively "lean against the wind", it may exacerbate boom-bust patterns.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | December 2017 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Risk-taking channel, Monetary policy, Boom-bust cycle |
| JEL Classification: | C32 - Time-Series Models E52 - Monetary Policy (Targets, Instruments, and Effects) |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 17 Apr 2018 08:06 |
| Last Modified: | 05 Sep 2023 13:15 |
| OAI Identifier: | oai:tse-fr.eu:32282 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25789 |
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