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Fève, Patrick
, Garcia Sanchez, Pablo and Sahuc, Jean-Guillaume
(2018)
State-dependent risk taking and the transmission of monetary policy shocks.
Economics Letters, vol. 164.
pp. 10-14.
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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: | Article |
|---|---|
| Language: | English |
| Date: | March 2018 |
| Refereed: | Yes |
| Place of Publication: | Amsterdam. |
| 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) |
| Site: | UT1 |
| Date Deposited: | 18 May 2018 10:09 |
| Last Modified: | 05 Sep 2023 13:15 |
| OAI Identifier: | oai:tse-fr.eu:32298 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25794 |
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State-dependent risk taking and the transmission of monetary policy shocks. (deposited 17 Apr 2018 08:06)
- State-dependent risk taking and the transmission of monetary policy shocks. (deposited 18 May 2018 10:09) [Currently Displayed]
