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- handle: 10670/1.zwyyzz
- hal: hal-02162296
- doi: 10.1016/j.jedc.2017.11.001
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jedc.2017.11.001
Mots-clés
Monetary policy Systemic risk-taking Long run causality SRisk E - Macroeconomics and Monetary Economics E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their Policies G - Financial Economics G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • MortgagesSujets proches
Monetary managementCiter ce document
Gilbert Colletaz et al., « Monetary policy and long-run systemic risk-taking », HAL-SHS : économie et finance, ID : 10.1016/j.jedc.2017.11.001
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Résumé
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.