Does monetary policy influence banks' risk weights under the internal ratings-based approach?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10398914" target="_blank" >RIV/00216208:11230/19:10398914 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=PblBtltke0" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=PblBtltke0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ecosys.2018.10.003" target="_blank" >10.1016/j.ecosys.2018.10.003</a>

Result language

angličtina

Original language name

Does monetary policy influence banks' risk weights under the internal ratings-based approach?

Original language description

This paper studies the extent to which monetary policy may affect banks&apos; perception of credit risk and the way banks measure risk under the internal ratings-based approach. Specifically, we empirically analyze the effect of different monetary policy variables on banks&apos; risk weights for credit risk. We present robust evidence of a strong, statistically significant relationship between monetary policy easing and lower implicit risk weights of banks using the internal ratings-based approach. Further, we show that the recent prolonged period of accommodative monetary policy has been instrumental in establishing this relationship. The presented findings have important implications for the prudential authority, which should be aware of the possible side effects of monetary policy on how banks measure risk.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50201 - Economic Theory

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Economic Systems

ISSN

0939-3625

e-ISSN

—

Volume of the periodical

43

Issue of the periodical within the volume

2

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

12

Pages from-to

100689

UT code for WoS article

000488419300010

EID of the result in the Scopus database

2-s2.0-85065591384