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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

—

Svazek periodika

43

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

12

Strana od-do

100689

Kód UT WoS článku

000488419300010

EID výsledku v databázi Scopus

2-s2.0-85065591384