Has monetary policy fueled the rise in shadow banking?
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10253014" target="_blank" >RIV/61989100:27510/23:10253014 - isvavai.cz</a>
Výsledek na webu
<a href="https://www.sciencedirect.com/science/article/pii/S0264999323000901#aep-article-footnote-id3" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0264999323000901#aep-article-footnote-id3</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2023.106278" target="_blank" >10.1016/j.econmod.2023.106278</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Has monetary policy fueled the rise in shadow banking?
Popis výsledku v původním jazyce
How does monetary policy affect the shadow banking sector? Studies exploring the effect of monetary conditions on financial institutions have predominantly focused on traditional banks and disregarded shadow banking. Compiling a novel dataset with disaggregated shadow banking components, we assess the link between ECB's monetary policy setting and the rise of the shadow banking sector in the euro area over the 1999-2019 period. Our empirical analysis robustly demonstrates that monetary policy actions have been associated with a move away from traditional banking to the much riskier shadow banking sector. The magnitude of this effect is three times greater than the regulatory arbitrage effect. We uncover two underlying drivers. First, tight monetary policy promotes shadow banking because financial actors attempt to reduce their funding costs. Second, loose monetary policy expands shadow banking because it intensifies the investors' search for yield. Implied policy recommendations are discussed.
Název v anglickém jazyce
Has monetary policy fueled the rise in shadow banking?
Popis výsledku anglicky
How does monetary policy affect the shadow banking sector? Studies exploring the effect of monetary conditions on financial institutions have predominantly focused on traditional banks and disregarded shadow banking. Compiling a novel dataset with disaggregated shadow banking components, we assess the link between ECB's monetary policy setting and the rise of the shadow banking sector in the euro area over the 1999-2019 period. Our empirical analysis robustly demonstrates that monetary policy actions have been associated with a move away from traditional banking to the much riskier shadow banking sector. The magnitude of this effect is three times greater than the regulatory arbitrage effect. We uncover two underlying drivers. First, tight monetary policy promotes shadow banking because financial actors attempt to reduce their funding costs. Second, loose monetary policy expands shadow banking because it intensifies the investors' search for yield. Implied policy recommendations are discussed.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
<a href="/cs/project/GA19-19485S" target="_blank" >GA19-19485S: Prostorová dynamika a nerovnost: Role konektivity a přístupu k financím</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Economic Modelling
ISSN
0264-9993
e-ISSN
1873-6122
Svazek periodika
123
Číslo periodika v rámci svazku
June
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
18
Strana od-do
106278
Kód UT WoS článku
000969525700001
EID výsledku v databázi Scopus
2-s2.0-85151863583