Monetary policy and long-run systemic risk-taking

DOI10.1016/J.JEDC.2017.11.001MaRDI QIDQ1657161zbMATH OpenOpenAlexFDO

Authors Gilbert Colletaz, Grégory Levieuge, Alexandra Popescu

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://publications.banque-france.fr/sites/default/files/medias/documents/wp694.pdf

zbMATH Keywords

long run causalitymonetary policysrisksystemic risk-taking

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• ``Interest rate trap, or why does the central bank keep the policy rate too low for too long?
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• Endogenous risk in a DSGE model with capital-constrained financial intermediaries
• Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?
• In search for yield? Survey-based evidence on bank risk taking
• Inference in Linear Time Series Models with some Unit Roots
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Monetary policy and risk taking
• Monetary policy, bank leverage, and financial stability
• On the relationship between impulse response analysis, innovation accounting and Granger causality
• Prediction of multivariate time series by autoregressive model fitting
• Real interest rates, leverage, and bank risk-taking
• Short and long run causality measures: theory and inference
• Short Run and Long Run Causality in Time Series: Theory
• Where the risks lie: a survey on systemic risk

Cited in

(4)

• Monetary policy and risk taking
• On the impact of quantitative easing on credit standards and systemic risk: the Japanese experience
• ECB monetary communications: market fragmentation at stake
• The role of systemic risk spillovers in the transmission of euro area monetary policy

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