Template-Type: ReDIF-Paper 1.0
Author-Name: Teh Tian Huey
Author-X-Name-First: Tian Huey
Author-X-Name-Last: Teh
Author-Name: Daniel Chin Shen Li
Author-X-Name-First: Daniel Chin Shen
Author-X-Name-Last: Li
Title: Measuring bank risk-taking behaviour - The risk-taking channel of Monetary Policy in Malaysia
Abstract: Using a proprietary micro-dataset on loan defaults in Malaysia, we introduce a simple fixed effects model to extract a measure of bank lending standards from the observed default rates of loan portfolios. We then use this measure to investigate the risk-taking channel of monetary policy in a panel fixed-effects regression. We find limited evidence of the risk-taking channel of monetary policy in Malaysia. This could in part be a reflection of the effects of a pre-emptive monetary policy stance and the implementation of policies from a broader toolkit in leaning against financial imbalances in Malaysia.
Length: 21 pages
Creation-Date: 2016-11
File-URL: https://www.bis.org/ifc/publ/ifcwork16.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/ifc/publ/ifcwork16.htm
File-Format: text/html
Number: 16
Classification-JEL: E50, E52, G21
Keywords: bank lending, risk-taking channel, monetary policy
Handle: RePEc:bis:bisiwp:16