Política monetaria y toma de riesgo sistémico: evidencia de un canal no lineal
Palabras clave:
Riesgo sistémico, Canal de toma de riesgo, Política monetaria, Sistema complejoResumen
El riesgo sistémico tiene ciertas propiedades que lo hacen un sistema complejo, una de ellas es la no linealidad. El objetivo de este trabajo es abordar empíricamente la existencia del canal de toma de riesgo sistémico de la política monetaria desde esta perspectiva usando el caso de Estados Unidos y el modelo TVP-VAR con Factor Estructural Aumentado (SFA-TVP-VAR). Con el fin de obtener resultados robustos, estimo este modelo con dos diferentes métricas que representan la postura de política monetaria, con diferentes parámetros y diferentes distribuciones de probabilidad a priori en cada caso. Considerando a las demás variables del sistema como variables latentes, muestro evidencia de un canal complejo: la relación entre la postura de política monetaria y la toma de riesgo sistémico es no lineal y se adapta a las condiciones económicas. Específicamente, la estimación a posteriori muestra que en el largo plazo la política monetaria mantiene una relación inversa con la toma de riesgo sistémico, lo cual indica que una postura laxa aumenta el riesgo sistémico; sin embargo, en el corto plazo, en periodos previos y durante una crisis financiera, un choque restrictivo de política monetaria, en vez de disminuir la toma de riesgo sistémico, lo incrementa.
Clasificación JEL: C30, E44, E52, G00.
Descargas
Citas
Abdymomunov, A. (2013). Regime-switching measure of systemic financial stress. Annals of Finance, 9(3), 455–470. https://doi.org/10.1007/s10436-012-0194-1
Abergel, F., Chakrabarti, B. K., Chakraborti, A., & Ghosh, A. (Eds.). (2013). Econophysics of Systemic Risk and Network Dynamics. Springer Milan. https://doi.org/10.1007/978-88-470-2553-0
Acharya, V. V., Pedersen, L. H., Philippon, T., & Richardson, M. (2017). Measuring systemic risk. Review of Financial Studies, 30(1), 2–47. https://doi.org/10.1093/rfs/hhw088
Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705–1741. https://doi.org/10.1257/aer.20120555
Adrian, T., & Shin, H. S. (2010). Liquidity and leverage. Journal of Financial Intermediation, 19(3), 418–437. https://doi.org/10.1016/j.jfi.2008.12.002
Altunbas, Y., Gambacorta, L., & Marques-Ibanez, D. (2010). Does monetary policy affect bank risk? (1166; ECB Working Paper). http://hdl.handle.net/10419/153600r
Alves, P., & Carvalho, L. (2020). Recent evidence on international stock market’s overreaction. Journal of Economic Asymmetries, 22(May), e00179. https://doi.org/10.1016/j.jeca.2020.e00179
Alzuabi, R., Caglayan, M., & Mouratidis, K. (2020). The risk-taking channel in the United States: A GVAR approach. International Journal of Finance & Economics, November 2019, 1–24. https://doi.org/10.1002/ijfe.2096
Baker, A. (2014). La Paradoja De Los Banqueros: La Economía Política De La Regulación Macroprudencial. Boletín Del CEMLA, 60(3), 185–211. http://crai-ustadigital.usantotomas.edu.co/login?url=https://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=110475711&lang=es&site=eds-live
Baruník, J., & Krehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001
Beale, N., Rand, D. G., Battey, H., Croxson, K., May, R. M., & Nowak, M. A. (2011). Individual versus systemic risk and the Regulator’s Dilemma. Proceedings of the National Academy of Sciences, 108(31), 12647–12652. https://doi.org/10.1073/pnas.1105882108
Belviso, F., & Milani, F. (2006). Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy. Topics in Macroeconomics, 6(3). https://doi.org/10.2202/1534-5998.1443
Bernanke, B. S., Boivin, J., & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387–422. https://www.jstor.org/stable/25098739
Bernanke, B. S., & Kuttner, K. N. (2005). What Explains the Stock Market’s Reaction to Federal Reserve Policy? The Journal of Finance, 60(3), 1221–1257. https://doi.org/10.1111/j.1540-6261.2005.00760.x
Borio, C. (2003). Towards a Macroprudential Framework for Financial Supervision and Regulation? CESifo Economic Studies, 49(2), 128. https://doi.org/10.1093/cesifo/49.2.181
Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, 8(4), 236–251. https://doi.org/10.1016/j.jfs.2011.12.003
Brave, S., & Butters, R. A. (2012). Diagnosing the Financial System: Financial Conditions and Financial Stress. International Journal of Central Banking, 29th Issue (June 2012), 191–239.
Brownlees, C., & Engle, R. (2017). SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. In Working Paper Series 3(2). https://doi.org/10.2849/814038
Brunnermeier, M., Rother, S., & Schnabel, I. (2020). Asset price bubbles and systemic risk. Review of Financial Studies, 33(9), 4272–4317. https://doi.org/10.1093/rfs/hhaa011
Bubeck, J., Maddaloni, A., & Peydró, J. (2020). Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register. Journal of Money, Credit and Banking, 52(S1), 197–231. https://doi.org/10.1111/jmcb.12740
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2000). Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.211428
Chan, J. C. C., Eisenstat, E., & Strachan, R. W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218(1), 105–118. https://doi.org/10.1016/j.jeconom.2019.11.006
Colletaz, G., Levieuge, G., & Popescu, A. (2018). Monetary policy and long-run systemic risk-taking. Journal of Economic Dynamics and Control, 86, 165–184. https://doi.org/10.1016/j.jedc.2017.11.001
Dang, V. D., & Dang, V. C. (2020). The conditioning role of performance on the bank risk-taking channel of monetary policy: Evidence from a multiple-tool regime. Research in International Business and Finance, 54(July), 101301. https://doi.org/10.1016/j.ribaf.2020.101301
Danielsson, J., Shin, H. S., & Zigrand, J.-P. (2014). Endogenous and Systemic Risk. In Haubrich, J., & Lo.A.W. (editors). Quantifying Systemic Risk pp. 73–94. University of Chicago Press. https://doi.org/10.7208/chicago/9780226921969.003.0004
De Nicolò, G., Dell’Ariccia, G., Laeven, L., & Valencia, F. (2010). Monetary Policy and Bank Risk Taking (SPN/10/09; IMF Staff Position). https://www.imf.org/en/Publications/IMF-Staff-Position-Notes/Issues/2016/12/31/Monetary-Policy-and-Bank-Risk-Taking-23990
Delis, M. D., Hasan, I., & Mylonidis, N. (2017). The Risk-Taking Channel of Monetary Policy in the U.S.: Evidence from Corporate Loan Data. Journal of Money, Credit and Banking, 49(1), 187–213. https://doi.org/10.1111/jmcb.12372
Dell’Ariccia, G., Laeven, L., & Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory, 149(1), 65–99. https://doi.org/10.1016/j.jet.2013.06.002
Eid, S. (2011). Monetary policy, risk-taking channel and income structure: an empirical assessment of the french banking system [Université Paris I – Panthéon Sorbonne]. https://dumas.ccsd.cnrs.fr/dumas-00643715
European Parliament and of the Council of European Union. (2010). Regulation (EU) No 1092/2010 of the European Parliament and of the Council of 24 November 2010 on European Union macro-prudential oversight of the financial system and establishing a European Systemic Risk Board. http://data.europa.eu/eli/reg/2010/1092/oj
Faia, E., & Karau, S. (2021). Systemic Bank Risk and Monetary Policy. International Journal of Central Banking, 17(5), 137–176. https://www.ijcb.org/journal/ijcb21q5a4.htm
Hakkio, C. S., & Keeton, W. R. (2009). Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter? Economic Review, Federal Reserve Bank of Kansas City. 94(QII), 5–50. www.KansasCityFed.org.
Heffernan, S. (2005). Modern Banking. John Wiley & Sons, Ltd.
Hendricks, D., Kambhu, J., & Mosser, P. (2007). Appendix B: Systemic Risk and the Financial System (Background Paper). In K. D. Garbade (Ed.), New Directions for Understanding Systemic Risk (2nd ed., Vol. 13, pp. 65–85). Federal Reserve Bank of New York.
Huang, X., Zhou, H., & Zhu, H. (2012). Systemic Risk Contributions. Journal of Financial Services Research, 42(1–2), 55–83. https://doi.org/10.1007/s10693-011-0117-8
Huang, Y., Li, X., & Wang, C. (2021). What does peer-to-peer lending evidence say about the Risk-Taking Channel of monetary policy? Journal of Corporate Finance, 66, 101845. https://doi.org/10.1016/j.jcorpfin.2020.101845
Hurd, T. R. (2016). Contagion! Systemic Risk in Financial Networks. Springer International Publishing. https://doi.org/10.1007/978-3-319-33930-6
Jiménez, G., Ongena, S., Peydró, J.-L., & Saurina, J. (2014). Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? Econometrica, 82(2), 463–505. https://doi.org/10.3982/ecta10104
Jin, X., & Nadal De Simone, F. (2020). Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. Journal of Financial Stability, 49, 100749. https://doi.org/10.1016/j.jfs.2020.100749
Kabundi, A., & De Simone, F. N. (2020). Monetary policy and systemic risk-taking in the euro area banking sector. Economic Modelling, 91(C), 736–758. https://doi.org/10.1016/j.econmod.2019.10.020
Kapinos, P. S. (2021). Monetary policy news and systemic risk at the zero lower bound. International Journal of Finance & Economics, 26(4), 4932–4945. https://doi.org/10.1002/ijfe.2047
Kemp, M. H. D. (2017). Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysis. In Riskesdas 2018 (Vol. 3). Palgrave Macmillan UK. https://doi.org/10.1057/978-1-137-56587-7
Kerbl, S., & Steiner, K. (2020). Austrian banks’ lending risk appetite in times of expansive monetary policy and tightening capital regulation. In Financial Stability Report (Oesterreichische Nationalbank) (Issue 39).
Kliesen, K. L., & Smith, D. C. (2010). Measuring Financial Market Stress. Economic Synopses, 2010(2). https://doi.org/10.20955/es.2010.2
Korobilis, D. (2013). Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models. Oxford Bulletin of Economics and Statistics, 75(2), 157–179. https://doi.org/10.1111/j.1468-0084.2011.00687.x
Lars Peter, H. (2015). Challenges in Identifying and Measuring Systemic Risk. In Risk Topography (Issue 2012, pp. 15–30). University of Chicago Press. https://doi.org/10.7208/chicago/9780226092645.003.0002
Mishkin, F. S. (2011). Monetary policy strategy: Lessons from the crisis (Working Paper 16755; NBER WORKING PAPER SERIES).
Mishkin, F. S. (2014). Moneda, Banca y Mercados Financieros (10th ed.). Pearson Educación.
Morais, B., Peydró, J., Roldán-Peña, J., & Ruiz-Ortega, C. (2019). The International Bank Lending Channel of Monetary Policy Rates and QE: Credit Supply, Reach-for-Yield, and Real Effects. The Journal of Finance, 74(1), 15. https://doi.org/10.1111/jofi.12735
Neuenkirch, M., & Nöckel, M. (2018). The risk-taking channel of monetary policy transmission in the euro area. Journal of Banking and Finance, 93(August), 71–91. https://doi.org/10.1016/j.jbankfin.2018.06.003
Ngambou Djatche, M. J. (2019). Re-exploring the nexus between monetary policy and banks’ risk-taking. Economic Modelling, 82C), 294–307. https://doi.org/10.1016/j.econmod.2019.01.016
Oet, M., Dooley, J., & Ong, S. (2015). The Financial Stress Index: Identification of Systemic Risk Conditions. Risks, 3(3), 420–444. https://doi.org/10.3390/risks3030420
Omarova, S. T. (2019). The “Too Big To Fail” Problem. Minnesota Law Review, 2495(103), 47. https://scholarship.law.cornell.edu/facpub/1693/
Osinski, J., Seal, K., & Hoogduin, L. (2013). Políticas macroprudenciales y microprudenciales: Hacia la convivencia. Documento de Análisis del Personal Técnico del FMI. SDN13/05
Paligorova, T., & Santos, J. A. C. (2017). Monetary policy and bank risk-taking: Evidence from the corporate loan market. Journal of Financial Intermediation, 30, 35–49. https://doi.org/10.1016/j.jfi.2016.11.003
Pozo, J., & Rojas, Y. (2020). The Risk-Taking Channel of Monetary Policy: A New Approach and Evidence from P. Working Paper Series. DT No. 2020-019. Banco Central de Reserva del Perú.
Rajan, R. (2005). Has the financial development made the world rieskier? Working Paper11728; NBER Working Paper Series. National Bureau of Economic Research.
Renn, O., Laubichler, M., Lucas, K., Kröger, W., Schanze, J., Scholz, R. W., & Schweizer, P. (2020). Systemic Risks from Different Perspectives. Risk Analysis, 42(9), 1902-1920. https://doi.org/10.1111/risa.13657
Sarkar, S., & Sensarma, R. (2019). Risk-taking Channel of Monetary Policy: Evidence from Indian Banking. Margin-The Journal of Applied Economic Research, 13(1), 1–20. https://doi.org/10.1177/0973801018800088
Segev, N. (2020). Identifying the risk-Taking channel of monetary transmission and the connection to economic activity. Journal of Banking and Finance, 116, 105850. https://doi.org/10.1016/j.jbankfin.2020.105850
Segoviano, M. A., & Goodhart, C. (2009). Banking Stability Measures. IMF Working Paper Series, WP/09/4. International monetary Fund.
Taylor, J. B. (1993). Discretion versus policy rules in practice: two critical points. A comment. Carnegie-Rochester Conference Series on Public Policy, 39(C), 195–214. https://doi.org/10.1016/0167-2231(93)90010-T
Taylor, J. B. (2011). Macroeconomic Lessons from the Great Deviation. NBER Macroeconomics Annual, 25(1), 387–395. https://doi.org/10.1086/657553
Wu, J. C., & Xia, F. D. (2016). Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. Journal of Money, Credit and Banking, 48(2–3), 253–291. https://doi.org/10.1111/jmcb.12300
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Derechos de autor 2024 WILLEBALDO GARCIA GREGORIO

Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.