In this paper I investigate the risk-taking channel of the monetary policy in the U.S. during the period of Large Scale Assets Purchases (LSAPs) programs; from November 2008 to September 2014. Using High-Frequency Identification (HFI) estimates of the monetary policy stance and constructed data...

Using the statistical relationships between market values of banks’ assets and their volatilities that are implied from banks’ shareholders’ values of publicly held banks and their financial statement-based variables, which are used to compute banks’ probabilities of default, we conduct...