We show empirically that banks' exposure to interest rate risk, or income gap, plays a crucial role in monetary policy transmission. In a first step, we show that banks typically retain a large exposure to interest rates that can be predicted with income gap. Secondly, we show that income gap...

This paper studies how banks' balance sheets and funding costs interact in the transmission of monetary-policy rates to banks' credit supply to firms. To do so, we use creditregistry data from Germany and Portugal together with the European Central Bank's policy-rate cuts in mid-2014. The...

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by...

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by...

We present evidence for the euro area of a risk–taking channel of monetary policy induced by a low interest rate environment following the 2008 Global Financial Crisis (GFC). Based on dynamic panel techniques, we find that credit risk (measured ex–ante and ex–post) is negatively associated...

Korean Abstract: 이 논문에서는 은행별 BIS비율에서 도출한 자산에 대한 위험가중치를 이용하여 금리와 은행의 수익 및 자산구조가 은행의 위험수준에 미치는 영향을 살펴보았다. 분석결과, 우리나라의 경우 단기금리가...