O canal de tomada de risco da política monetária: novas evidências do Brasil

Abstract

Monetary theory and the transmission channels of monetary policy are in constant theoretical evolution. With the 2008/2009 financial crisis, the risk-taking channel became relevant. This new transmission channel relates the effects of monetary policy to the willingness of financial institutions to change the risk profile of their balance sheet, assuming more or less risk. The purpose of this study is to investigate whether this is an active channel for the Brazilian economy. Using a database and identification strategy not yet exploited for Brazil, we verified that from 2001 to 2016 the risk-taking channel was not in full operation. We also found that the risk-bearing relationship of the financial institutions with their characteristics suits to the theory and stylized facts reported for developed economies. In addition, we tested the theoretical hypotheses regarding the behavior of the financial institutions when faced with an increase in international liquidity or when exposed to an excessive increase in bank lending.