Resumo

GARCIA GREGORIO, Willebaldo. Monetary policy and systemic risk-taking: evidence of a nonlinear channel. Anál. econ. [online]. 2024, vol.39, n.102, pp.59-84.  Epub 29-Out-2024. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2024v39n102/garcia.

Systemic risk has certain properties that make it behave as a complex system, one of which is its nonlinearity. The objective of this paper is to empirically address the systemic risk- taking channel of monetary policy from this perspective using the U.S. case and the TVP- VAR model with Structural Factor Augmented (SFA-TVP-VAR). In order to obtain robust results, I estimate this model with two different metrics of the monetary policy stance, with different parameters and priors in each case. Considering the remaining system variables as latent variables, I document evidence of a complex channel: I find that the relationship between monetary policy stance and systemic risk-taking is non-linear and adaptive to economic conditions. Specifically, the posterior estimation shows that the monetary policy maintains an inverse relationship with systemic risk-taking in the long run, indicating that a loose stance increases systemic risk; however, in the short run, in earlier periods and during a financial crisis, a restrictive shock of monetary policy, instead of reducing systemic risk- taking, increases it.

Palavras-chave : Systemic risk; Risk-taking channel; Monetary policy; Complex system.

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