We provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks’ total asset growth and their risk assets ratio. Our dataset covers the period 2000Q1–2018Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find a portfolio reallocation effect towards riskier assets and evidence for a general expansion of assets. Both effects last for roughly six quarters in the case of conventional monetary policy shocks, whereas for unconventional monetary policy shocks the responses are significant for two quarters only. Country-specific as well as sector-specific estimations confirm these findings for most of the euro area countries and all non-bank types, but also reveal some heterogeneity in the reaction of financial institutions.

中文翻译：

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影子银行和欧元区货币政策传导的冒险渠道

我们通过增加影子银行的总资产增长及其风险资产比率，为欧元区货币政策传导的风险承担渠道提供了证据。我们的数据集涵盖了2000年1季度至2018年3季度，除了包括实际GDP增长，通货膨胀和货币政策立场的标准变量之外，还包括影子银行业的上述两个指标。基于整个欧元区的向量自回归模型，我们发现了针对风险较高的资产的投资组合重新分配效应以及资产总体扩张的证据。在常规货币政策冲击的情况下，两种影响都持续大约六个季度，而对于非常规货币政策冲击，响应仅在两个季度中才有意义。