We investigate how the surprise introduction of negative interest rate policy (NIRP) in Japan affected banks' lending and risk-taking behavior. Equity prices of Japanese financial firms fell sharply despite the accommodative policy, and we document the characteristics that heighten Japanese banks' exposure to NIRP. We exploit the cross-sectional variation in the change of share prices around the announcement to measure banks' differential exposure to NIRP. Consistent with the risk taking channel, we find that more exposed banks insulated their profits from the adverse effects of NIRP by boosting risk-taking behavior and increasing credit supply relative to less exposed banks.

中文翻译：

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突破极限？日本银行如何应对负利率

我们调查了日本意外引入负利率政策 (NIRP) 如何影响银行的借贷和冒险行为。尽管采取了宽松政策，日本金融公司的股票价格仍大幅下跌，我们记录了日本银行对 NIRP 敞口增加的特征。我们利用公告前后股价变化的横截面变化来衡量银行对 NIRP 的不同敞口。与风险承担渠道一致，我们发现更多风险敞口的银行通过促进风险承担行为和增加相对于风险敞口较小的银行的信贷供应，使其利润免受 NIRP 的不利影响。