Systemic Risk-Taking Channel of Domestic and Foreign Monetary Policy
作者： Sergio Rubens Stancato de Souza , Solange Maria Guerra , João Barata Ribeiro Blanco Barroso
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摘要: The paper investigates the impact of domestic and foreign monetary policy on two systemic risk indicators in Brazil, namely, Default Correlation DebtRank, which summarize, respectively, joint default probability financial institutions contagion through interbank market given a event. Results show that rate has robust statistically significant inverse relation with risk, consistent risk-taking channel extended here for correlated risks network externalities. are similar rate, although not most recent sample, lesser role banks transmission shocks. also reserve requirement rates, but significant, its operation narrower
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