Dhital Saroj, Dixon Chandler, Evanczyk Eddie
Economics and Business Department, Southwestern University, United States of America.
Heliyon. 2023 Jul 11;9(7):e17965. doi: 10.1016/j.heliyon.2023.e17965. eCollection 2023 Jul.
In this paper, we examine the effect of reserve creation due to the Federal Reserve's Large-scale Asset Purchase programs on bank lending and risk-taking behavior. In particular, we test the existence of a risk-taking channel that induces banks with higher reserve accumulation due to the Fed's policy to increase the share of riskier loans. Exploiting the heterogeneity in the exposure to such asset purchase programs, as measured by relative mortgage-backed securities holdings in the banks' portfolios, we use difference-in-differences analysis to study the effect of the Fed's policies on the supply of total loans and the share of riskier loans such as real estate, commercial and industrial, and consumer loans. We find that the first and third round of Quantitative Easing (QE) policies led to an increase in both the total loans and the share of riskier loans within the banks' portfolios, supporting the risk-raking channel. The second round of QE on the other hand, had no significant impact on banks' lending behavior.
在本文中，我们研究了美联储大规模资产购买计划所带来的准备金创造对银行贷款及冒险行为的影响。具体而言，我们检验了一种冒险渠道的存在性，即由于美联储的政策，导致准备金积累较多的银行会增加风险较高贷款的占比。利用银行投资组合中相对抵押支持证券持有量所衡量的此类资产购买计划的风险敞口异质性，我们运用双重差分分析来研究美联储政策对总贷款供给以及房地产、商业和工业、消费贷款等风险较高贷款占比的影响。我们发现，第一轮和第三轮量化宽松（QE）政策导致银行投资组合中的总贷款和风险较高贷款占比均有所增加，这支持了冒险渠道的存在。另一方面，第二轮量化宽松政策对银行的贷款行为没有显著影响。
