Economic sectors and the risk-taking channel of monetary policy

Abstract

This paper contributes to the empirical literature of the risk-taking channel of monetary policy and enhance the range of the analysis in terms of studying which economic sectors are more vulnerable to it. We use loan level microdata for 3019 Colombian firms between 2005:1 and 2014:3. Our results show strong evidence of the channel for the economy as a whole and a stronger effect in the agriculture and services sectors for ex-ante risky firms. These results are supported also for ex post credit risk. The firms affected the most are the less profitable and the less leveraged.