Monetary policy and systemic risk-taking: evidence of a nonlinear channel

Systemic risk has certain properties that make it behave as a complex system, one of which is its nonlinearity.The objective of this paper is to empirically address the systemic risktaking channel of monetary policy from this perspective using the U.S. case and the TVP-VAR model with Structural Factor Augmented (SFA-TVP-VAR).In order to obtain robust results, I estimate this model with two different metrics of the monetary policy stance, with different parameters and priors in each case.Considering the remaining system variables as latent variables, I document evidence of a complex channel: I find that the relationship between monetary policy stance and systemic risk-taking is non-linear and adaptive to economic conditions.Specifically, the posterior estimation shows that the monetary policy maintains an inverse relationship with systemic risk-taking in the long run, indicating that a loose stance increases systemic risk; however, in the short run, in earlier periods and during a financial crisis, a restrictive shock of monetary policy, instead of reducing systemic risktaking, increases it. RESUMENEl riesgo sistmico tiene ciertas propiedades que lo hacen un sistema complejo, una de ellas es la no linealidad.El objetivo de este trabajo es abordar empricamente la existencia del canal de toma de