It is well established that when monetary policy is accommodative, banks tend to grant more credit. However, only recently attention was given to the quality of credit granted and, naturally, the risk assumed during those periods. This article makes an empirical contribution to the analysis of the so-called risk-taking channel of monetary policy. We use bank loan level data and di¤erent methodologies to test whether banks assume more credit risk when monetary policy interest rates are lower.

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... results provide evidence in favor of this channel through di¤erent angles. We show that banks, most notably smaller banks, grant more loans to non-...nancial corporations with recent defaults or without credit history when policy interest rates are lower. We also ...nd that loans granted when interest rates are low are more likely to default in the hiking phase of the interest rate cycle. However, the level of policy interest rates at the moment of loan concession does not seem to be relevant for the ex-post probability of default of the overall loan portfolio. JEL Codes: E44, E5, G21.