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Using a dataset of US banks, we find that the impact of low interest rates on banks' risk behaviour depends on the previous monetary regime, that is on the deviation of monetary rates from the Taylor rule.
Hence, the positive and negative impacts of monetary expansion have mutually superior marginal effects depending on the monetary regime in the previous quarter.
In a low monetary regime (TGAPt−2 ≤ γ), the impact of monetary shock on bank soundness is twice that
in normal times and, in a high monetary regime (TGAPt−2 >γ),
The differential of bank Z-score sensitivity to a monetary shock during an unconventional period relative to a normal period, triples for a high monetary regime compared to a low monetary regime.
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