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Risk-taking channel Monetary policy Asymmetric Z-score Distance to Default Shadow interest rate Panel threshold model
Under a UMP regime, all monetary policy instruments, including the central bank deposit rate and the shadow interest rate, have an impact on bank behavior, which was not the case for conven-
All thresholds associated with policy and shadow interest rate vari- ables for the DD and the Z-score correspond to the prevailing values during the GFC event (2008-2009).
Therefore, we compute a shadow interest rate at the country level for each member country of the Eurozone, which is based on the interbank and sovereign debt interest rates.
How- ever, the thresholds for interest rates (shadow interest rate and central banks' interest rates) are relatively higher than those obtained with our asymmetric Z-score (see Table 3).
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