This study investigates the impact of monetary transmission through the new risk-taking channel, which has the potential to trigger financial crises. We used the ARDL and VEC models with Brazilian data from 2003 to 2021. The results indicate a negative and significant relationship between monetary policy interest rates and banking risk, especially in the long term. This suggests the pro-cyclical nature of financial institutions in response to monetary policy: in scenarios of increasing (or decreasing) interest rates and economic crises, financial institutions become more averse (or prone) to risk. We also observe the heterogeneity of risk in relation to stock market conditions, public accounts, uncertainties and exchange rates.