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BANK RISK-TAKING AND MONETARY POLICY TRANSMISSION: EVIDENCE FROM CHINA
发布日期:2021-06-24 
题目: BANK RISK-TAKING AND MONETARY POLICY TRANSMISSION: EVIDENCE FROM CHINA
主讲人:彭俞超   中央财经大学金融学院
时间:2021-06-24 下午13:30-15:00
地点:腾讯会议 935 983 197
摘要:

China implemented Basel III in 2013 that increased the sensitivity of bank assets to risk-weighting. We study how the regulation changes have affected bank risk-taking, using confidential loan-level data merged with firm-level data. We use a difference-in-difference identification, exploiting the cross-sectional differences in bank lending behaviors between high-risk and low-risk bank branches before and after the new regulations. This identification approach is motivated by a theoretical model of bank portfolio choices. The model predicts that increasing risk-weighting sensitivity reduces bank risk-taking, both on average and conditional on monetary policy easing, with larger reductions in risk-taking for banks facing higher idiosyncratic risks. Consistent with theory, our evidence shows that bank branches— especially those with a relatively poor history of non-performing loans—responded to monetary policy easing by raising the share of lending to low-risk borrowers, and in particular, to state-owned enterprises (SOEs) that receive high credit ratings under government guarantees despite their low productivity.



主讲人简介:

彭俞超,中央财经大学金融学院副教授,丝路金融研究中心执行主任、金融学院学术交流部主任,全国金融青联委员。主要研究方向为宏观经济学、银行与公司金融。近年来,在《经济研究》(4篇)、《世界经济》(2篇)、《经济学(季刊)》(2篇)、《金融研究》(5篇)、《Journal of Development Economics》、《Journal of Money, Credit and Banking》《Journal of International Money and Finance》、《Journal of Business Ethics》等国内外权威期刊发表(接受)论文40余篇,主持国家自然科学基金1项。共同主编出版教材《金融科技学》、主持中国大学MOOC《大数据与金融》在线课程、参与建设获批国家本科一流虚拟仿真实验课程等。