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。
