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经济学院2021年第六次学术活动

文章来源: 发表时间:2021-05-18 17:09:31点击次数:

题目:BANK RISK-TAKING AND MONETARY POLICY TRANSMISSION: EVIDENCE FROM CHINA

主讲人:彭俞超

单位:中央财经大学金融学院

时间:2021年5月20日星期四下午16:00

地点:华中科技大学经济学院521会议室

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 obtained from a large Chinese bank, 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(教育部国别与区域研究基地)执行主任、金融学院学术交流部主任、金融科技系书记,全国金融系统青年联合会第三届委员会委员(金融科技界别)。2016年博士毕业于中央财经大学金融学院,2010年、2009年分别从法国鲁昂高商、武汉大学获得硕士、学士学位。曾任英国杜伦大学商学院访问学者。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,参加国家级课题10余项。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,参与出版金融科技日文教材等。

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