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：游艇会线路检测中心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。