主  題:Effect of Interbank Activities on Bank Risk: Why is China Different?

內容簡介:Shadow banking commonly occurs outside the banking system to avoid regulation. However, in China, shadow banking could occur inside the banking system, in which one of the instruments is interbank activities. This unique Chinese style of shadow banking provides a natural environment to examine how this shadow banking, proxied by interbank activities, affects credit rating. To prove this, we conduct two comparisons. First, we compare the local Chinese commercial banks with foreign bank subsidiaries in China, where the two types of banks are subject to the same macroeconomic environments, policies and regulations but the latter do not engage in the Chinese style shadow banking. Next, we compare the interbank activities of five developed countries (Germany, France, Japan, the United Kingdom, and the United States), where the unique shadow banking system is absent. Results show that credit rating is downgraded in Chinese banks when they conduct interbank activities. The results do not hold for foreign bank subsidiaries in China, agencies upgrade or remain neutral on the interbank activities of foreign bank subsidiaries. Furthermore，after we control country heteroscedasticity, agencies upgrade or have no effect on the interbank activities of the banks from the five developed countries.

報告人:沈中華      教授

時  間:2018-11-28    14:30

地  點:位育樓117

舉辦單位:銀行與貨幣研究院