【主题】Bank Risk-Taking and Monetary Policy Transmission: Evidence from China
【报告人】彭俞超（中央财经大学金融学院）
【时间】4月28日（星期三）10:00-11:30 a.m.
【地点】上海财经大学高等研究院楼232室
【语言】英文
【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 risktaking, 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.
【嘉宾介绍】彭俞超，副教授，中央财经大学金融学院学术交流部主任，丝路金融研究中心执行主任，全国金融青联委员。研究方向：金融与实体经济、货币政策。近年来，在《经济研究》、《世界经济》、《经济学（季刊）》、《金融研究》、Journal of International Money and Finance、Journal of Business Ethics等国内外权威期刊发表论文40篇余篇。主持国家自然科学基金1项，博士后科学基金一等面上资助1项，参加国家级课题10余项。出版专著1本，主编、参编教材2本。
