Analysing Systemic Risk in the Chinese Banking System

Huang, Qiubin; Haan, Jakob de; Scholtens, Bert

doi:10.1111/1468-0106.12212

Cited by 40 publications

(35 citation statements)

References 55 publications

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“…This explains the definition of systemic risks proposed by Mishkin (1995) as the "prospect of an unexpected, usually unforeseen event that interrupts flow of information in financial markets, causing them to be incapable of efficiently allocate resources to those parties with most productive investment opportunities". Huang et al (2017) use the CoVaR, the MES, the SII, and VI portfolio models in order to measure systemic risk in the Chinese banking system. The study indicated that Chines banks have higher CoVaR but lower MES.…”

Section: Literature Reviewmentioning

confidence: 99%

Measuring Systemic Risks in the Turkish Banking Sector

Şengül¹,

Yılmaz²

2020

berj

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This paper focused on measuring the systemic risks in Turkey's banking sector by using two major measures that have been proposed in the literature as conditional value at risk (CoVaR) and marginal expected shortfall (MES). In order to compute the contribution of banking sector to systemic risks, the MES and ΔCoVaR measures are estimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during 2000-2016 period by using Engle's dynamic conditional correlation model. The preliminary results of this study show that although the measures provide different rankings for the systemic risk contributions, they turn out to be qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions. Secondly, both systemic risk measures (MES and ΔCoVaR) are analyzed to determine the relationships between some variables associated with bank characteristics (e.g., VaR, size and leverage ratio) and banks' systemic risk contributions, via simple panel data regression methods.

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Section: Literature Reviewmentioning

confidence: 99%

Measuring Systemic Risks in the Turkish Banking Sector

Şengül¹,

Yılmaz²

2020

berj

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“…The reporting, collecting and analysis of NCD data is still an ongoing progress of updating and revision. Previous studies have focused on the measurement of systemic risk in the Chinese banking system (Huang et al 2017), specific risks caused by specific shadow banking activities such as rollover risk from wealth management products for Chinese banks (Acharya et al 2016), and balance-sheet risks from entrusted lending to small Chinese banks (Chen et al 2016).…”

Section: Policy Implications and Discussionmentioning

confidence: 99%

Why Does the Negotiable Certificate of Deposit Matter for Chinese Banking?

Liu¹

2018

Economic Affairs

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The Negotiable Certificate of Deposit (NCD) is a major financial instrument in China; the value of outstanding Chinese NCDs was approximately RMB8 trillion (equivalent to USD1.2 trillion) in mid-2017. This article reviews the most recent developments in the Chinese NCD, including its effect on interest rate pass-through and money creation. Empirical results show that the introduction of the NCD in 2014 influenced the relationship between the policy rate and the lending rate of Chinese commercial banks, and the interest rate pass-through from the policy rate to the lending rate of commercial banks improved subsequently. However, this process has also been accompanied by maturity mismatch, increasing leverage, and decreasing credit ratings for the assets of banks and other financial institutions. Consequently, systemic risk in the Chinese banking system has increased.JEL codes: E52, E58.

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“…Our dataset includes the 16 largest banks listed in the Chinese stock market where their aggregate assets account for more than 70% of the total assets of all Chinese commercial banks (Huang et al, 2019). Our main analysis focuses on the period of 2007-2018 as the Chinese banking restructuring reform was basically completed at the end of 2006 (Huang et al, 2019) whereas data on bank executive compensation in 2019 has not been released yet. We collect data for the above variables from the RESSET database and present their descriptive statistics in Table 1.…”

Section: Methodology and Datamentioning

confidence: 99%

“…Our paper also belongs to the fast-growing literature on Chinese banks. Recent studies have examined Chinese banks from different perspectives, such as systemic risk (e.g., Huang et al, 2019), regulation (e.g., Jiang et al, 2019), efficiency (Zhang et al, 2012), political connection (Hung et al, 2017), ownership dispersion of banks (Bian and Deng, 2017). We contribute to this literature by providing empirical evidence for the connection of executive compensation and bank risk-taking, which is beneficial to China's current regulation practice and improvement.…”

Section: Introductionmentioning

confidence: 95%

Executive Compensation and Risk-Taking of Chinese Banks

Huang

2020

SSRN Journal

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We document a significantly positive relationship between executive compensation and risk-taking of Chinese listed banks over the 2007-2018 period. The finding is robust to the risk measures (Z-score, systematic risk and stock return volatility) used, the way to calculate executive compensation, and model specifications as well as estimation techniques. Further analysis suggests that bank past performance (captured by return on equity) strongly moderates the relationship between executive compensation and risk-taking. We also find a modest U-shaped association of bank Z-score with executive compensation. Our study appears to support the regulation on executive compensation for the sake of bank stability.

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Analysing Systemic Risk in the Chinese Banking System

Cited by 40 publications

References 55 publications

Measuring Systemic Risks in the Turkish Banking Sector

Measuring Systemic Risks in the Turkish Banking Sector

Why Does the Negotiable Certificate of Deposit Matter for Chinese Banking?

Executive Compensation and Risk-Taking of Chinese Banks

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