Derivative activities and Chinese banks’ exposures to exchange rate and interest rate movements

The Dynamics of Foreign Exchange Derivative Use in China

“…They suggest that this is not due to the hot money inflows into China and investment sentiment. Adcock et al (2017) showed similar evidence of exposure to these risks but only when non-linearities were accounted for. They also find that the risk exposure is reduced when banks have used derivatives.…”

Women on boards and corporate social irresponsibility: evidence from a Granger style reverse causality minimisation procedure

“…In addition to using Granger causality to test the presence of reverse causality, our procedure is inspired by an increased use of orthogonalization as a means of eliminating unwanted effects from variables (e.g. Adcock et al 2017;Elton et al 1993;Ferguson and Shockley 2003;Hoepner, Majoch, and Zhou 2019;Hoepner, Rammal, and Rezec 2011;Lawrence et al 2019;Liesen et al 2017;Priestley and Ødegaard 2007) The unwanted effect that we seek to eliminate will be reverse causality. Technically, our procedure involves three steps:…”

Chinese capital markets: institutional reforms and growing global links

“…Where regulatory oversight is high, informed traders are less likely to exploit their private information. Adcock et al (2017), titled Derivative Activities and Chinese Banks' Exposures to Exchange Rate and Interest Rate Movements, address how the use of derivatives affects Chinese credit institutions' vulnerability to exchange rate and interest rate fluctuations. First, they allow these exposures to be dependent on time-varying firm-specific characteristics.…”