伟德BETVlCTOR1946建院40周年系列活动之学术讲座第52期
伟德BETVlCTOR1946金融学系列 Seminar 第67期
主题: Bank risk-taking and monetary policy transmission: evidence from China
主讲人：彭俞超副教授
主持人：王玮副教授
地点: 伟德BETVlCTOR1946（中惠楼）102室
会议时间：2020年12月4日10:00-11:30
摘要
We present evidence that monetary policy easing reduces bank risk-taking but lowers aggregate productivity in China after implementing the Basel III capital regulations in 2013. The new regulations tightened bank capital requirements and introduced a new risk-weighting approach to calculating the capital adequacy ratio (CAR). To meet tightened capital requirements, a bank can boost its effective CAR by raising capital or by increasing the share of lending to low-risk borrowers. Using confidential loan-level data from a large Chinese commercial bank, merged with firmlevel data on a large set of manufacturing firms, we document robust evidence that a monetary policy expansion raises the share of new bank loans to state-owned enterprises (SOEs) after 2013, but not before, because SOE loans receive high credit ratings under government guarantees. Since SOEs are on average less productive than private firms, shifts in bank lending toward SOEs reduces aggregate productivity. We construct a two-sector general equilibrium model with bank portfolio choices and show that, under calibrated parameters, an expansionary monetary policy shock raises the share of bank lending to SOEs, leading to persistent declines in total factor productivity that partially offset the expansionary effects of monetary policy.
主讲人简介
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：金融与实体经济协调发展、货币政策、宏观审慎监管等。近年来，在《经济研究》、《世界经济》、《经济学（季刊）》、《金融研究》、《中国工业经济》、Journal of Business Ethics、 Journal of International Money and Finance、Pacific-Basin Finance Journal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、参与专著3本，主编、参编教材2本。主讲本科生课程：金融学、大数据与金融、金融科技学，研究生课程：经济金融研究方法。
