约束风险最大者？宏观审慎监管对中国银行系统性风险非线性影响的证据

IF 2.9 3区经济学 Q1 ECONOMICS Journal of Asian Economics Pub Date : 2024-06-07 DOI:10.1016/j.asieco.2024.101765

Qiaoling Kang , Minghua Chen , Ji Wu , Bang Nam Jeon

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引用次数: 0

摘要

我们研究了宏观审慎监管对中国银行系统性风险的影响。通过对 2002 年至 2018 年中国主要银行的面板数据集进行无条件量化回归，我们发现了宏观审慎监管在降低银行系统性风险方面具有非线性影响的支持性证据。具体而言，宏观审慎监管的风险降低效应随银行系统性风险的分布量值增加而增加，这意味着宏观审慎监管可能会对更有可能影响系统稳定性的银行实施更严格的监管。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Reining in the riskiest? Evidence of non-linear impacts of macroprudential regulations on bank systemic risk in China

We investigate the impact of macroprudential regulations on systemic risk in Chinese banks. Applying the approach of unconditional quantile regressions to a panel dataset of major Chinese banks from 2002 to 2018, we find supportive evidence for non-linear impacts of macroprudential regulations in mitigating the systemic risk of banks. Specifically, the risk-reducing effects of macroprudential regulations increase with the distributional quantiles of bank systemic risk, implying that macroprudential regulations may be implemented more rigorously on banks with a greater potential to influence systemic stability.

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来源期刊

Journal of Asian Economics ECONOMICS-

CiteScore

4.70

自引率

9.40%

发文量

期刊介绍： The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.