Leverage and systemic risk pro-cyclicality in the Chinese financial system
نویسندگان
چکیده
In this paper, we investigate the relationship between balance sheet size and leverage (i.e., pro-cyclicality) pro-cyclicality of systemic risk using three measures such as ΔCoVaR (Adrian Brunnermeier (2016)), MES (Acharya et al. (2017)), SRISK (Brownlees Engle (2016)). We conduct an extensive panel data analysis a sample 264 Chinese listed financial institutions (43 commercial banks, 74 finance services 147 real estate services) over 2005:4–2019:4. also study impact different phases turmoil by considering subperiods, “Global Financial Crisis” (2007:1–2009:4), “Monetary Policy Restriction” (2010:1–2014:4), “2015 Stock Crash” (2015:1–2019:4). find that mainly affects CBs, in particular during global crisis monetary policy restriction. larger increase risk, which from 2016 started increasing shadow banking activities, with their activity closer to banking.
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2021
ISSN: ['1873-8079', '1057-5219']
DOI: https://doi.org/10.1016/j.irfa.2021.101895