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

(2021). Leverage and systemic risk pro-cyclicality in the Chinese financial system [journal article - articolo]. In INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. Retrieved from http://hdl.handle.net/10446/192898

Leverage and systemic risk pro-cyclicality in the Chinese financial system

Cincinelli, Peter;Urga, Giovanni
2021-01-01

Abstract

In this paper, we investigate the relationship between balance sheet size and leverage (i.e., leverage pro-cyclicality) and the pro-cyclicality of systemic risk using three systemic risk measures such as ΔCoVaR (Adrian and Brunnermeier (2016)), MES (Acharya et al. (2017)), SRISK (Brownlees and Engle (2016)). We conduct an extensive panel data analysis using a sample of 264 Chinese listed financial institutions (43 commercial banks, 74 finance services and 147 real estate finance services) over 2005:4–2019:4. We also study the impact of different phases of the financial turmoil by considering three subperiods, the “Global Financial Crisis” (2007:1–2009:4), the “Monetary Policy Restriction” (2010:1–2014:4), and the “2015 Chinese Stock Crash” (2015:1–2019:4). We find that leverage pro-cyclicality mainly affects CBs, in particular during the global financial crisis and the monetary policy restriction. We also find that larger financial institutions increase systemic risk, in particular commercial banks, which from 2016 started increasing shadow banking activities, and the real estate financial services with their activity closer to commercial banking.
articolo
2021
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni
(2021). Leverage and systemic risk pro-cyclicality in the Chinese financial system [journal article - articolo]. In INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. Retrieved from http://hdl.handle.net/10446/192898
File allegato/i alla scheda:
File Dimensione del file Formato  
CincinelliPelliniUrga (2021 International Review of Financial Analysis).pdf

Solo gestori di archivio

Versione: publisher's version - versione editoriale
Licenza: Licenza default Aisberg
Dimensione del file 3.54 MB
Formato Adobe PDF
3.54 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/192898
Citazioni
  • Scopus 16
  • ???jsp.display-item.citation.isi??? 16
social impact