Our paper examines the impact of online judicial auctions (OJAs) on bank risk-taking by developing a theoretical model and providing empirical evidence from data on China’s commercial banks over the period 2010-2021. Using unique regional OJA data, we find that the implementation of OJAs contributes positively to banks’ stability, with results remaining valid across endogeneity tests and robustness checks. This stabilizing effect is particularly pronounced for local banks and intensifies as auctions progress. Banks burdened by non-performing loans and those with weaker risk mitigation capacity derive greater benefits from OJAs. Our analysis further reveals complementary effects between OJAs and non-performing asset marketization. We document the mechanisms contributing to the positive effect of OJAs, including improving judicial efficiency and strengthening banks’ ability to manage profitability and maintain adequacy.

PurposeThe impact of digital transformation on banks' systemic risk merits thorough investigation.Design/methodology/approachThis study examines the influence of digital transformation on banks' systemic risk based on the fixed effect model with quarterly unbalanced panel data on 36 listed commercial banks in China from 2011 to 2020.FindingsResults show that digital transformation has a negative impact on banks' systemic risk by reducing both bank-specific tail risk and systemic linkage to extreme market shocks. Heterogeneity analysis suggests that digital transformation can significantly reduce systemic risk in national commercial banks relative to regional commercial banks, mediated through lowered management costs. Finally, this study finds an asymmetric relationship between digital transformation and banks' systemic risk. Particularly, a desirable level of digital transformation can reduce systemic risk, while excessive digital transformation may exacerbate it.Originality/valueThese findings provide valuable guidance for promoting digital transformation for banks and mitigating systemic risk from digitalization.

This paper investigates the impact of interest rate liberalization (IRL) on the procyclicality of the bank liquidity buffer based on data of 377 commercial banks in China from 2007 to 2019. The results show that the liquidity buffer is procyclical. The advancement of IRL diminishes the bank liquidity buffer and exacerbates its procyclicality. The expansion of the fluctuation level of interest rate, one dimension of IRL, is the dominant driving factor. Furthermore, this paper finds that the effect of IRL on the procyclicality of the liquidity buffer is amplified in non-primary, joint-stock, city and less-profitable banks. Additionally, the IRL has a higher negative impact on the liquidity buffer of banks that engage in greater risk-taking.

This paper examines the influence of shadow banking on systemic risk using quarterly data on 34 Chinese listed banks from 2009 to 2022. We find that banks involved in shadow banking increase bank-specific tail risk and systemic linkage, thereby amplifying systemic risk. Heterogeneity test results show that national banks involved in shadow banking significantly increase bank-specific tail risk, systemic linkage and systemic risk, while regional banks decrease bank-specific tail risk and systemic risk. Policy effect analysis suggests that implementation of macroprudential policies reduce bank-specific tail risk and systemic risk caused by shadow banking, while macroprudential policies targeting borrowers would enhance systemic linkage. Despite contractionary monetary policies strengthening systemic linkage, tight quantity-based monetary policies could mitigate the impact of shadow banking on systemic risk, whereas tight price-based monetary policies have the opposite effect. Furthermore, market competition and the New Asset Management Regulations (NAMR) might influence the relationship between shadow banking and systemic risk.

The disparity in credit access between large firms and small and medium-sized enterprises contributes to the prevalence of shadow banking activities,where large,nonfinancial firms with high credit ratings have become newfinancial intermediaries.These activities vary geographically and are affected significantly by collateral monetary policy.This paper examines the effect of collateral monetary policy,its reform,and regional financial development characteristics on large firms' shadow banking activities,with a focus on the medium-term lending facility(MLF),the primary collateral monetary policy instrument in China.The results indicate that the MLF encouraged large firms'shadow banking activity.However the MLF reform in 2018 mitigated this effect by broadening the range of acceptable collateral.Regional financial development,such as a higher number of bank branches around firms,facilitated large firms' shadow banking activities and amplified the MLF's stimulating effect.In contrast,regional advancements in digital finance and market development limited both shadow banking activities and MLF's impact.

PurposeThe purpose of this paper is to investigate the role of institutional investors in the cost of equity for Chinese firms, especially state-owned enterprises (SOEs).Design/methodology/approachBy using data from Chinese firms with a unique state ownership structure, we provide empirical evidence on whether institutional investors can help reduce the cost of equity for SOEs and non-SOEs, respectively, and if so, identify the underlying channels.FindingsWe find that an increase in the shareholdings of institutions, especially independent institutions, can lead to a reduction in the cost of equity. This effect is particularly prominent in SOEs compared to non-SOEs. Moreover, institutional investors promote corporate social responsibility activities and innovation activities of invested firms, thereby reducing the cost of equity.Originality/valueThis paper contributes to a comprehensive understanding of the effects of institutional shareholdings with heterogeneity on the cost of equity and their influential mechanisms in the process of mixed ownership reform.

The disparity in credit access between large firms and small and medium-sized enterprises contributes to the prevalence of shadow banking activities, where large, nonfinancial firms with high credit ratings have become new financial intermediaries. These activities vary geographically and are affected significantly by collateral monetary policy. This paper examines the effect of collateral monetary policy, its reform, and regional financial development characteristics on large firms' shadow banking activities, with a focus on the medium-term lending facility (MLF), the primary collateral monetary policy instrument in China. The results indicate that the MLF encouraged large firms' shadow banking activity. However, the MLF reform in 2018 mitigated this effect by broadening the range of acceptable collateral. Regional financial development, such as a higher number of bank branches around firms, facilitated large firms' shadow banking activities and amplified the MLF's stimulating effect. In contrast, regional advancements in digital finance and market development limited both shadow banking activities and MLF's impact.

This paper investigates the liquidity transmission of traditional and structural monetary policy instruments in the interbank market and their effects on bank credit growth based on 107 banks from 2005Q4 to 2020Q4 in China. We find that the credit channel of monetary policy differs across banks with heterogeneous liquidity acquisitions. The liquidity released by open market operations (OMOs) cannot stimulate credit growth, but increases the net interbank assets of primary banks and reduces those of non-primary banks. The reduction of the required reserve ratio (RRR) increases the net interbank assets of non-primary banks and stimulates non-primary banks’ credit growth. Furthermore, a higher interbank financing ratio reduces the credit channel of RRR reduction in non-primary banks. In addition, medium- and small-sized banks would increase credit growth and reduce reliance on interbank financing, as the structural monetary policy instrument of medium-term lending facilities (MLFs) plays a growing role post-reform.

The great impact of monetary policy on bank risk-taking, facilitated by a liquidity mechanism, significantly complicates the macro-prudential supervision process. Surprisingly, limited scholarly research has delved into this particular issue. Hence, in this paper, the liquidity variable is introduced into the dynamic linear model to depict the liquidity mechanism by which monetary policy affects bank risk-taking. Based on micro-data from 133 commercial banks in China, this paper empirically tests using systematic Gaussian mixture models estimation and a panel smooth transition regression model. The findings reveal that while monetary policy does not exhibit a significant risk-shifting effect. A marked liquidity transmission effect, however, is observed, whereby easy monetary policy noticeably exacerbates bank risk-taking. This impact becomes more pronounced as liquidity levels improve. The most significant negative impact of monetary policy on bank risk-taking occurs when bank liquidity reaches approximately 43%. Moreover, when banks maintain high levels of liquidity, the statutory deposit reserve ratio exerts a greater regulatory effect than other monetary policy tools. Contractionary monetary policy imposes noticeably weaker restraints than expansionary monetary policy, particularly in banks with higher liquidity levels. Moreover, the interplay between monetary policy and bank risk-taking is contingent upon not just the liquidity level of banks, but also their asset size and capital adequacy.

人工智能、区块链等数字化技术的发展与应用为银行业带来机遇的同时,也给银行风险管理带来巨大挑战.本文构建了包含银行数字化转型的理论模型,推导出银行数字化转型与其风险承担之间的相关假说;使用文本挖掘方法建立2011-2020年中国商业银行数字化转型指数的季度面板数据进行实证检验,结果表明:数字化转型能够显著降低银行管理成本并提高其运营效率,进而抑制其风险承担水平.进一步研究发现:数字化转型对银行风险承担的影响呈现结构异质性特征,数字化转型对小规模银行的风险承担水平抑制效果更加明显;区块链技术转型对银行风险承担的影响较大,其次是人工智能、大数据和云计算技术;行业集中度的升高会削弱数字化转型对银行风险承担的抑制作用.本文的研究为银行数字化转型进程可视化以及更好地驱动银行数字化转型提供参考.

ESG投资存在声誉溢出效应,商业银行有动机为此进行更冒险的行为.使用2009-2021年中国37家上市商业银行季度面板数据,实证检验ESG投资对商业银行风险承担的影响.研究结果发现,ESG投资通过声誉溢出效应提高了商业银行的风险承担,且该影响对股份制银行作用更强;相比环境保护及社会责任,公司治理对商业银行风险承担的边际正影响效应最为明显.机制分析表明,ESG投资行为会压缩商业银行盈利质量、限制银行流动性,从而提高银行风险承担.该结论在经过一系列稳健性与内生性检验后依然成立.基于此,建议完善ESG投资信息披露体系与评级体系,推动银行业ESG投资良性发展,促进中国"双碳"目标实现.

汇率的剧烈波动会对整个银行体系产生剧烈冲击,甚至会诱发货币危机和金融危机.保持汇率稳定对于构筑稳健的双支柱宏观审慎调控框架,抵御外部冲击,有效防范系统性金融风险,都至关重要.为此,央行于2017年5月正式引入逆周期因子,对人民币汇率中间价格进行调节,以确保人民币汇率基本稳定.其调节效果和影响效应一直备受金融当局和学界的关注.基于此,文章将逆周期因子引入银行风险理论分析框架,构建了包含逆周期因子的开放条件下四部门银行风险模型,分析了逆周期因子通过稳定汇率波动进而降低银行业系统性风险的内在影响机理,并在此基础上运用TVP-VAR模型和两次逆周期调节期间相关变量周度数据进行了实证检验.研究结果发现,逆周期因子在短期内可以显著降低汇率波动幅度,保持汇率稳定,进而降低银行业系统性风险.然而,随着时间的延伸,这种影响效果逐渐减弱,因而中长期效果不如短期明显.

基于手工收集和文本挖掘方法建立的2011—2020年中国商业银行数字化转型指数的季度面板数据,考察了数字化转型对宏观审慎监管政策工具有效性的影响,并在此基础上提出银行数字化背景下我国宏观审慎监管政策的优化策略.研究结果表明:首先,商业银行推进数字化转型能显著提高其资本充足水平和流动性水平.其次,我国商业银行资本缓冲水平具有较强的逆周期性,而流动性水平则呈现较强的顺周期性特征,但两者均受到银行数字化水平的影响.最后,我国商业银行逆周期资本监管和流动性监管是有效的,但数字化转型会弱化银行资本缓冲水平和流动性水平的监管效果.研究将为我国商业银行数字化转型的顺利推进及深化、建立健全数字化转型背景下的宏观审慎监管框架提供有益借鉴.

媒体报道是一种外部治理机制,潜移默化地影响着商业银行的内部治理和外部监管.本文将媒体报道和金融监管纳入银行风险承担的研究框架中,分析媒体报道对银行风险承担的影响机制,并利用 2010-2020 年我国 36 家上市银行的数据进行实证检验.结果表明:第一,随着媒体对银行报道的增加,银行风险承担水平下降,监管压力在其中起到了调节作用;第二,中小商业银行风险承担对媒体报道的敏感性更强;第三,不同的媒体导向和媒体报道情绪对银行风险承担的影响存在明显差异,政策导向型媒体报道、负面报道对银行风险承担的抑制作用更明显.上述研究结论的政策启示:要完善银行监管与媒体监督的联动机制,加强银行负面舆情监测,为风险早发现、早介入、早处置提供支持;要发挥好媒体报道对加强银行内部治理及风险管控的积极作用,推动商业银行特别是中小银行主动接受媒体监督;要妥善处理媒体监督与再监督的关系,引导各类媒体对银行业热点事件进行客观、公正的报道,提高媒体报道的信息质量.

我国企业面临着既要降低债务以实现"去杠杆"的风险释放目的,又要合理利用杠杆以完成"企业升级"目标的两难选择.在此背景下,本文试图探明杠杆率对企业升级的影响和作用渠道,并进一步剖析"去杠杆"压力.在此基础上,选取2010—2019年我国A股制造业上市公司的数据进行实证检验.结果表明,杠杆率通过企业创新能力、运营效率和风险承担渠道对企业升级形成"倒U形"的影响,即存在适度则促进的"垫脚石作用"和过度则抑制的"绊脚石效应",且这种关系并不存在明显的企业和杠杆结构异质性的差异.与此同时,"去杠杆"压力结果表明,目前我国大多数制造业上市公司还具有加杠杆空间,进而赋能企业升级.然而,也有小部分企业杠杆率高企,去杠杆压力凸显.其中,国有企业的"去杠杆"压力明显大于民营企业,企业的长期债务和商业信用借款的"去杠杆"压力明显小于短期债务和银行借贷.因此,应积极落实国家"去杠杆"政策,并根据企业特征和杠杆结构的类型实施差异化监管策略,从而更好地发挥杠杆对企业升级的驱动作用.

本文运用面板平滑转换回归模型分析资本约束和流动性监管约束双重约束框架的协调效果.研究发现:流动性监管工具降低银行风险承担的效果随着资本监管要求的提高而加强,而由于当前中国大多数商业银行的流动性水平处于较高位置,导致资本监管降低银行风险承担的效果随着流动性水平的提高而被弱化;在经济下行压力加大和金融风险凸显的背景下,国有大型商业银行运用资本监管和流动性监管工具防范风险的效果明显强于城市商业银行和农村商业银行.

本文构建理论模型分析流动性监管影响银行风险承担的传导机制,发现流动性监管对银行风险承担的影响取决于资产端和负债端中介效应的净影响.在此基础上,本文以2007-2019年中国51家商业银行为样本,运用断点回归模型检验流动性监管对银行风险承担的影响.结果发现,提高流动性监管要求,短期内会显著降低银行单位资产盈利能力,进而加剧银行风险承担行为,但长期会提高银行单位资产盈利能力,进而降低银行风险承担水平.进一步的中介效应分析发现,流动性监管要求与银行单位资产盈利能力呈U型关系,即提高流动性监管要求在长期会提高资产回报率,进而降低银行风险承担水平,但流动性监管对银行负债融资成本的影响不显著,说明流动性监管主要通过资产端影响商业银行的风险承担水平.

This study examines the contagion of the US subprime crisis across the world by focusing on four transmission mechanisms: macroeconomic fundamentals, political similarities, international trade and financial linkages. Using spatial analysis and a sample of 36 countries from 2002 to 2018, we find that all four contagion channels contribute to the rapid spread of financial crises around the world, with international trade and financial linkages playing the most prominent roles. Countries with higher inflation and domestic credit or lower exchange rates and current accounts tend to suffer more from financial crises.

本文基于金融创新的视角从宏观经济金融环境、微观金融机构内部稳定性和国际金融环境三个方面构建涵盖金融科技等创新因素的系统性金融风险预警指标体系,采用PCA方法和动态logit模型等进行筛选、检验、信号还原和对比.结果显示:与不含有金融创新因素的预警指标体系相比,将金融创新因素纳入系统性金融风险预警指标中可以完全体现金融市场的现实状况,即重构后的指标是有效的,还原得到的预警信号拐点出现得更早且更高,说明更具前瞻性和警示性.