Abstract:
Based on panel data from China mainland financial index over the year of 2003 to 2017, this paper analyzes the commercial bank pro-cyclical leverage and its formation mechanism using GMM and the fixed effects models.The empirical results show that the leverage of commercial banks in China is significantly positive to economic fluctuation,but the leverage of state-owned commercial banks is stable, while joint-stock commercial banks and city commercial banks have more pro-cyclical leverage.Under easing monetary policy, the poor developed bank with high liquidity has incentive to add leverage.The higher the leverage, the more pro-cyclical it is.The numerator effect is more significant for the pro-cyclicality of leverage, but deposit is not pro-cyclical.Interbank financing increases the pro-cyclicality of leverage.Joint-stock commercial banks and city banks have pro-cyclical new interbank business (selling repurchase).The results indicate that it is the joint-stock commercial banks and city banks that should reduce the pro-cyclicality of leverage; the focus is to control the repurchase deals; structuralcontra-cyclical leverage supervision and structural monetary policy should be applied.
王倩, 赵铮. 同业融资视角下的商业银行杠杆顺周期性[J]. 金融研究, 2018, 460(10): 89-105.
WANG Qian, ZHAO Zheng. Pro-cyclical Leverage of Commercial Banks from the Perspective of Interbank Funding. Journal of Financial Research, 2018, 460(10): 89-105.
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