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

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

Abstract

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.

Suggested Citation

  • Kang, Qiaoling & Chen, Minghua & Wu, Ji & Jeon, Bang Nam, 2024. "Reining in the riskiest? Evidence of non-linear impacts of macroprudential regulations on bank systemic risk in China," Journal of Asian Economics, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:asieco:v:94:y:2024:i:c:s1049007824000605
    DOI: 10.1016/j.asieco.2024.101765
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    More about this item

    Keywords

    Macroprudential regulations; Bank systemic risk; China; Unconditional quantile regression;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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