报告题目：Shadow Money, Banking Competition, and Stability: Evidence from China

报 告 人：肖亚军博士

时    间：3月19日（周五）下午2:30

地    点：创新港涵英楼8楼8121报告厅

报告人简介：

Dr Yajun Xiaoobtained his Ph.D in Finance from the Geothe University Frankfurt and Diplom (master equiv.) in Mathematics from University of Kaiserslautern. He completed his undergraduate study in Tongji University, China. Prior to joining UCD, Yajun was a lecturer in Finance at the University of Technology, Sydney and a postdoc at the University of Freiburg. Yajun research interests are in capital structure and maturity mismatch arising from corporate financing, systmic risk in banking system, asset pricing with market frictions. His research also focuses on other topics in quantitative finance. He has published papers in Review of Asset Pricing Studies, Journal of Economic Dynamics and Control, Review of Finance, etc.

摘要：

We study how competition for shadowmoney impacts banking stability. Banks compete for insured depositors and uninsured shadow money investors, and default endogenously. We calibrate our model to the Chinese banking sector, and we find that shadow money investors are run-prone, but depositors are not. Our model identifies multiple equilibria, which may lead to severe financial distress with large welfare losses. Negative shocks to the assets underlying shadow money amplify the financial fragility of the banking system. Furthermore, rollover costs can cause runs on shadow money, leading to substantial welfare losses.

经济与金融学院

2021年3月16日