文献类型：会议论文

英文题名：Leverage Pro-cyclicality and Driving Factors: Empirical analysis on Chinese deposit-taking financial institutions

作者：Niu Weilu[1];Zheng Qinghuan[2]

机构：[1]East China Univ Sci & Technol, Shanghai 201424, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

会议论文集：4th China International Conference on Insurance and Risk Management (CICIRM)

会议日期：JUL 17-20, 2013

会议地点：Yunnan Univ Finance & Econ, Kunming, PEOPLES R CHINA

主办单位：Yunnan Univ Finance & Econ

语种：英文

外文关键词：leverage; pro-cyclicality; economic cycle

摘要：Basel III considered the leverage as the complementary of risk-weighted capital adequacy ratio in order to prevent the pro-cyclicality of systemic financial risk. China has formally implemented leverage regulatory standards in 2012. The paper picks data of 1999-2011 to empirically analyze the pro-cyclicality and driving factors of deposit-taking financial institutions in China. Conclusions are as follows: (1) There is significant pro-cyclicality in Chinese deposit-taking financial institutions. (2) Financial institutions actively adjust the leverage according to macroeconomic environment and the developing strategies in order to achieve maximum benefits under certain risk level. In upswing cycle, major factors to determine leverage are Inter-bank rate and Treasury repo rate. In downswing cycle, financial institutions deleverage by improving the ratio of securities to assets. (3) The adjustment of leverage impact on asset price through credit markets and capital markets, forming positive feedback effect and thus amplifying pro-cyclicality effect.