主 题：Does China's Debt-for-Bond Swap Reduce Banks' Risk?

主讲人：宋琛

摘 要：China's local government debt (LGD) has grown rapidly since aggressive fiscal stimuli were introduced 2009 in the wake of global financial crisis. Commercial banks have been the main creditors of the LGD. As Chinese economy slows down, the repayment ability and associated risk incurred to the banking sector have become a growing concern. The State Council thus introduced the debt-for-bond swap program on March 12th 2015. Using an augmented CAPM with the panel data of 14 Chinese domestic commercial banks listed on the Shanghai Stock Exchange, we examine the market-perceived effect of the swap program on the systematic risk of banks. We find that there is a significant decrease in the share price beta of the banks, suggesting that the market has recognized a risk-reducing effect of the debt swap. We further decompose this beta effect into a volatility component and a market correlation component. The results show that the decrease in beta is largely due to a decrease in the variance of banks relative to the market. The market correlation effect is relatively small. Therefore, the debt-for-bond swap plays lesser role in reducing systemic risk than reducing banks' individual risk.

关于主讲人：宋琛博士是对外经济贸易大学金融学院金融系讲师。她曾在该院获得金融学学士和硕士学位，并于2015在美国乔治华盛顿大学获得经济学博士学位。她的研究领域为公共财政、区域经济学和环境经济学。她曾在世界银行绿色增长研究项目中担任顾问，在国际货币基金组织研究部做访问学者。她也曾受邀到美国经济分析局与交通部做论文报告。

时 间：2016年12月1日星期四15:30-17:00

地 点：学术会堂南楼608室

主办单位：人力资本与劳动经济研究中心

[编辑]：张萌