金融学院青年学者论坛第七期 Effects of the Interest Rate and Reserve Requirement Ratio on Bank Risk in China: A Panel Smooth Transition Regression Approach

报告题目：Effects of the Interest Rate and Reserve Requirement Ratio on Bank Risk in China : A Panel Smooth Transition Regression Approach

报告人：耿中元 副教授

报告时间：2015年9月22日（周二）下午1:30-3:30

报告地点：金融学院（3号楼）422会议室

主办单位：金融学院

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Effects of the Interest Rate and Reserve Requirement Ratio on Bank Risk in China : A Panel Smooth Transition Regression Approach

Abstract: This paper employs the Panel Smooth Transition Regression (PSTR) approach to model the effects of the interest rate and reserve requirement ratio on bank risk, using Chinese listed bank data. We set the purchasing manager’s index as the transition variable and real estate price index as the control variables. Our results reveal the non-linearity in the interest rate, reserve requirement ratio and bank-risk nexus. The effects of the interest rate and reserve requirement ratio on bank risk transit smoothly and gradually between high and low regime with the change in the threshold value of the purchasing manager’s index. Both the interest rate and reserve requirement ratio have a positive effect on bank risk for the low regime and a negative effect for the high regime. The interest rate has a statistically significant effect while the reserve requirement ratio has a statistically insignificant effect on bank risk in both the high and low regimes.