 Managed exchange rates, dual listing and foreign exchange exposure: the experience of Chinese banks around the financial crisisMin Ye and Elaine Hutson Journal of the Asia Pacific Economy, 2011, vol. 16, issue 3, 393-421 Abstract: Using daily equity price data, we find that most of the 14 Chinese listed banks are highly exposed to the RMB/USD exchange rate. By breaking our data period into two subperiods around the financial crisis, we find that Chinese banks were even more exposed in the post-crisis period, despite the fact that the renminbi reverted to a de facto peg against the dollar in September 2008. This cannot be explained by direct foreign exchange exposure, and we argue that China's banks are subject to substantial indirect exposure as a result of concerns about their loan books in the face of anticipated further appreciation of the RMB. We also find that the exchange rate sensitivities of the twin shares of dual-listed Chinese banks (those listed in China and Hong Kong) are very different – not only in magnitude but also in sign. We discuss two possible explanations for this: investor sentiment and ‘hot money’ inflows into China. Date: 2011 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:rjapxx:v:16:y:2011:i:3:p:393-421 Ordering information: This journal article can be ordered from DOI: 10.1080/13547860.2011.589629 Access Statistics for this article Journal of the Asia Pacific Economy is currently edited by Leong Liew More articles in Journal of the Asia Pacific Economy from Taylor & Francis Journals |
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