The Measurement of the Long-Term and Short-Term Risks of Chinese Listed Banks

Wenjuan Song and Lixin Sun

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we employ Semi-APARCH model to measure and analyze the long-term and the short-term risk of Chinese 16 listed commercial banks between January 2007 and December 2013, and provide an early warning method for financial regulation by developing a scale function. We find that, first, during the financial crisis of 2008-2009, the long-term risk levels of Chinese banking industry as a whole and the individual commercial banks are very higher, they gradually declined to the normal level only after 2010. Secondly, the current risk of Chinese banks and banking industry is at lower level. Thirdly, the surging of overnight rate in 2013 increased the risk level of commercial banks, which could increase more, of which the regulator should be more cautious. Fourthly, the leverage-effects in the short-term risk of Chinese commercial banks are lower; t-distribution shows a fat-tail. Fifthly, the scale functions of commercial banks are highly correlated, the correlation coefficients are close to 1, which indicates a significantly systematically correlations between the long-term risk of Chinese commercial banks.

Keywords: Commercial Banks; Long-term Risk; Short-term Risk; Semi-APPARCH Model; Chinese Financial Market (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2014-03, Revised 2014-07
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
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Published in Finance Forum I (10).2014(2014): pp. 37-46

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