讲座：Benefits and Risks of Shadow Money: Evidence from Chinese WMP Market
题 目：Benefits and Risks of Shadow Money: Evidence from Chinese WMP Market
演讲人：Yajun Xiao, Assistant Professor, Michael Smurfit Graduate Business School, University College Dublin
主持人： 刁训娣 博士 上海交通大学安泰经济与管理学院金融系
时 间：2018年12月10日 10:00-12:00
地 点：上海交通大学 徐汇校区安泰楼B1516
In this paper, we study banking competition in the presence of shadow money. Investors choose between insured deposits and uninsured off-balance sheet shadow money while banks compete for investors in setting the corresponding interest rates and default endogenously. Our approach allows to quantitatively examine the benefits and risks inherent in shadow money across time and states. We calibrate our model to the Chinese banking sector data using wealth management products (WMPs) as proxy for shadow money. Banks value implicit government guarantee that earn premium, which incentives banks to create more shadow money. As a result of supply of credit it boosts economy but it builds up financial fragility that potentially harms economy. Some of the bad equilibria leads to severe financial distress and causes large welfare loss. Further, we show that banks are more fragile if adjusting rates on shadow money is costly and that imposing capital requirements on shadow money is not a viable policy to enhance stability.
Dr Yajun Xiao obtained his Ph.D in Finance from the Geothe University Frankfurt and Diplom (master equiv.) in Mathematics from University of Kaiserslautern. He completed his undergraduate study in Tongji University, China. Prior to joining UCD, Yajun was a lecturer in Finance at the University of Technology, Sydney and a postdoc at the University of Freiburg. Yajun research interests are in capital structure and maturity mismatch arising from corporate financing, systmic risk in banking system, asset pricing with market frictions. His research also focuses on other topics in quantitative finance. He has published papers in Review of Finance, European Financial Management, Advances in Applied Probability and Quantitative Finance, etc.