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【2017-6-28 学术论坛】 Bank Geographic Diversification and Systemic Risk: A Gravity-Deregulation Approach

作者: | 发布日期:2017-06-19| 浏览次数:

讲座人:Saiying Deng

 

讲座主题:Bank Geographic Diversification and Systemic Risk: A Gravity-Deregulation Approach

 

摘要:We examine the causal relationship between bank geographic diversification and systemic risk, using a gravity-deregulation model to construct an exogenous instrument of geographic diversification. We find that bank geographic diversification leads to higher systemic risk proxied by systemic expected shortfall, expected capital shortfall, and conditional value at risk. The results still hold with several robustness checks. We also document that state-U.S. economy comovement serves as a channel for the documented main result. Furthermore, the impact of geographic diversification on systemic risk is more pronounced in BHCs that are larger, have lower capital and liquidity, more non-traditional activities and growth opportunity.

 

讲座时间:2017年6月28日,周三,10:00开始

 

讲座地点:学院南路学术会堂702

 

讲座人简介:Saiying Deng(邓赛英)副教授现任职于Southern Illinois University,2005年于Temple University取得博士学位。相关研究成果发表于Contemporary Accounting Research, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Money, Credit and Banking, The Canadian Journal of Administrative Sciences等国际知名的金融学和财务学期刊。