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Jiang, B., Philp, B. and Wu, Z. 
ORCID: 0000-0002-1707-0238,
2018.
Macro stress testing in the banking system of China.
Journal of Banking Regulation, 19 (4), pp. 287-298.
ISSN 1745-6452
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Abstract
In this paper we develop a framework for macro stress testing of China's banking system. Our estimates of the correlations between banks' stability indicators and macroeconomic factors establish significant relationships between the non-performing loan ratio and key macroeconomic variables, such as GDP growth, the retail price index (RPI), the unemployment rate, total fixed investment, the money supply, interest rates, and exchange rates. Further, results from the macro stress tests show that robustness, or otherwise, of the banking system is highly dependent on the source of the potential risk. Our value-at-risk tests suggest that (at a 99% confidence level) the Chinese banking system is robust with respect to interest rate shocks. However, GDP growth and exchange rate shocks exhibit a profound negative effect, indicating that significant losses become likely. These results should inform investors, policy-makers and regulators with regard to loss-limitation in China’s banking system.
| Item Type: | Journal article | ||||||
|---|---|---|---|---|---|---|---|
| Publication Title: | Journal of Banking Regulation | ||||||
| Creators: | Jiang, B., Philp, B. and Wu, Z. | ||||||
| Publisher: | Springer | ||||||
| Date: | November 2018 | ||||||
| Volume: | 19 | ||||||
| Number: | 4 | ||||||
| ISSN: | 1745-6452 | ||||||
| Identifiers: |
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| Divisions: | Schools > Nottingham Business School | ||||||
| Record created by: | Linda Sullivan | ||||||
| Date Added: | 30 Oct 2017 12:41 | ||||||
| Last Modified: | 09 Dec 2020 16:08 | ||||||
| URI: | https://irep.ntu.ac.uk/id/eprint/31916 |
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