Managed exchange rates, dual listing and foreign exchange exposure
The experience of Chinese banks around the financial crisis
Bibliographic Data
| ID | 12549958 |
|---|---|
| Authors | Min Ye (0000-0002-9389-356X, University College Dublin, corresponding author), Elaine Hutson (University College Dublin) |
| Year | 2011 |
| Volume | 16 |
| Issue | 3 |
| Pages | 393-421 |
| Publication date | 2011-08-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of the Asia Pacific Economy (JOURNAL) |
| Journal identifiers | ISSN: 1354-7860 • E-ISSN: 1469-9648 |
| Publisher | Routledge (PUBLISHER • GB) |
| DOI | 10.1080/13547860.2011.589629 |
| OpenAlex | W3125957413 |
| Language | EN |
| Citations received | 1 |
| References cited | 66 |
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
Business · China · Economics · Equity (law · Exchange rate · Financial crisis · Financial system · Foreign exchange · Liberian dollar · Loan · Monetary economics · Renminbi · Banking stability, regulation, efficiency · Global Financial Crisis and Policies · Risk Management in Financial Firms · Finance
Exchange Rates and Financial Fragility
Information Theory and an Extension of the Maximum Likelihood Principle
The Distributed Lag Between Capital Appropriations and Expenditures
The Determination of the Order of an Autoregression
Estimating the Dimension of a Model
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Puzzles in the Chinese Stock Market
Bank share prices and stock market integration in Greater China
The relationship between stock returns and the foreign exchange rate
| Citations per year | 0.07 |
|---|---|
| Citation span | 2011 - 2011 (1) |
| Highly cited | No |