COVID-19 outbreak, government capital injections, and shadow banking efficiency

被引：12
|
作者：
Li, Xuelian [1 ]
Xie, Yuxin [1 ]
Lin, Jyh-Horng [2 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Econ, Chengdu, Peoples R China
[2] Tamkang Univ, Dept Int Business, New Taipei, Taiwan
来源：
APPLIED ECONOMICS | 2021年 / 53卷 / 04期
基金：
中国国家自然科学基金;
关键词：
COVID-19; shadow banking; government capital injection; efficiency; DEPOSIT INSURANCE; RISK; FIRM;
D O I：
10.1080/00036846.2020.1808183
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the effects of the novel coronavirus (COVID-19) outbreak and government capital injections on the bank's optimal interest margin and the efficiency gain/loss from the shadow banking operations. The down-and-out call option approach is adapted to model the structural break in volatility to capture the COVID-19 outbreak. Results show that the COVID-19 outbreak reduces the optimal bank interest margin, government capital injections enhance the margin, and both the outbreak and capital injections harm the efficiency gain from shadow banking. COVID-19, as such, makes the bank more prone to risk-taking, thereby adversely affecting banking stability.
引用
收藏
页码：495 / 505
页数：11
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