金工论坛第六讲

金工论坛第六讲

报告题目（Title）: Bank Geographic Diversification and Systemic Risk

时间：2018年12月12日周三，12:20-13:20

地点：对外经济贸易大学博学楼925

主讲人（Speaker）：夏聪

个人介绍Biography：

夏聪，中央财经大学讲师。在美国南伊利诺伊大学取得金融博士学位。在杜兰大学及伊利诺伊理工大学取得硕士学位。本科毕业于东北大学。主要研究领域为实证方面的银行和公司金融。本次所讲论文为博士阶段的毕业论文，在国际期刊Review of Financial Studies上进行第二轮R&R.

摘要（Abstract）：

Exploiting the staggered interstate banking deregulation as exogenous shocks to bank geographic expansion, we examine the causal effect of geographic diversification on systemic risk using the gravity-deregulation approach developed in Goetz, Laeven, and Levine (2013, 2016). We find that bank geographic diversification leads to higher systemic risk measured by the change in conditional value at risk (ΔCoVaR) and financial integration (Logistic(R²)). Furthermore, we document asset similarity and bank inter-connectedness as two channels to explain the documented results. The impact of geographic diversification on systemic risk is more pronounced in BHCs located in states comoving less with the U.S. aggregate economy.