Derivative activities and Chinese banks’ exposures to exchange rate and interest rate movements

Adcock, Chris; Hua, Xiuping; Mazouz, Khelifa; Yin, Shuxing

doi:10.1080/1351847x.2014.899260

Cited by 7 publications

(4 citation statements)

References 62 publications

(80 reference statements)

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“…They suggest that this is not due to the hot money inflows into China and investment sentiment. Adcock et al (2017) showed similar evidence of exposure to these risks but only when non-linearities were accounted for. They also find that the risk exposure is reduced when banks have used derivatives.…”

Section: Literature Reviewmentioning

confidence: 88%

The Dynamics of Foreign Exchange Derivative Use in China

Sun

Morley

2021

JRFM

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The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature include the use of a panel dataset of 316 Chinese firms with the data running from 2012 to 2017 and a dynamic random effects probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms, with some evidence of non-linearity, as well as firms being more likely to use derivatives when there is more information asymmetry and agency problems, potentially due to greater controls on their use in China.

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Section: Literature Reviewmentioning

confidence: 88%

The Dynamics of Foreign Exchange Derivative Use in China

Sun

Morley

2021

JRFM

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“…In addition to using Granger causality to test the presence of reverse causality, our procedure is inspired by an increased use of orthogonalization as a means of eliminating unwanted effects from variables (e.g. Adcock et al 2017;Elton et al 1993;Ferguson and Shockley 2003;Hoepner, Majoch, and Zhou 2019;Hoepner, Rammal, and Rezec 2011;Lawrence et al 2019;Liesen et al 2017;Priestley and Ødegaard 2007) The unwanted effect that we seek to eliminate will be reverse causality. Technically, our procedure involves three steps:…”

Section: Methodsmentioning

confidence: 99%

Women on boards and corporate social irresponsibility: evidence from a Granger style reverse causality minimisation procedure

Godfrey

Hoepner

Lin

et al. 2020

The European Journal of Finance

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“…Where regulatory oversight is high, informed traders are less likely to exploit their private information. Adcock et al (2017), titled Derivative Activities and Chinese Banks' Exposures to Exchange Rate and Interest Rate Movements, address how the use of derivatives affects Chinese credit institutions' vulnerability to exchange rate and interest rate fluctuations. First, they allow these exposures to be dependent on time-varying firm-specific characteristics.…”

Section: Contributions In the Special Issuementioning

confidence: 99%