资本账户开放程度、国际资本流动“突然停止”与系统性银行危机  

Capital Account Liberalization,“Sudden Stops”of International Capital Flow and Systemic Banking Crises

作　　者：陈奉先[1] 薛伟 赵颖岚[3] CHEN Fengxian;XUE Wei;ZHAO Yinglan

机构地区：[1]首都经济贸易大学金融学院 [2]西安交通大学金禾经济研究中心 [3]四川大学经济学院

出　　处：《金融监管研究》2020年第11期62-82,共21页Financial Regulation Research

基　　金：国家社会科学基金项目“金砖国家应急储备安排的风险分担、收益分配与治理优化问题研究”(项目编号:15CJY081);“北京市属高校高水平教师队伍建设支持计划青年拔尖人才培育计划项目”(项目编号:CIT&TCD201704100)的资助。

摘　　要：本文基于83个经济体1985—2017年的面板数据,采用面板logit模型,研究了资本账户开放、资本流动“突然停止”对系统性银行危机的影响,并通过构建中介效应模型进一步考察其传导机制。研究表明:(1)资本账户开放会显著增加系统性银行危机的发生概率,且主要是通过资本流动“突然停止”中介渠道实现的,其中介程度高达83%;(2)发达经济体国际资本流动“突然停止”的中介水平高于新兴市场经济体,但程度上为部分中介,而新兴市场经济体则为完全中介;(3)在浮动汇率制度以外的其他汇率制度下,资本账户开放不会增加系统性银行危机的发生概率,且国际资本流动“突然停止”不再发挥中介作用;(4)资本账户开放更容易通过流入驱动型“突然停止”引致系统性银行危机,且对新兴市场经济体尤为明显。基于上述发现,在资本账户开放进程中,警惕流入驱动型“突然停止”、稳定国际资本流动、实行稳步可控的汇率市场化改革对防范系统性银行危机尤为重要。Based on the unbalanced panel data of 83 economies from 1985 to 2017,this paper uses the Panel Logit Model to examine the impacts of capital account openness and"sudden stops"of capital flow on systemic banking crises,and further studies its transmission mechanisms by constructing a mediating effect model.The results show that,first,capital account openness will increase the probability of systemic banking crisis,and will indirectly increase the systemic banking crisis through the mediating variable——"sudden stops"of capital flow.Second,the mediating effect of"sudden stops"is higher in developed economies than that of emerging market economies,but it is partly a mediating effect.For emerging market economies,the effect of capital account openness on systemic banking crises is completely through"sudden stops".Third,capital account openness will not increase the probability of systemic banking crisis under other exchange rate regimes except for the floating exchange rate regime where also no mediating transmission mechanism of"sudden stops"works.Finally,it is found that capital account opening is more likely to have an impact on systemic banking crises through inflowdriven"sudden stops"and is particularly evident in emerging market economies.Based on the above empirical results,in the perspective of systemic banking crises prevention,this paper suggests to guard against inflow-driven"sudden stops",stabilize international capital flows,and implement steady and controllable exchange rate reforms.

关 键 词：资本账户开放 资本流动“突然停止” 银行危机 中介效应 

分 类 号：F832[经济管理—金融学]