宏观审慎政策调节跨境资本流动风险的有效性——基于银行稳定性视角  

Effectiveness of Macroprudential Policies in Mitigating Cross-Border Capital Flow Risks——From the Perspective of Bank Stability

作　　者：何国华[1] 徐梦洁 He Guohua;Xu Mengjie(Economics and Management School,Wuhan University)

机构地区：[1]武汉大学经济与管理学院

出　　处：《国际金融研究》2022年第8期65-75,共11页Studies of International Finance

基　　金：国家社会科学基金一般项目“‘双支柱调控框架’下金融稳定政策设计研究”(18BJY249)、国家社会科学基金重大项目“货币政策分配效应与缩小收入和财富差距的有效路径研究”(20&ZD105)资助。

摘　　要：本文选取2010—2018年中国236家商业银行微观面板数据,实证研究了跨境资本流动对银行稳定性的影响及实施宏观审慎政策的有效性。结果表明,2008年全球金融危机以后,跨境资本净流动对银行的稳定性产生了负向影响。其中,以直接投资为主要形式的跨境资本流动对商业银行稳定性产生正向影响,以证券投资为主要形式的跨境资本流动影响并不显著,以其他投资为主要形式的跨境资本流动对商业银行稳定性产生负向影响。通过引入宏观审慎政策综合指标与各类跨境资本流动的交乘项分析发现,逆周期调节政策会削弱跨境间接投资对银行稳定性的负向影响,同时也会减弱跨境直接投资对银行稳定性的正向效应。在应对直接投资流入时,宽松型宏观审慎政策工具效果更好;在应对间接投资流入时,紧缩型宏观审慎政策工具效果更好。Using the micro panel data of 236 commercial banks in China from 2010 to 2018,this paper studies the impact of cross-border capital flows on bank stability and the effectiveness of the implementation of macro prudential policies.The results show that after the financial crisis,the overall net cross-border capital flow has a negative impact on the stability of the banking sector.Specifically,the impact of cross-border direct investment is positive,the impact of cross-border securities investment is not very obvious,and the impact of the cross-border capital flow dominated by other investments is negative.Through the test of the regulatory effect of macro Prudential policy,it is found that the counter cyclical regulation of China’s macro prudential policy tools will weaken the negative impact of cross-border indirect investment capital on bank stability,but it will also weaken the positive effect of cross-border direct investment on bank stability.When dealing with direct investment inflows,the effect of loose policy tools is better,and when dealing with indirect investment inflows,the effect of tight policy tools is better.

关 键 词：跨境资本流动 宏观审慎政策 银行稳定性 

分 类 号：F831[经济管理—金融学]