跨境资本流动如何影响银行风险承担?  

How do Cross-border Capital Flows Affect Bank Risk-taking?

作　　者：王金明[1] 王心培 Wang Jinming;Wang Xinpei

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学与管理学院

出　　处：《世界经济研究》2022年第10期72-86,M0003,共16页World Economy Studies

基　　金：教育部人文社会科学重点研究基地项目“‘十三五’期间中国增长型经济波动态势与宏观调控模式研究”(项目编号:16JJD790014);国家自然科学基金项目“中国金融周期的波动特征、形成机理及其与经济周期的动态关联机制研究”(项目编号:71873056)资助。

摘　　要：文章构建理论模型,分析在开放经济条件下跨境资本双向流动对银行风险承担行为的影响以及宏观审慎政策的调控作用,运用PSTR模型检验跨境资本流动对中国137家商业银行风险承担的非线性影响,基于SVAR模型和反事实分析检验跨境资本流动对银行业整体风险承担的动态效应,并检验了宏观审慎政策的作用效果。理论分析和实证检验均表明:(1)跨境资本流入会对银行风险承担产生促进作用,而跨境资本流出会抑制银行风险承担水平;(2)跨境资本双向流动对银行风险承担行为的影响具有显著的非线性转换特征,随着银行资本充足率的提高,跨境资本流入对银行风险承担的正向影响逐渐减弱,而跨境资本流出的负向效应逐渐加强;(3)宏观审慎政策收紧显著抑制了银行风险承担,逆周期的宏观审慎政策能够有效维护金融体系稳定。To begin with, this paper constructs a theoretical model to analyze the impact of cross-border capital flows on bank risktaking in an open economy and the effect of macro-prudential policy on bank risk-taking. Then, PSTR model is used to test the nonlinear impact of cross-border capital flows on the risk-taking of 137 commercial banks in China. Based on SVAR model and counterfactual analysis, this paper examines the dynamic effects of cross-border capital flows and macro-prudential policy on bank risk-taking. Both theoretical analysis and empirical tests indicate that: first, cross-border capital inflows promote bank risktaking, while cross-border capital outflow reduce bank risk-taking. Second, the influence of cross-border capital flows on bank risk-taking has significant nonlinear characteristic. When the capital adequacy ratio increases, the positive effect of cross-border capital inflows on bank risk-taking gradually weakens, while the negative effect of cross-border capital outflows on bank risktaking gradually strengthens. Third, the tighting of macro-prudential policy significantly reduces bank risk-taking, and countercyclical macro-prudential policy can effectively maintain the stability of the financial system.

关 键 词：银行风险承担 跨境资本流动 宏观审慎政策 PSTR模型 

分 类 号：F832.6[经济管理—金融学]