跨境资本流动对商业银行流动性风险的影响——兼论对于资产价格传导机制的研究  

The Impact of Cross-border Capital Llow on Bank Liquidity Risk——and Research on the Transmission Mechanism of Asset Price

作　　者：王家华[1] 丁文彬 娄雨轩 WANG Jia-hua;DING Wen-bin;LOU Yu-xuan

机构地区：[1]南京审计大学金融学院

出　　处：《农村金融研究》2022年第9期61-70,共10页Rural Finance Research

基　　金：国家社科基金项目“互联网金融风险的动力学演化与审计治理研究”(编号:19FJYB048);江苏省社科基金项目“疫情冲击背景下政府审计促进金融服务普惠经济的实现路径研究”(编号:20GLB021);江苏省研创项目“跨境资本流动、银行风险与审慎监管机制研究”(编号:KYCX21_1854)的阶段性研究成果。

摘　　要：论文构建差分GMM模型实证研究跨境资本流动对商业银行流动性风险的影响,并进一步研究跨境资本流向、结构对银行流动性风险影响,最后检验了资产价格的链式多重中介效应。结果表明:1、跨境资本流动对银行流动性风险起正向促进作用,跨境资本流动规模越大,银行流动性风险越高,并且跨境资本对中小银行流动性风险的冲击更加显著;2、流向上,跨境资本流出对银行流动性风险的影响程度要高于跨境资本流入;结构上,跨境证券投资和跨境其他投资对银行流动性风险的影响更加显著;3、资产价格中介效应方面,跨境资本流入会通过股票价格、房地产价格、股票和房地产价格联动的渠道影响银行流动性风险,并且三者的中介效应依次递减。This paper constructs the differential GMM model to empirically explore the impact of cross-border capital flow on liquidity risk of commercial banks,and further studies the impact of cross-border capital flow on liquidity risk of banks from the perspective of flow direction and structure,and finally tests the multi-chain intermediary effect of asset prices on this basis.The results show that:(1)cross-border capital flows have a positive effect on the banks’liquidity risk.The larger the scale of cross-border capital flows,the higher the banks’liquidity risk,and cross-border capital has a more significant impact on the liquidity risk of small and medium-sized banks.(2)In terms of flow direction,the impact of cross-border capital outflow on bank liquidity risk is higher than that of cross-border capital inflow.In terms of flow Structure,crossborder securities investment and other cross-border investment have a more significant impact on bank liquidity risk.(3)As for the mediating effect of asset prices,cross-border capital inflow will affect bank liquidity risk through the channels of stock price,real estate price and the linkage between stock and real estate price,and the mediating effect decreases successively.

关 键 词：跨境资本流动 资产价格 流动性风险 链式多重中介效应 

分 类 号：F832.33[经济管理—金融学] F830.42