“双支柱”政策框架、跨境资本流动与银行系统性风险  

Two-pillar Policy Framework,Cross-border Capital Flows and Bank Systemic Risk

作　　者：顾海峰[1] 卞雨晨 GU Haifeng;BIAN Yuchen

机构地区：[1]东华大学旭日工商管理学院

出　　处：《世界经济研究》2022年第11期72-88,M0003,共18页World Economy Studies

基　　金：教育部人文社会科学研究规划基金项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(项目编号:20YJA790014)的阶段性成果。

摘　　要：文章选取2011~2020年中国A股上市银行的微观面板数据,对“双支柱”政策框架对银行系统性风险的影响以及跨境资本流动对两者关系的调节作用进行实证分析。研究表明,扩张性货币政策会加剧银行系统性风险,搭配使用宽松性宏观审慎政策有助于削弱扩张性货币政策对银行系统性风险的影响,并且该政策效果在国有银行和处于经济下行期的银行更好。跨境资本流动对“双支柱”政策效果具有非对称性影响。跨境资本直接投资规模增大会削弱宽松性宏观审慎政策对扩张性货币政策风险效应的治理效果,但跨境资本证券投资及其他金融投资对货币政策与宏观审慎政策协同调控效果的影响不明显。进一步研究表明,宽松性宏观审慎政策主要通过抑制银行信贷扩张及提高银行非利息收入渠道来削弱扩张性货币政策对银行系统性风险的影响,并且这种协同调控作用主要通过资本型和贷款型宏观审慎政策实现。该成果对科学设计“双支柱”政策框架和资本账户开放进程,并以此防范银行业系统性风险具有一定参考价值。This paper empirically analyzes the impact of two-pillar policy framework on bank systemic risk by selecting quarterly data of Chinese A-share listed banks from 2011 to 2020,and further analyzes the moderating effect of cross-border capital flows. The results show that expansionary monetary policy can promote the bank systemic risk. The combination of loose macro-prudential policy and expansionary monetary policy can help alleviate the boosting effect of expansionary monetary policy on the bank systemic risk. Moreover,this two-pillar policy framework works better on state-owned banks and banks in economic downtrend.The increase of cross-border capital direct investment will weaken the regulation effect of loose macro-prudential policy on the risk effect of expansionary monetary policy,while the impact of cross-border capital portfolio investment and other financial investment on the synergistic governance effect of monetary policy and macro-prudential policy is invalid. Further research shows that loose macro-prudential policy can alleviate the boosting effect of expansionary monetary policy on bank systemic risk mainly by restraining bank’s credit expansion and increasing its non-interest income,and this synergistic governance effect is mainly achieved from capital-based and loan-based macro-prudential policies. The results have certain reference value for the scientific design of the two-pillar policy framework and the process of capital account liberalization to prevent systemic risks in the banking sector.

关 键 词：“双支柱”政策框架 货币政策 宏观审慎政策 跨境资本流动 银行系统性风险 

分 类 号：F832[经济管理—金融学]