国际资本流动对系统性金融风险的影响研究  

A Study of the Impact of International Capital Flows on Systemic Financial Risk

作　　者：张礼卿[1] 张宇阳 欧阳远芬 ZHANG Liqing;ZHANG Yuyang;OUYANG Yuanfen(Central University of Finance and Economics,100098;Minmetals Capital Company Limited,100027)

机构地区：[1]中央财经大学金融学院,100098 [2]五矿资本股份有限公司,100027 [3]中央财经大学中国公共财政与政策研究院,100098

出　　处：《财贸经济》2023年第1期99-115,共17页Finance & Trade Economics

基　　金：国家社会科学基金重点项目“稳慎推进人民币国际化的策略与路径”(21AZD066)。

摘　　要：系统性风险是评估国际资本流动影响一国金融系统稳定的核心概念。本文选取53个样本经济体2000-2018年的季度数据,考察净资本流入与系统性金融风险的关系,并从资本流动构成和经济体发展水平角度进行综合分析,在此基础上讨论金融发展程度以及资本管制、汇率制度、宏观审慎政策等如何影响净资本流入与系统性金融风险的关系。面板回归结果表明,净资本流入对银行信贷和住房价格具有显著推升作用,并且因资本流动构成和经济体发展水平而有所差异。拓展研究结果显示,对于金融发展程度较高的经济体,资本流动对系统性风险的推动作用较弱;资本管制、弹性汇率制度和宏观审慎政策等可以抑制资本流动引起的系统性风险,特别是对于新兴市场经济体,相关政策措施效果显著。As a consequence of global financial integration,capital flows have surged and become increasingly volatile.Although capital flows can bring substantial benefits to a country,the existing literature has revealed the risks associated with them,i.e.enlarging the financial cycle,inducing the credit boom,and boosting asset prices.After the global financial crisis in 2008,systemic financial risk has become the anchoring concept for assessing the impact of international capital flows on the stability of a country's financial system.Existing studies mainly use bank credit booms or asset price booms as systemic financial risk indicators.A credit boom is usually related to financial deepening,which is conducive to long-term economic growth,but may lead to boom-bust cycles and financial crises.The rise in asset prices may push up the collateral value and borrowers net worth,and magnify the domestic financial cycle through the financial accelerator mechanism.The existing literature mainly studies systemic financial risk from the perspectives of the negative impact of capital flows,risk measurement,the pro-cyclicality of capital flows,and policy responses.This study contributes to the literature in two aspects.First,it uses the domestic bank credit and the housing price as the proxy of systemic financial risk,and evaluates the impact of net capital inflow and its components on systemic financial risk in a more comprehensive way.Second,it analyzes how financial development,capital control,exchange rate regimes,and macro-prudential policy affects the relationship between net capital inflows and systemic financial risk.To investigate the impact of net capital inflows on systemic financial risk,this study uses the quarterly data of 53 sample economies from 2000 to 2018,and applies a panel regression model that controls the country and time fixed effects to examine the role of net capital inflows in boosting bank credit and asset prices.In the baseline regressions,this study further analyzes the effects of capital flow compositio

关 键 词：国际资本流动 系统性金融风险 金融发展 资本管制 汇率制度 

分 类 号：F831.7[经济管理—金融学]