美国货币政策会影响其他经济体贷款者的风险承担吗?--基于全球辛迪加贷款市场的研究  

Do US Monetary Policies Influence the Risk-taking of Lenders in Other Countries?--Evidence from the Global Syndicated Loan Market

作　　者：董文华 谭小芬 朱菲菲[1,2,3,4] 李兴申 DONG Wenhua;TAN Xiaofen;ZHU Feifei;LI Xingshen(Graduate School of Chinese Academy of Social Sciences;School of Economics and Management,Beihang University;School of Finance,Central University of Finance and Economics;School of Economics,Capital University of Economics and Business)

机构地区：[1]中国社会科学院研究生院,北京102488 [2]北京航空航天大学经济管理学院,北京100191 [3]中央财经大学金融学院,北京102206 [4]首都经济贸易大学经济学院,北京100070

出　　处：《金融研究》2023年第3期57-73,共17页Journal of Financial Research

基　　金：国家社会科学基金重大项目(20&ZD101);国家自然科学基金青年项目(72102247);首都经济贸易大学新入职青年教师科研启动基金项目(XRZ2023060)的资助。

摘　　要：本文使用全球辛迪加贷款数据,研究了美国货币政策溢出效应对其他经济体贷款者风险承担水平的影响。结果显示,宽松(紧缩)的美国货币政策会显著提升(降低)其他经济体贷款者的风险承担水平。渠道分析表明,美国货币政策通过离岸美元市场、借款者所在经济体的政策利率和汇率水平、借款者资产价格影响其他经济体贷款者的风险承担水平。异质性分析发现,相较于美国货币政策宽松时期,紧缩时期的美国货币政策对其他经济体的全球溢出效应更为明显,此时借款者所在经济体采取宽松宏观审慎政策进行应对的效果不佳。本文的结论对于我国完善宏观审慎调控框架,应对发达国家货币政策溢出效应、防范化解外部输入性金融风险和维护宏观经济稳定具有启示意义。The report of the 2oth National Congress of the Communist Party of China took"promoting high-level opening up"as an important content of"accelerating the construction of a new development pattern and focusing on promoting high-quality development",and pointed out that it is necessary to"strengthen the financial stability guarantee system"and"guard the bottom line of not occurring systemic risks".In view of this,China especially needs to balance development and security in the two-way opening of the financial system.However,the present monetary policy of the US and other developed economies in a tightening cycle,the continuous contraction of global liquidity,and geopolitical risk events such as the Russia-Ukraine conflict lead to continuous accumulation of global risk factors and more complex and severer external economic environment,posing great challenges to the smooth operation of China's economy and finance.Given the importance of the US dollar in the international monetary and financial system,US monetary policy has obvious spillover effects on other economies around the world.Loose monetary policy stimulates banks and other financial institutions to actively increase risk-taking,but when monetary policy turns tight,the risk tolerance of financial institutions may decline.The existing research on the spillover effect of US monetary policy mainly focuses on its impact on other economies'monetary policy,trade,capital market and other macro aspects,but studies on the spillover effect of US monetary policy from the micro perspective are relatively scarce.In addition,channel studies of how monetary policy affects risk-taking mainly focus on the impact of a country's monetary policy on the risk-taking of domestic lenders,but rarely pay attention to its cross-border spillover effect.Using global syndicate loan-level micro-data provided by the Dealscan database,this paper conducts a detailed and in-depth study of the above issues.The database not only includes specific information at the lending level,but also provid

关 键 词：美国货币政策 溢出效应 风险承担 辛迪加贷款 

分 类 号：F827.12[经济管理—财政学] F831.2