跨境资本流动、信贷配置风险与银行体系稳定  

Cross-border Capital Inflows, Riskiness of Credit Allocation and Banking System Stability

作　　者：谭小芬 耿亚莹 苟琴[3] TAN Xiaofen;GENG Yaying;GOU Qin(School of Economics and Management,Beihang University;National Institute of International Strategy,Chinese Academy of Social Sciences;School of Finance,Central University of Finance and Economics)

机构地区：[1]北京航空航天大学经济管理学院,100191 [2]中国社会科学院亚太与全球战略研究院,100007 [3]中央财经大学金融学院,100081

出　　处：《经济研究》2024年第1期129-147,共19页Economic Research Journal

基　　金：国家社会科学基金重大项目(20&ZD101);国家自然科学基金面上项目(72073150);中国社会科学院“青启计划”的资助。

摘　　要：推进高水平金融开放是构建“双循环”新发展格局的重要方面。本文探究如何在金融开放进程中防范金融风险,具体研究金融开放条件下跨境资本流动剧烈波动如何影响银行体系稳定性。基于53个国家和地区1991—2017年的企业数据,本文测度了银行在企业间的信贷配置风险,并探究其在跨境资本涌入对银行稳定的影响中发挥的中介效应。研究发现,跨境资本涌入改变了银行的风险承担行为,通过国际风险承担渠道提高了银行信贷配置风险,降低了银行体系稳定性。有别于FDI资本涌入,股权资本涌入和债务资本涌入是产生国际风险承担效应、增大银行风险的主要类型。实施宏观审慎监管政策能缓解资本涌入对银行稳定性的冲击。本文加深了对跨境资本涌入、金融中介风险承担行为和银行稳定三者关系的认识,为跨境资本涌入如何影响银行稳定提供了微观证据,对我国推进金融业高水平开放、提升金融服务实体经济效率以及防范化解外部风险冲击都具有重要启示。Along with financial globalization,large and abnormal cross-border capital inflows,namely capital inflow surges,have become more frequent.Do surges in cross-border capital inflows significantly affect banking system stability?Especially,do surges have an impact on financial stability by influencing the risk-taking behavior of financial intermediaries,or does the international risk-taking channel explain the relationship between surges and banking stability?To answer these questions,we construct firm-level measures of the riskiness of credit allocation of 53 countries and regions from 1991 to 2017,and then explore empirically the effect of surges in capital inflows on the banking stability and whether this occurs through an international risk-taking channel.We show that surges in cross-border capital inflows increase the odds of banking crises,and this effect is channeled through the riskiness of credit allocation,which provides evidence for the international risk-taking channel.These results remain robust to a series of robustness tests of alternative key indicators,different model settings and endogenous issues.After breaking down gross inflows into FDI inflows,equity inflows and debt inflows,we find that surges in FDI inflows are not significantly associated with banking crises,and both surges in equity inflows and debt inflows increase the likelihood of banking crises by enhancing the riskiness of credit allocation.In terms of heterogeneity,we find the positive effect of surges on the probability of banking crises is less pronounced for countries and regions that introduce macroprudential policies.Further analysis suggests that a rise in the riskiness of credit allocation increases the likelihood of stops.Based on these research conclusions,we propose the following policy implications.First,policymakers should pay close attention to the scale of capital inflows and strengthen the monitoring and early warning of abnormal changes and stock of cross-border capital inflows.Particularly,special attention is needed

关 键 词：跨境资本涌入 资本流入逆转 信贷配置风险 银行稳定 

分 类 号：F831.6[经济管理—金融学] F831.2