跨境资本流动对中国商业银行流动性风险的影响——兼论经济政策不确定性的调节作用  

The Impact of Cross-Border Capital Flows on Liquidity Risk of Chinese Commercial Banks:Concurrently on the Moderating Effect Based of Economic Policy Uncertainty

作　　者：何英 华桂宏[2] He Ying;Hua Gui-hong

机构地区：[1]南京师范大学商学院,南京210023 [2]南京师范大学,南京210023

出　　处：《亚太经济》2024年第3期51-62,共12页Asia-Pacific Economic Review

基　　金：国家社会科学重大基金项目“总体国家安全观下防范和应对外国经济制裁研究”(22&ZD180);国家社会科学基金项目“绿色发展理念下传统能源城市转型机制与政策研究”(19BJL033)。

摘　　要：基于2010—2021年中国42家上市商业银行的数据,使用双向固定效应模型探讨跨境资本流动对银行流动性风险的影响。结果表明:跨境资本流动会提升商业银行的流动性风险,且通过提高流动性错配进而推升银行流动性风险;股份制银行、城市商业银行和非全球系统重要性银行的流动性更容易受到跨境资本流动的威胁,传统金融市场和数字金融市场的发展会强化银行流动性风险对跨境资本流动的反应,而适宜水平的银行收入结构多元化、提高市场化程度和强化金融监管强度均有助于弱化跨境资本流动对银行流动性风险的影响;经济政策不确定性强化了跨境资本流动对银行流动性风险的提升效应,特别是对于非全球系统重要性银行而言。Based on the samples of 42 listed commercial banks in 2010-2021,the two-way fixed effect model is used to explore the impact of cross-border capital flows on bank liquidity risk.The results show that cross-border capital flows can enhance the liquidity risk of commercial banks by improving liquidity mismatch.The liquidity of joint-stock banks,city commercial banks and non-global systemically important banks is more vulnerable to the threat of cross-border capital flows.The development of traditional and digital financial markets will strengthen the response of bank liquidity risks to cross-border capital flows,while the diversification of bank income structure at a moderate level,the improvement of marketization level and the strengthening of financial supervision will all weaken the impact of cross-border capital flows on bank liquidity risks.The economic policy uncertainty strengthens the promotion effect of cross-border capital flows on bank liquidity risk,especially for non-global systemically important banks.

关 键 词：跨境资本流动 流动性风险 流动性错配 经济政策不确定性 

分 类 号：F830.33[经济管理—金融学]