债务型资本流入、国内信贷周期与汇率制度选择  

Cross-border Capital Flows,Domestic Credit Cycles,and Exchange Rate Regimes Choice

作　　者：刘家琳 芦东 Liu Jialin;Lu Dong(School of Economics and Management,Beijing University of Chemical Technology;School of Finance,Renmin University of China)

机构地区：[1]北京化工大学经济管理学院,北京102202 [2]中国人民大学财政金融学院,北京100872

出　　处：《金融研究》2024年第5期1-19,共19页Journal of Financial Research

摘　　要：汇率是全球金融周期与各国国内金融周期联动的纽带。本文基于28个新兴市场经济体数据,研究跨境资本流动与各国国内信贷周期的关系发现:债务型资本(跨国银行资本和债券资本)流入,与国内信贷总体上呈顺周期关系;相比于固定汇率制国家,在浮动汇率制国家,跨国银行资本流入与国内信贷的顺周期关系减弱(浮动汇率起到稳定器作用),但债券资本流入与国内信贷的顺周期关系有所增强。进一步分析显示,浮动汇率制能稳定未触发银行危机的“好的”信贷繁荣,但不能抑制以银行危机结束的“坏的”信贷繁荣。浮动汇率制须与加强宏观审慎管理相配合,方可有效降低国内信贷繁荣之后银行危机发生概率。本文可为我国汇率制度选择和系统性金融风险防范提供理论基础和经验依据。The Central Financial Work Conference of 2023 proposes that efforts should be made to promote high-level financial opening-up,ensure financial and economic national security,and accelerate the construction of a financial power.In recent years,cross-border capital flows have become more frequent,and there is an obvious global financial cycle.Simultaneously,the relationship between cross-border capital flows and credit fluctuations in various countries has become closer.Historical experiences indicate that credit booms often precede financial disturbances like banking crises.In fact,exchange rates are crucial in linking cross-border capital flows,domestic credit cycles,and banking crises.Classical international finance theories suggest that under free capital flows,a floating exchange rate regime can stabilize external shocks and ensure the independence of central bank monetary policies.Under the background of global financial cycles,scholars have engaged in hot discussions about whether floating exchange rate regimes act as stabilizers and how China should choose its exchange rate regime and pursue high-quality financial opening-up.However,they have not yet reached a consensus.Therefore,it is necessary to explore the relationship among cross-border capital flows,domestic credit cycles,and banking crises under dfferent exchange rate regimes.It could not only enhance international financial theories and provide empirical guidance for the reform of the RMB exchange rate regime,but also could act as a key element in promoting the process of high-quality financial opening-up and ensuring no systemic risks arise.This paper collects domestic credit and cross-border capital flow data from 28 emerging market economies,sourced from the International Monetary Fund and the Bank for International Settlements.The paper divides credit booms and busts,constructs a Probit regression model to study the empirical relationship between cross-border capital inflows and domestic credit booms or busts,and focuses on whether a floating ex

关 键 词：债务型资本流入 国内信贷周期 信贷繁荣 汇率制度 

分 类 号：F831.6[经济管理—金融学]