金融机构跨境借贷、汇率制度选择与跨境融资监管  

Cross-border Borrowing of Financial Institutions,Exchange Rate Regime and Macroprudential Policy

作　　者：温兴春 梅冬州[2] 龚六堂[3,4] Wen Xingchun;Mei Dongzhou;Gong Liutang(China School of Banking and Finance,University of International Business and Economics;School of International Trade and Economics,Central University of Finance and Economics;Institute for Advanced Study,Wuhan University)

机构地区：[1]对外经济贸易大学中国金融学院,北京100029 [2]中央财经大学国际经济与贸易学院,北京100081 [3]武汉大学高级研究中心,武汉430072 [4]北京大学数量经济与数理金融教育部重点实验室

出　　处：《金融研究》2024年第7期59-76,共18页Journal of Financial Research

基　　金：国家自然科学基金青年项目(72103037);面上项目(72073149);教育部人文社会科学研究青年基金项目(21YJC790125)的资助。

摘　　要：本文在一个带有金融中介的DSGE模型中引入金融机构跨境借贷行为,分析金融机构跨境借贷、汇率制度选择与跨境融资监管三者关系。主要结论:(1)数值模拟结果表明,当存在金融机构跨境借贷时,外部冲击会影响资本流入和流出,造成汇率变动,影响金融机构资产负债表和贷款,进而影响投资和产出。(2)在不监管跨境资本流动情形下,若金融机构跨境借贷规模很低,浮动汇率制在降低产出波动和社会福利损失方面优于固定汇率制;随着金融机构跨境借贷规模增加,固定汇率制在降低产出波动和社会福利损失方面优于浮动汇率制。(3)在监管跨境资本流动情形下,监管政策能够缓解资本流动的波动,进而降低产出波动和社会福利损失,并且监管政策的作用随金融机构跨境借贷规模上升而增大,即使金融机构跨境借贷规模增加,浮动汇率制度在降低产出波动和社会福利损失方面仍优于固定汇率制。因此,在推进金融机构对外开放的同时,应加快建立和完善对跨境资本流动的宏观审慎监管框架,在此基础上可稳妥推行汇率市场化。China is expanding the external openness of its financial sector while concurrently advancing the processes of Renminbi(RMB)internationalization through market-oriented reforms in RMB exchange rate and the reduction of capital controls.Consequently,understanding how cross-border borrowing of financial institutions impacts a country's economic fluctuations and determining measures to mitigate associated risks are crucial theoretical and practical considerations.This is particularly pertinent in the current highly complex and uncertain international environment.The urgent need is to investigate the mechanisms through which cross-border borrowing of financial institutions affects the economy and to conduct in-depth analysis on the coordination between cross-border borrowing of financial institutions and exchange rate marketization and policies such as cross-border financing regulation.To address this,we introduce cross-border borrowing of financial institutions into a Dynamic Stochastic General Equilibrium(DSGE)model,analyzing the relationships among cross-border borrowing of financial institutions,exchange rate regime selection,and cross-border financing regulatory policy.Numerical simulation results indicate that,when financial institutions engage in cross-border borrowing,external shocks impact capital inflows and outflows,causing exchange rate fluctuations.This then affects the financial intermediary's balance sheet,leading to a reduction in the financial intermediary's lending to the real sectors and ultimately resulting in adverse effects on investment and output.If not taking cross-border financing regulatory policy into account,when cross-border borrowing or the cross-border borrowing by financial institutions doesn't exist or is low,the floating exchange rate regime outperforms the fixed exchange rate regime in terms of output stability and welfare implication,aligning with traditional conclusions of studies on monetary policy in open economies.However,with the increase in the scale of foreign debt borrowed

关 键 词：金融机构跨境借贷 汇率制度选择 宏观审慎监管 

分 类 号：F832.6[经济管理—金融学]