全球经济不确定性、非银行金融机构与信贷风险溢价  

Global Economic Uncertainty, Non-Banking Financial Institutions and Credit Risk Premiums

作　　者：刘子雨 李兴申 LIU Ziyu;LI Xingshen(Central University of Finance and Economics,102206;Capital University of Economics and Business,100070)

机构地区：[1]中央财经大学金融学院,102206 [2]首都经济贸易大学经济学院,100070

出　　处：《财贸经济》2025年第2期87-102,共16页Finance & Trade Economics

基　　金：国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(20&ZD101);国家自然科学基金青年项目“全球金融周期对跨境银行资本流动网络的影响、作用机制与审慎监管研究”(72403174);北京市教育委员会科学研究计划项目“全球金融风险变化对首都跨境资本流动的影响研究”(SM202410038011)。

摘　　要：全球非银行金融机构由于其运行模式和信贷供给特征带来的脆弱性和复杂性受到了广泛关注。本文运用1987—2019年129个国家(或地区)的辛迪加贷款数据,研究了非银行金融机构与传统银行在面对外部冲击时的信贷供给行为差异及其驱动因素。结果发现,当全球经济不确定性上升时,由于非银行金融机构的流动性获取能力弱于银行,其信贷风险溢价上升幅度明显更大。进一步研究发现,面对全球经济不确定性冲击,非银行金融机构的美元贷款、境内贷款的风险溢价相对于非美元贷款、跨境贷款的风险溢价更低。贷款人所在国(或地区)的流动性支持体系越完善,该国(或地区)非银行金融机构的信贷风险溢价越低。对于借款企业而言,对非银行金融机构信贷的依赖程度越高,越容易受到全球经济不确定性上升的影响,其实际经营状况越容易恶化。本文为一国(或地区)防范化解外部输入性金融风险、推动金融市场高水平对外开放提供了经验证据和政策参考。Non-Banking Financial Institutions(NBFIs) have grown rapidly since the start of the 21st century, especially after the 2008 global financial crisis, as tighter banking regulations spurred the expansion of the non-banking sector. Global financial intermediation has increasingly shifted from traditional banks to NBFIs, but the higher risk sensitivity and vulnerability of NBFIs raise concerns about credit supply risks, financial instability, and negative impacts on the real economy during this transition.Rising global economic uncertainty has further amplified these challenges, yet studies on its impact on NBFIs' credit supply behavior remain scarce compared to those on banks.Our paper uses syndicated loan data from 129 countries between 1987 and 2019 to examine the differences in credit supply behavior between NBFIs and banks under external shocks and their underlying drivers. The results reveal that rising global economic uncertainty significantly increases the credit risk premium for NBFIs more than for banks, owing to NBFIs' weaker liquidity access. Countries with robust liquidity support systems can mitigate these risk premiums for NBFIs. Further analysis shows that NBFIs' dollar-denominated and domestic loans exhibit lower risk premiums compared to non-dollar and crossborder loans during uncertainty shocks. For borrowing firms, greater dependence on NBFI credit heightens their vulnerability to economic uncertainty, exacerbating operational challenges.This paper makes three key contributions. First, it explores the impact of global economic uncertainty on NBFIs' credit supply behavior by using granular syndicated loan data, offering fresh insights into their response mechanisms in uncertain environments. Second, unlike existing literature focusing on borrowerlender relationships, this study emphasizes the liquidity acquisition disparity between NBFIs and banks, providing a new explanation for the divergence in credit pricing under uncertainty shocks. Third, it highlights the role of national liquidity support s

关 键 词：辛迪加贷款 非银行金融机构 全球经济不确定性 

分 类 号：F831.7[经济管理—金融学]