跨境资本流动、银行脆弱性与双支柱调控  

Cross-border Capital Flow,Bank Fragility and Two-pillar PolicyFramework

作　　者：顾海峰[1] 童晓力 GU Haifeng;TONG Xiaoli

机构地区：[1]东华大学旭日工商管理学院

出　　处：《国际贸易问题》2025年第2期159-174,共16页Journal of International Trade

基　　金：上海市哲学社会科学规划课题“新发展格局下双支柱调控框架对银行风险的影响机制及政策研究”(2023BJB013)。

摘　　要：银行脆弱性是引发系统性金融风险的重要动因,高效治理银行脆弱性对于防控系统性金融风险具有重大意义。本文基于银行稳健发展能力“陀螺”评价体系测度银行脆弱性指标,选取2011—2022年中国商业银行数据实证检验了跨境资本流动对银行脆弱性的影响及传导机制,并进一步考察了双支柱政策的调控效果。研究表明,跨境资本流动会加大银行脆弱性。机制分析表明,跨境资本流动主要通过对银行期限错配、流动性囤积与贷款集聚的多重助推作用渠道影响银行脆弱性。进一步研究表明,紧缩性货币政策搭配紧缩性宏观审慎政策的双支柱政策框架能够有效缓解跨境资本流动对银行脆弱性的助推效应,相对于资本型与流动性型的宏观审慎政策,搭配贷款型宏观审慎政策的双支柱调控效果更为明显。区分资本账户与资本流向的异质性分析表明,证券投资账户的跨境资本流动与跨境资本流入对银行脆弱性的影响更为明显。本研究将为防控由跨境资本流动引致的银行脆弱性维度方面的系统性金融风险及完善双支柱政策框架提供重要的理论指导与决策参考。Bank fragility is a critical factor of systemic financial risks,making effec-tive management is essential for prevention and control the risks.This paper employs the gyroscope"evaluation system,designed to assess banks'robust development capacity,to measure indicators of bank fragility.Using data from Chinese commercial banks from 2011 to 2022,the study empirically examines the impact and transmission mechanisms of cross-border capital flows on bank fragility.It also investigates the regulatory effects of the two-pillar policy framework.The findings show that cross-border capital flows increase bank fragility.Mechanism analysis reveals that cross-border capital flows primarily impact bank vulnerability through several channels,including maturity mismatch,liquidity hoarding,and loan concentration.Further research suggests that a two-pillar policy framework,com-bining tight monetary policy with tight macro prudential policy,can effectively mitigate the amplifying effect of cross-border capital flows on bank fragility.Compared to capital-type and liquidity-type macro-prudential policies,the regulatory effect of the two-pillar policy is more significant when paired with loan-type macro-prudential policy.A heterogeneous analysis,distinguishing between the capital account and the direction of capital flows,shows that cross-border capital flows in the securities investment account and capital in-flows have a more pronounced impact on bank fragility.This study provides important the-oretical guidance and practical insights for preventing systemic financial risks stemming from cross-border capital flows in the context of bank fragility,as well as for enhancing the two-pillar policy framework.

关 键 词：跨境资本流动 银行脆弱性 双支柱政策 

分 类 号：F830.5[经济管理—金融学]