摘要
文章选取2010~2019年中国16家上市银行季度数据,采用面板回归模型对跨境资本流动对银行系统性风险的影响及其作用机制进行了实证分析。研究表明:首先,跨境资本流动对银行系统性风险具有促进作用。跨境资本流动规模的提高会加大银行存贷期限错配程度,由此引发银行流动性创造过度,从而加大银行系统性风险。相对于非国有银行部门,跨境资本流动对国有银行部门系统性风险的促进力度更大。其次,贷款集中在跨境资本流动与银行系统性风险的关系中承担着非对称性中介作用。跨境资本流动通过提高客户贷款集中度来促进银行系统性风险,"跨境资本流动—客户贷款集中—银行系统性风险"的传导渠道有效,但"跨境资本流动—行业贷款集中—银行系统性风险"的传导渠道无效。最后,宏观审慎政策强度提高会减弱跨境资本流动对银行系统性风险的促进作用,但国际金融环境不确定性提高会加剧跨境资本流动对银行系统性风险的促进作用。
This paper uses the panel regression model to conduct an empirical analysis on the impact of cross-border capital flows on banking systemic risk and its mechanism based on the quarterly data of 16 listed banks in China from 2010 to 2019.The results show that cross-border capital flows can promote banking systemic risk.The increase in the scale of cross-border capital flows will increase the mismatch between deposits and loans of banks,resulting in excessive liquidity creation of banks and thus increasing banking systemic risk.Compared with non-state-owned banking sector,cross-border capital flows contribute more to systemic risk in state-owned banking sector.Loan concentration play an asymmetric intermediary role in the relationship between cross-border capital flows and bakning systemic risk.Cross-border capital flows promote bakning systemic risk by increasing the concentration of customer loans.The transmission channel of"Cross-border capital flows-customer loan concentration-banking systemic risk"is effective,but the transmission channel of"Cross-border capital flows-industrial loan concentration-banking systemic risk"is ineffective.The increasing strength of macroprudential policy will weaken the promoting effect of cross-border capital flows on banking systemic risk,but the increasing uncertainty of the international financial environment will intensify the promoting effect of crossborder capital flows on banking systemic risk.
作者
顾海峰
卞雨晨
Gu Haifeng;Bian Yuchen
出处
《世界经济研究》
CSSCI
北大核心
2021年第10期39-54,86,M0003,共18页
World Economy Studies
基金
教育部人文社会科学研究规划基金项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(项目编号:20YJA790014)的阶段性成果。
