摘要
基于我国16家上市银行2008~2018年季度财务数据,本文采用面板数据模型实证分析了跨境资本流动对我国银行风险承担的影响以及宏观审慎政策应对此种冲击的有效性。研究结果显示,在三种类型跨境资本流动中,直接投资和证券投资资本流动对银行风险承担影响效果不显著,而其他投资的流入能够显著增加我国银行的风险承担;宏观审慎政策整体上能够抑制其他投资流动对银行风险承担的冲击,但在国有银行和股份制银行之间存在差异,宏观审慎政策能够有效抑制其他投资流入对股份制银行风险承担的增加作用,而未能有效抑制对国有银行风险承担的作用。通过作用渠道进一步分析对国有银行失效的原因,发现其他投资流动主要通过汇率和股价波动以及银行负债结构渠道影响国有银行风险承担,宏观审慎政策能够有效阻碍汇率波动和银行负债结构渠道,但不能有效阻碍股价波动这一渠道对国有银行风险承担的影响。
Based on the quarterly financial data of 16 listed banks in China from 2008 to 2018,this paper uses panel data model to empirically analyze the impact of cross-border capital flows on China's banks'risk-taking and the effectiveness of Macro-prudential Policies to cope with such shock.The results show that among the three types of cross-border capital flows,the effects of direct investment flows and securities investment flows on banks'risk-taking are not significant,while the inflow of other investments can significantly increase the risk-taking of Chinese banks;Macro-prudential Policies can inhibit the impact of other investment flows on banks'risk-taking as a whole,but there exists difference between state-owned banks and joint-stock banks.Macro-prudential Policies can effectively restrain the increasing effect of other investment inflows on risk-taking of joint-stock banks,but can not effectively restrain such effect of risk-taking of state-owned banks.This paper further analyses the reasons for the failure in state-owned banks through functional channels.Other investment flows mainly affect the risk-taking of state-owned banks through exchange rate fluctuations,stock price fluctuations and bank debt structure.Macro-prudential policies can effectively hinder exchange rate fluctuations and bank debt structure channels,but can not effectively hinder the impact of stock price fluctuations on the risk-taking of state-owned banks.
作者
高慧清
任建武
GAO Hui-qing;REN Jian-wu(Collage of Business,Zhengzhou University,Zhengzhou 450001,China)
出处
《郑州航空工业管理学院学报》
2019年第5期96-106,共11页
Journal of Zhengzhou University of Aeronautics
基金
河南省政府决策研究招标课题(2018B289)
河南省哲学社会科学规划项目(2019BJJ058)
河南省教育厅人文社会科学研究项目(2019-ZZJH-344)
关键词
其他投资流动
银行风险承担
宏观审慎政策有效性
银行差异
作用渠道
other investment flows
bank risk-taking
effectiveness of Macro-prudential Policies
bank differences
channels of action
