资本账户开放、杠杆率结构与银行风险承担
|
摘要
本文运用中国61家商业银行2008～2017年的面板数据,实证研究了资本账户开放以及实体经济杠杆率水平对银行风险承担的影响。研究发现:不同流向的资本账户开放以及实体经济不同部门的杠杆率水平对银行风险有非对称影响,且流入方向的资本账户开放能显著降低因政府部门和非金融企业部门杠杆率攀升所引致的银行风险承担。本文的研究对于资本账户开放和实体经济杠杆率的调控有一定的借鉴意义。
Based on the panel data of 61 commercial banks in China from 2008 to 2017, this paper empirically studies the impact of capital account openness and the leverage ratio of the real economy on bank risk taking. The results show that, different flows of capital account openness, as well as different sectors' leverage levels of the real economy have an asymmetric impact on banks' risks. And the capital account opening in the inflow direction can significantly reduce bank risk taking caused by the rising leverage ratio of government and non-financial enterprises departments. The findings of this paper have certain reference significance for the opening of capital account and regulation of leverage ratio of real economy.
Based on the panel data of 61 commercial banks in China from 2008 to 2017, this paper empirically studies the impact of capital account openness and the leverage ratio of the real economy on bank risk taking. The results show that, different flows of capital account openness, as well as different sectors' leverage levels of the real economy have an asymmetric impact on banks' risks. And the capital account opening in the inflow direction can significantly reduce bank risk taking caused by the rising leverage ratio of government and non-financial enterprises departments. The findings of this paper have certain reference significance for the opening of capital account and regulation of leverage ratio of real economy.
引文
[1]陈中飞,王曦.资本账户子项目开放的经济增长效应及中国应用[J].管理世界,2019,35(01):97-114+227.
[2]邓敏,蓝发钦.金融开放条件的成熟度评估:基于综合效益的门槛模型分析[J].经济研究,2013,48(12):120-133.
[3]鄂志寰.资本流动与金融稳定相关关系研究[J].金融研究,2000(07):80-87.
[4]方意,颜茹云,郑子文.资本账户开放对银行风险的影响机制研究[J].国际金融研究,2017(11):33-43.
[5]方显仓,孙琦.金融账户开放与三类风险的互动机制[J].世界经济研究,2015(02):3-14.
[6]苟文均,袁鹰,漆鑫.债务杠杆与系统性风险传染机制——基于CCA模型的分析[J].金融研究,2016(03):74-91.
[7]黄敏,蒋海,杨子晖,苏亮瑜.资本监管、信息披露质量对银行风险承担的影响[J].国际金融研究,2018(11):56-66.
[8]纪洋,王旭,谭语嫣,黄益平.经济政策不确定性、政府隐性担保与企业杠杆率分化[J].经济学(季刊),2018,17(2):449-470.
[9]雷文妮,金莹.资本账户开放与经济增长——基于跨国面板数据的研究[J].国际金融研究,2017(01):59-67.
[10]魏加宁,宁静,朱太辉.我国政府性债务的测算框架和风险评估研究[J].金融监管研究,2012(11):43-59.
[11]喻海燕,范晨晨.资本账户开放、制度质量与资本外逃:基于“金砖五国”的研究[J].国际金融研究,2018,378(10):45-54.
[12]余永定.寻求资本项目开放问题的共识[J].国际金融研究,2014(07):3-6.
[13]中国人民银行杠杆率研究课题组.中国经济杠杆率水平评估及潜在风险研究[J].金融监管研究,2014(05):23-38.
[14]钟宁桦,刘志阔,何嘉鑫,苏楚林.我国企业债务的结构性问题[J].经济研究,2016(07):102-117.
[15]Cecchetti, S. G., M. Mohanty&F. Zampolli. The Real Effects of Debt[R]. BIS Working Papers, 2011, No. 352.
[16]Berger, A. N.,&G. F. Udell. Some Evidence on the Empirical Significance of Credit Rationing[J]. Journal of Political Economy, 1992,100(5):1047-1077.
[17]Daniel, B. C.,&J. B. Jones. Financial liberalization and banking crises in emerging economies[J]. Journal of International Economics,2007, 72(1):202-221.
[18]Fisher, I. The Debt-Deflation Theory of Great Depressions[J]. Econometrica, 1933, 1(4):337-357.
[19]Henry, P, B. Capital Account Liberalization, the Cost of Capital, and Economic Growth[J]. American Economic Review, 2003, 93(2):91-96.
[20]Kose, M. A., E. S. Prasad&M. E. Terrones. Does financial globalization promote risk sharing?[J]. Journal of Development Economics,2009, 89(2):258-270.
[21]Leroya, A.,&Y. Lucotte. Competition and credit procyclicality in European banking[J]. Journal of Banking&Finance, 2019, 99(2):237-251.
[22]Mian, A.,&A. Sufi. What Explains High Unemployment? The Aggregate Demand Channel[J]. NBER Working Paper, No. 17830,2011.
[23]Minsky, H. P. The Financial Instability Hypothesis:An Interpretation of Keynes and an Alternative to"Standard"Theory[J]. Challenge,1997, 1(20):20-27.
[24]Reinhart, C. M.,&K. S. Rogoff. Growth in a Time of Debt[J]. American Economic Review, 2010, 100(2):573-578.
[25]Ousmanou, N. Financial liberalization and growth in African economies:The role of policy complementarities[J]. Review of Development Finance, 2017,7(1):73-83.
[26]Yang, H. Z., F. F. Shi, J. Wang&Z. B. Jing. Investigating the relationship between financial liberalization and capital flow waves:A panel data analysis[J]. International Review of Economics and Finance, 2019, 59(1):120-136.
[2]邓敏,蓝发钦.金融开放条件的成熟度评估:基于综合效益的门槛模型分析[J].经济研究,2013,48(12):120-133.
[3]鄂志寰.资本流动与金融稳定相关关系研究[J].金融研究,2000(07):80-87.
[4]方意,颜茹云,郑子文.资本账户开放对银行风险的影响机制研究[J].国际金融研究,2017(11):33-43.
[5]方显仓,孙琦.金融账户开放与三类风险的互动机制[J].世界经济研究,2015(02):3-14.
[6]苟文均,袁鹰,漆鑫.债务杠杆与系统性风险传染机制——基于CCA模型的分析[J].金融研究,2016(03):74-91.
[7]黄敏,蒋海,杨子晖,苏亮瑜.资本监管、信息披露质量对银行风险承担的影响[J].国际金融研究,2018(11):56-66.
[8]纪洋,王旭,谭语嫣,黄益平.经济政策不确定性、政府隐性担保与企业杠杆率分化[J].经济学(季刊),2018,17(2):449-470.
[9]雷文妮,金莹.资本账户开放与经济增长——基于跨国面板数据的研究[J].国际金融研究,2017(01):59-67.
[10]魏加宁,宁静,朱太辉.我国政府性债务的测算框架和风险评估研究[J].金融监管研究,2012(11):43-59.
[11]喻海燕,范晨晨.资本账户开放、制度质量与资本外逃:基于“金砖五国”的研究[J].国际金融研究,2018,378(10):45-54.
[12]余永定.寻求资本项目开放问题的共识[J].国际金融研究,2014(07):3-6.
[13]中国人民银行杠杆率研究课题组.中国经济杠杆率水平评估及潜在风险研究[J].金融监管研究,2014(05):23-38.
[14]钟宁桦,刘志阔,何嘉鑫,苏楚林.我国企业债务的结构性问题[J].经济研究,2016(07):102-117.
[15]Cecchetti, S. G., M. Mohanty&F. Zampolli. The Real Effects of Debt[R]. BIS Working Papers, 2011, No. 352.
[16]Berger, A. N.,&G. F. Udell. Some Evidence on the Empirical Significance of Credit Rationing[J]. Journal of Political Economy, 1992,100(5):1047-1077.
[17]Daniel, B. C.,&J. B. Jones. Financial liberalization and banking crises in emerging economies[J]. Journal of International Economics,2007, 72(1):202-221.
[18]Fisher, I. The Debt-Deflation Theory of Great Depressions[J]. Econometrica, 1933, 1(4):337-357.
[19]Henry, P, B. Capital Account Liberalization, the Cost of Capital, and Economic Growth[J]. American Economic Review, 2003, 93(2):91-96.
[20]Kose, M. A., E. S. Prasad&M. E. Terrones. Does financial globalization promote risk sharing?[J]. Journal of Development Economics,2009, 89(2):258-270.
[21]Leroya, A.,&Y. Lucotte. Competition and credit procyclicality in European banking[J]. Journal of Banking&Finance, 2019, 99(2):237-251.
[22]Mian, A.,&A. Sufi. What Explains High Unemployment? The Aggregate Demand Channel[J]. NBER Working Paper, No. 17830,2011.
[23]Minsky, H. P. The Financial Instability Hypothesis:An Interpretation of Keynes and an Alternative to"Standard"Theory[J]. Challenge,1997, 1(20):20-27.
[24]Reinhart, C. M.,&K. S. Rogoff. Growth in a Time of Debt[J]. American Economic Review, 2010, 100(2):573-578.
[25]Ousmanou, N. Financial liberalization and growth in African economies:The role of policy complementarities[J]. Review of Development Finance, 2017,7(1):73-83.
[26]Yang, H. Z., F. F. Shi, J. Wang&Z. B. Jing. Investigating the relationship between financial liberalization and capital flow waves:A panel data analysis[J]. International Review of Economics and Finance, 2019, 59(1):120-136.