资本账户自由化、信贷扩张与系统性银行危机风险*

本文研究在资本账户自由化下，信贷扩张与资本流入对于系统性银行危机风险的影响。利用89个国家1973—2016年的长面板数据，并控制影响银行危机风险多项因素后，研究发现资本账户自由化有助于降低银行危机风险。进一步研究发现，FDI流入能显著降低银行危机风险；适量的股权投资流入有助于增强银行业稳定性；但当股权投资大量流入时，伴随着信贷过度扩张和资产泡沫，银行危机风险急剧增加；较低的债权投资流入对银行业稳定性无显著影响，但当超过一定规模时，银行危机风险显著增加。     

资本账户开放对金融风险的影响——资本流向视角的分析北大核心SSCI

资本账户开放与资本自由流动紧密相联。回顾历次金融危机与风险事件,其均伴随跨境资本大量流入流出。资本账户开放下的金融风险可归结于货币危机风险与银行风险。实证结果显示：资本流向对上述风险均有显著影响,具体来看,直接投资流出、证券投资流入均加剧了货币危机风险与银行风险。因此,除保持较高速经济增长水平、提高本国贸易开放程度之外,需要关注美国利率走势及其对本国货币危机风险的影响,同时应加大对资本流向的跟踪与分析力度。     

信贷扩张与金融市场稳定——基于股价暴跌风险视角

中国多次使用以逆周期调控为主的信贷扩张来平滑社会信贷供给和维持金融市场稳定。本文以2008—2021年A股上市公司为样本，基于股价暴跌风险视角研究信贷扩张对金融市场稳定的影响。研究发现，信贷扩张有助于降低股价暴跌风险，且信贷扩张与宏观审慎政策“双支柱”调节作用能显著放大这种风险抑制作用。影响机制分析表明，信贷扩张能通过缓解企业融资约束、增加企业投资机会以及提高会计信息的稳健性来提高金融市场稳定性，且显著提高了企业债务融资水平。但信贷扩张仍存在潜在风险，一方面加强了高资产可抵押性企业的盈余管理动机，另一方面加剧了企业商业信用二次配置以及“脱实向虚”的程度。本文的研究结果对如何科学合理地通过信贷供给来实现资本市场微观层面稳金融提供了一定的决策建议。     

信贷扩张与银行体系稳定性研究

本轮金融危机的根源是美国过度扩张风险信贷,导致风险从银行业向整个金融业乃至全球蔓延。信贷过度扩张增加了银行不良贷款的比例,使得银行体系的稳定性受到威胁。分析信贷过度扩张对银行体系稳定性的传导机制,并运用CMAXt指标对中国银行体系的稳定性进行实证研究,得出信贷过度扩张影响银行体系稳定性的结论,并提出合理控制信贷规模、防范银行体系风险的政策建议。     

全球不确定性与外国直接投资流入:跨国经验证据

文章从投资者预期决策视角构建理论模型，以2001—2021年122个经济体为研究样本，考察了全球不确定性对外国直接投资流入的影响。研究结果表明：（1）全球不确定性上升降低了外国直接投资流入，且持续时间较长；（2）国内不确定性对外国直接投资流入未造成显著影响；（3）一国金融发展水平以及以出口为代表的贸易开放程度可以缓解全球不确定性对外国直接投资流入的负面影响；（4）异质性分析表明，高资本账户开放程度、高国内信贷水平可以降低全球不确定性对外国直接投资流入的负面影响。所以，旨在降低全球不确定性的政策可以促进全球外国直接投资流入。一国也可以通过提高金融发展水平、扩大出口、加大资本账户开放等措施来促进外国直接投资流入。     

资本过度流入、信贷扩张与银行体系稳定

资本的过度流入会通过国内信贷扩张渠道对银行体系稳定性产生不利影响。随着流入中国的外资逐年增加,外资流入对中国银行体系稳定性产生的影响将逐步显现。因此,对于在资本国际流动日益频繁的条件下,研究如何最大限度地减轻资本过度流入对中国银行体系产生的负面影响具有重要意义。     

跨境资本流动与商业银行系统性风险

防范化解商业银行系统性风险是推动银行高质量发展的重要路径,也是牢牢守住不发生系统性金融风险、保障国家金融安全的重要抓手。在理论分析基础上,运用银行微观数据实证检验跨境资本流动强度对商业银行系统性风险的影响效应和影响机制。研究表明：第一,提高跨境资本流动强度显著降低了商业银行系统性风险,增强证券投资、其他投资的资本流动强度显著降低了商业银行系统性风险,而增强直接投资资本流动强度有利于降低商业银行系统性风险。第二,银行信贷规模和信贷集中度是跨境资本流动强度对商业银行系统性风险影响的重要渠道,提高跨境资本流动强度有利于增加银行信贷规模,降低银行信贷集中度,而银行信贷规模的增加和银行信贷集中度的降低有助于降低商业银行系统性风险。“跨境资本流动强度—信贷规模/信贷客户集中度—商业银行系统性风险”传导渠道有效。第三,相比大型国有银行,跨境资本流动降低商业银行系统性风险效应在中小银行中表现更明显。因此,在进一步建立健全跨境资本流动机制的基础上,应更加重视银行信贷业务,强化银行监管,同时加强同国际金融机构合作,推动商业银行高质量发展。     

全球金融周期、数字技术发展与双边股票资本流动

本文基于2001—2021年各经济体间的双边股票类投资头寸数据，探究数字技术作为推动数字经济发展的关键技术，其发展是否以及如何影响全球金融周期对跨境资本流动的冲击。研究发现，繁荣的全球金融周期会推动双边股票资本流动增加。从资本流入经济体的视角出发，数字技术发展增强了其跨境股票资本流入对全球金融周期的敏感性，这一影响在全球金融危机期间开始凸显，危机后得以进一步强化；数字技术的发展会通过降低信息不对称程度进而影响跨境股票资本流入对全球金融周期的敏感性；新兴经济体、高资本账户开放度经济体、金融市场发展更为繁荣的经济体需要格外关注数字技术发展在推动金融全球化进程中带来的全球风险传染问题。     

银行效率的决定因素：跨国实证

本文基于1990—2009年间68个主要国家和经济体的面板数据，从管理效率、市场竞争性和盈利能力三个基本方面对影响一国银行业效率的相关因素进行了实证分析。实证结果表明：从宏观经济政策来看，保持宏观经济的持续稳定增长，稳步推进资本账户开放，将有助于提高一国银行业的整体效率；从银行产业发展来看，银行业效率的提高需要在保持适度资产规模和产业集中度的基础上，防止银行信贷的过度扩张和银行危机的发生；从制度文化发展来看，加强产权保护，促进社会信用文化水平的提升，将有助于一国银行业效率的整体提升。     

金融自由化改革中的银行业结构调整与风险控制

本文基于我国1994 ～2012年113家商业银行的非平衡面板数据,分别检验了银行集中度与银行风险之间的关系以及二者关系是否受到金融自由化程度的影响.结果表明,银行集中度与银行风险随着金融自由化的进程发生变化.在金融自由化的早期,二者呈负相关,支持集中度-稳定性假说;当金融自由化改革进行到一定程度时,二者关系反转为正,分散型银行体系更有利于稳定.这一结论带来的政策启示是,金融自由化改革虽然一定程度的降低了银行业的进入壁垒,却不会增大银行风险,而是有助于改善以往制度环境差、政府干预强的体制背景,在另一个维度改良银行业的发展环境.     

The Changing Relationship between Banking Crises and Capital Inflows

Different types of capital inflows have varied effects when predicting banking crises in emerging and developing economies, and these relationships have meaningfully changed over time. In a sample of 29 developing and emerging economies over the period 1976–1991 increases in short‐term debt inflows raised the probability of a banking crisis while increases in inflows for long‐term borrowing by the private sector had the opposite effect. Conversely, over the period 1992–2007 increases in inflows for long‐term borrowing by the private sector and for equity investment both increased the probability of a banking crisis. The findings suggest distinct optimal capital account liberalization policies between the two periods.     

The effect of financial liberalization on banking sector stability

Several studies indicate that financial liberalization increases likelihood of a financial crisis without distinguishing between a normal period, unstable period preceding the onset of banking panics and crisis/post period. We explain in this paper the relationship between financial liberalization and banking sector vulnerability. Then, we argue that banking sector turmoil is most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms, we find an inverted U-shaped relationship between liberalization and the likelihood of banking crisis for a sample of 49 countries between 1980 and 2010. We used a multinomial logit model in order to take into account what is called the ‘post crisis bias’. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking sector stability depends strongly on the strength of capital regulation and supervision. With very weak regulation and supervision, the probability of banking crises is increasing with liberalization but this relationship is reversed as regulation and supervision become significant. The most important type of liberalization in relation to banking crises seems to be operational. A policy implication is that positive growth effects of liberalization can be achieved without increasing the risk of a banking fragility if appropriate institutions are developed.     

Financial reforms and capital flows to emerging Europe

Analysis of 18 emerging European economies finds domestic financial reforms to be positively associated with net capital inflows. Controlling for standard determinants of capital flows, we find banking sector reforms in particular to be consistent with higher net financial inflows, whereas no such correlation is found for security market reforms or for indicators of financial depth. Additional net inflows are reaped by the EU accession countries. Countries with more reformed banking sectors receive significantly higher FDI and “other” investment net inflows; this is also found for gross financial inflows, but not for gross outflows.     

经营活动、融资策略对银 行利润和风险的影响 ——基于我国商业银行的验证

2008年全球金融危机引发了对银行经营模式的思考。本文基于我国97家商业银行2005-2012年的面板数据，综合考虑了银行经营活动和融资策略之间的关联，并系统验证了两者分别对银行风险和利润的影响。结果发现非利息业务的开展与融资渠道的拓宽都未起到显著提升利润、分散风险的效果。这个结论虽然与发达国家的经验存在一定的差异，但是由于我国商业银行积极开展非利息业务的动机较弱，并且仍然高度依赖存款融资，因此符合我国目前的情况。     

What do capital inflows do? Dissecting the transmission mechanism for Thailand, 1980–1996

This paper examines the effects of private financial (non-FDI) capital inflows in Thailand in the pre-crisis period (1980:I–1996:IV). Private capital inflows are found to be associated with higher asset prices, lower lending rates, surges in bank lending and domestic spending driven by higher investment, higher output, modest inflation, and modest real exchange rate appreciation. Inflows are also associated with a greater vulnerability to a liquidity crisis, but not with greater external solvency risk. Current account deficits are temporary, thus sustainable, as exports catch up with higher imports within two years. Consequently, the Thai crisis appears to be more of a liquidity crisis than an external solvency crisis.     

房价波动、隐含担保与银行系统性风险*

银行对房地产行业的信贷优先倾向导致信贷投放向房地产业集中,房地产价格波动对金融系统性风险的影响日益突出。本文基于银行与房地产两部门或有权益资产负债表分析框架,从资产和负债两个方面研究房地产部门对银行的风险传导机制,构造银行对房地产部门的隐含担保比例作为度量风险传导强度的指标,运用TVP VAR方法刻画2002—2016年我国房价波动与房地产部门、银行系统性风险的动态演变路径。研究结果表明,我国房地产风险主要通过银行信贷从负债项进行风险传导,房地产部门风险对风险传导强度的影响存在明显的结构性突变,银行系统性风险存在非线性加速恶化特征。本文最后提出要稳定房价、拓宽房地产融资渠道、降低地方政府对土地财政依赖等建议。     

Performance of Thailand banks after the 1997 East Asian financial crisis

The performance of commercial banks and government-owned specialized banks in Thailand is estimated after the 1997 East Asian financial crisis. Commercial banks exhibit increasing returns to scale, whereas government-owned specialized banks exhibit decreasing returns to scale, implying further increases in bank size and market concentration in the commercial bank sector but not for government specialized banks. Cost inefficiency varies by bank and is a function of the ratio of nonperforming loans (NPLs) to total loans, equity to total assets and liquid assets to total assets, as well as the number of branches. On average, banks with fewer NPLs, that are well capitalized and with adequate liquidity are efficient. Thus, stricter rules to regulate credit risk management and ensure capital and liquidity adequacy would enhance efficiency in the banking sector. Although estimated input substitutability appears to be low, labour and loanable fund are substitutes. However, labour and physical capital as well as physical and loanable funds are complements in commercial banks. All the three inputs of labour, physical capital and loanable funds are substitutes for the government specialized banks.     

Do political factors influence banking crisis?

This paper investigates the impending political determinants of banking crisis in advanced economies. In particular, we consider the impact of domestic credit growth on the likelihood of banking crisis and analyse possible constraints on the part of the governments in curbing the unsustainable credit growth. The endogeneity corrected results reveal that the household credit growth has greater impact on the likelihood of banking crisis than the enterprise credit growth. The political channel shows that if governments are concerned about domestic approval rates, then there is a higher chance of credit boom, which in turn increases the prospect of banking crisis. Interestingly, the findings reveal that the presence of an independent and well-functioning central bank mitigates the crisis probability and reduces the opportunistic behaviour of governments.     

Why don't banks lend to Egypt's private sector?

Bank credit to Egypt's private sector decreased over the last decade, despite a recapitalized banking system and high rates of economic growth. Recent macro-economic turmoil has reinforced the trend. This paper explains the decrease based on credit supply and demand considerations by 1) presenting stylized facts regarding the evolution of the banks' sources and fund use in 2005 to 2011, noting two different cycles of external capital flows, and 2) estimating private credit supply and demand equations using quarterly data from 1998 to 2011. The system of simultaneous equations is estimated both assuming continuous market clearing and allowing for transitory price rigidity entailing market disequilibrium. The main results are robust to the market clearing assumption. During the global financial crisis, a significant capital outflow stalled bank deposit growth, which in turn affected the private sector's credit supply. At the same time, the banking sector increased credit to the government. Both factors reduced the private sector's credit supply during the period under study. After the trough of the global crisis, capital flowed back into Egypt and deposit growth stopped being a drag on the supply side, but bank credit to the government continued to drive the decrease in the private sector's credit supply. Beginning in the final quarter of 2010, capital flows reversed in tandem with global capital markets, and in January 2011 the popular uprising that ousted President Hosni Mubarak added an Egypt-specific shock that accentuated the outflow. Lending capacity dragged again, accounting for 10% of the estimated fall in private credit. Credit to the government continued to drain resources, accounting for 70–80% of the estimated total decline. Reduced economic activity contributed around 15% of the total fall in credit. The relative importance of these factors contrasts with that of the preceding capital inflow period, when credit to the government accounted for 54% of the estimated fall, while demand factors accounted for a similar percentage.