跨境资本流动会加大金融波动吗?

日益活跃的跨境资本流动与金融波动的关系备受学术界关注,"国际风险承担渠道效应"的提出使人们开始重视金融中介在其中发挥的重要作用。本文基于全球79个国家1996-2017年的面板数据,采用系统GMM估计方法,考察了跨境资本流动对金融波动的影响,以及"国际风险承担渠道效应"存在与否。研究结果表明:大规模的跨境资本流动会增大金融体系脆弱性,加剧金融波动,对一国金融稳定造成强有力的威胁;跨境资本巨额的流出与流入均无助于金融稳定;跨境资本流动会通过影响金融中介的风险感知来改变其风险承担行为,最终会进一步放大跨境资本流动对金融稳定的负向作用,即存在"国际风险承担渠道效应"。因此,中国应坚持完善跨境资本流动管理体系与健全宏观审慎监管框架,严守资本充足率这一重要风险防线,加强对跨境资本和金融中介行为的监管,维护金融稳定。

Will Cross-Border Capital Flows Increase Financial Volatility?

The increasingly active cross-border capital flows and financial fluctuations have always attracted much attention in the academic circle. The proposal of the international risk-taking channel effect makes people begin to pay attention to the important role played by financial intermediaries. The purpose of this paper is to examine the relationship between cross-border capital flows and financial volatility, and to test whether the international risk-taking channel effect exists.By referring to relevant literature, this paper constructs a benchmark model to test the relationship between cross-border capital flows and financial volatility, and uses systematic GMM estimation method to empirically analyze the panel data of 79 countries in the world from 1996 to 2017, so as to investigate the impact of cross-border capital flows on financial volatility.Furthermore, this paper tests the existence of the effect of international risk-taking channel by introducing product terms into the benchmark model. The results show that large-scale cross-border capital flows will increase the vulnerability of the financial system, aggravate financial volatility, and pose a strong threat to a country’s financial stability. And the huge outflow and inflow of cross-border capital do not contribute to financial stability. And, cross-border capital flows will change the risk-taking behavior of financial intermediaries by affecting the risk perception, and ultimately further magnify the negative effect of cross-border capital flows on financial stability, namely, there is the international risk-taking channel effect in cross-border capital flows.Therefore, this paper puts forward the following suggestions: China should adhere to improving the cross-border capital flow management system and the macro-prudential regulatory framework, construct a monitoring and warning system in crossborder capital flows quickly;strictly abide by the capital adequacy ratio as an important risk defense line, be vigilant against the deterioration of non-performing loan rate, strengthen the monitoring and management of cross-border capital and financial intermediary behaviors;promote the openness and transparency of financial market information.