跨境资本流动的国际风险承担渠道效应

International Risk-taking Channel of Capital Flow

新近诸多实证研究表明,一国货币持续升值往往促使国内风险信贷激增,并可能引发金融危机,该现象可称为跨境资本的国际风险承担渠道效应。本文以一个开放型理性预期均衡框架为基础,构建了跨境资本与金融风险的内生性关系,剖析并分离了跨境资本流动的国际风险承担渠道效应,从而为上述实证结论提供了理论支撑。基于中国近年来的经济参数特征,本文通过动态模拟发现:(1)跨境资本流入可导致金融中介的道德风险上升,风险偏好增加,金融加总风险被推升,实体部门借贷利率提高,金融系统杠杆增加;(2)资产边际风险增加促使中介风险选择趋于保守,资产价格骤降,跨境资本流出,金融系统被动去杠杆。通过分离跨境资本流动与内生性风险变动所产生的风险承担渠道效应,本文进一步发现金融加总风险水平越高,跨境资本流动造成的风险承担效应越剧烈。当风险水平高过某一特定值时,本币的升值趋势反而将可能导致跨境资本净流出,造成跨境资本行为反转,加速金融收缩。上述结论与2015年A股大幅波动时的宏观现象相仿,意味着本文从宏观视角为此次股市事件提供了一类理论解释。

Studies have shown that the behaviors,financial risks,and capital flows of China’s intermediaries were connected to the fluctuation in A-share prices in 2015.This study examines the international risk-taking channel of capital flow in an open economy DSGE framework that considers endogenous financial risk to macroscopically explain the history of A-shares in 2015.This theoretical analysis will help to prevent and control future financial risks.Previous studies,specifically those of banking risk-taking theories,show that intermediaries lending and risk choices become aggressive at the onset of interest rate declines,pushing up the aggregate financial risks and potentially triggering a crisis(Borio&Zhu,2008;Jiménez et al.,2014;Dell'Ariccia et al.,2014).The traditional theories,however,are handicapped by the assumption of a closed economy,so that the influences of international capital flow on financial behaviors cannot be properly assessed.This has led to many current studies of the risk-taking channel in open economies.Building on Miranda-Agrippino&Rey(2015),Bruno&Shin(2015)examine the relationship between intermediaries behaviors,financial risks,and capital flows;their results suggest that the level of banking leverage and financial risks can be stimulated by the appreciation expectation.This has been called the“international risk-taking channel.”Unlike traditional theories,Bruno&Shin s theory(2015)underlines the fact that intermediaries risk sensitiveness can be changed by the flow of overseas capital;however,there is no theoretical analysis of this effect.One of the contributions of this study is to create a theoretical framework for the study of the“international risk-taking channel,”along with the characterization of the aforementioned macroeconomic phenomenon.Extending Gertler&Karadi(2011),we develop a medium-sized DSGE model to facilitate theoretical analysis and dynamic simulations.Three board conclusions emerge.First,the appreciation expectation,by increasing capital inflow,boosts asset prices and lowers interest rates,which further pushes up the non-financial sector s lending rate and intermediaries spread and leverage level.Second,given an assets shock,a marginal increase of assets risk lowers the fund s moral hazard and its risk choice,along with banking deleveraging and spread turbulence;hence,asset prices drop and capital outflow increases.Third,a change in marginal risk is dominant in the international risk-taking channel given the high level of endogenous financial risks;the appreciation expectation induces capital outflow,thus aggravating financial crunches,only when the financial risks exceed some certain level.Accordingly,the explanation of the 2015 A-shares fluctuation is straightforward.From September 2015 to the middle of November 2015,due to the improvement in intermediate pricing on the RMB exchange rate,capital outflow dominated due to the persistence of financial deleveraging and the potential stock market risks,notwithstanding the appreciation of the RMB against the US dollar.Similarly,in the first quarter of 2016,overseas capital outflow dominated due to the renewed stock market fluctuations in January;however,the RMB exchange rate appreciated in a narrow range.The implications of these conclusions for the stabilization of the international risk-taking channel effect can be summarized as follows.(1)Regulators should quantify financial risks by improving risks management and assessment with a rigorous audit procedure,under which the intermediaries behavior can be further guided.(2)A good financial stabilization policy not only eliminates volatility,it also guarantees financial institutions ability to provide better services to the real economy.Therefore,regulators should restrain financial over-innovation by directing capital to the priorities and weaknesses of the real economy,promoting China’s economic structure reform.