短期跨境资本流动、汇率波动与银行风险承担——基于资产价格与流动性错配的中介效应

Short-term Cross-border Capital Flows, Exchange Rate Fluctuations and Bank Risktaking——Based on the Mediating Role of Asset Price and Liquidity Mismatch

银行风险承担是影响金融稳定的重要因素之一,目前短期跨境资本流动如何影响我国银行风险承担还有待进一步研究。本文基于银行主动风险承担与被动风险承担的双重视角,选取2007年三季度—2020年四季度中国37家上市商业银行非平衡面板季度数据,来实证分析短期跨境资本流动对银行风险承担的影响及其作用机制。实证结果表明:短期跨境资本流动增加了银行主动风险承担与被动风险承担;短期跨境资本流动对三种类型银行的主、被动风险承担的影响程度由大到小分别为:股份制银行、国有银行、城/农商行;资产价格和流动性错配具有部分中介效应;汇率波动对资产价格、流动性错配的中介效应具有正向调节作用。

Bank risk-taking is one of important factors affecting financial stability.However,how short-term crossborder capital flows affect the risk taking of Chinese banks remains to be fully discussed.Based on the dual perspectives of active and passive risk taking of banks,this paper selects unbalanced quarterly panel data of 37 Chinese listed commercial banks from Q32007 to Q42020 to conduct empirical analysis on the impact of short-term cross-border capital flows on bank risk-taking and its mechanism.The results show that short-term cross-border capital flows increase banks’active and passive risk-taking.The influence of short-term cross-border capital flows on the active and passive risk taking of the three types of banks is from large to small:joint-stock banks,state-owned banks,urban and rural commercial banks.Asset prices and liquidity mismatch have partially mediated the impact of short-term cross-border capital flows on banks’active and passive risk-taking.Exchange rate fluctuations and short-term cross-border capital flows not only synergistically exert a positive influence on asset price and liquidity mismatch,but also positively regulate the mediating effect of asset price and liquidity mismatch.