本币升值冲击与银行业危机——基于货币错配视角的中国经验

RMB Appreciation and Banking Crisis: Perspective from Currency Mismatch

本文通过资产负债表分析框架构建了本币升值通过银行的资产负债表渠道引起银行危机的模型。结论认为本币升值与银行及其客户存在相当多的净外币资产型货币错配的情况下,如果本币升值幅度很大,则可能引起银行部门的危机。实证检验表明在人民币升值背景下我国商业银行因债权型货币错配造成的净值损失与银行无清偿能力风险指数呈正相关关系,这表明货币错配风险对我国商业银行的稳定性有不利影响。

This paper establishes a model of currency appreciation and banking crisis by annlyzing bank balance sheet. It is concluded that under the circumstance of home currency appreciation and the banking and its customers holding considerable net foreign currency assets, currency mismatches may cause the banking crisis with home currency appreciation. Empirical test indicates that currency mis- match and insolvency index of commercial banks have positive correlation, which indicates that currency mismatch has the negative in- fluence on the stability of Chinese commercial banks.