短期跨境资本流动、货币政策和商业银行系统性风险——来自中国上市银行的经验证据

Short-termCross-border Capital,Monetary Policy and Commercial Bank Systemic Risk-An Evidence Based on Listed Commercial Banks in Shanghaiand Shenzhen Stock Markets

文章选取中国沪深股市16家主要上市商业银行的数据,构建我国商业银行系统性风险指标体系来衡量商业银行系统性风险,并引入广义货币增长率以及定期存贷款利率代表货币政策宽松程度,分析短期跨境资本流动对商业银行系统性风险的影响。研究发现:短期跨境资本的频繁流动提高了商业银行系统性风险,并且货币政策宽松程度对短期跨境资本流动和商业银行系统性风险有调节作用。根据实证结果,文章在制度保障和国际合作等方面给出了建议。

Based on the data of 16 major listed commercial banks in the Shanghai and Shenzhen stock markets, we measured the systemic risk of commercial banks by constructing a systematic risk indicator system of commercial banks in China, and introduced broad money growth rate, deposit and loan interest rate to measure loose degree of monetary policy. The paper analyzes the impact of Short-term Cross-border Capital on the systemic risk of commercial banks. The research results show that frequent short-term cross-border capital flows increase the systemic risk of commercial banks, and monetary policy process strengthen this effect. Finally, the paper proposes policy reference from the aspect of cooperation of global harmony regulation.