国际资本流入对银行风险承担的结构性影响——基于银行复合异质性视角

The Structural Impact of International Capital Inflows on Bank Risk-taking: Based on the Perspective of Composite Heterogeneity of Banks

国际资本流入对不同类型银行风险承担的影响存在差别,把握其基本规律的基础工作是对银行异质性的主要变量进行复合分类,然后从复合异质性视角深入探讨国际资本流入对银行风险承担的结构性影响。笔者选取2011-2017年全球43个国家中的458家具有代表性的银行为研究样本,构建了多门槛面板回归模型,并在该模型中逐个加入资本金比率、银行规模和盈利性三个门槛变量,在依次获得每个变量门槛值的基础上进行三阶段嵌套内生性分组,据此研究不同复合异质性情景下银行的风险承担行为对国际资本流入的敏感性。实证研究表明,国际资本流入对银行风险承担的影响方向和程度存在差异:高资本金比率的银行,国际资本流入会提高其风险承担水平;中等资本金比率的小型银行,国际资本流入对其风险承担的影响存在盈利性门槛效应,即提高盈利水平低的银行的风险承担水平;低资本金比率的银行,国际资本流入对其风险承担的影响存在规模门槛效应,即提高大型银行的风险承担水平。主要结论的政策意义是:在较高资本金比率情况下,资本流入风险监管的重点是盈利低的银行;在低资本金比率的情况下,资本流入风险监管的重点是大型银行。

The impact of international capital inflows on different types of bank’s risk-taking is different.The basic work to grasp its objective law is to classify the heterogeneous variables of banks in a composite way,and then to study the structural impact of international capital inflows on bank’s risk-taking from the perspective of composite heterogeneity of banks.This paper selected 458 representative banks from 43 countries in the world from 2011 to 2017 as research samples to construct a multi-threshold panel regression model.In the model,the three threshold variables,namely capital ratio,scale and profitability were added one by one;on the basis of obtaining the threshold values of each variable in turn,three-stage nested endogenous grouping to study the sensitivity of risk-taking behavior of banks to international capital inflows under composite heterogeneity variables was carried out.Empirical research shows the impact of international capital inflows on bank risk-taking with different direction and degree:for banks with high capital ratios,international capital inflow will increase their risk-taking level;for small banks with medium capital ratio,the impact of international capital inflows on their risk-taking has profitability threshold effect,that is,to increase the risk-taking level of banks with low profitability;for banks with low capital ratio,the impact of international capital inflows on bank’s risk-taking has scale threshold effect,that is,to increase the risk-taking level of banks with large scale.The policy implications as follows:in the cases of higher capital ratios,the regulatory focus of capital inflow risk is low-profitable banks,while in the case of low capital ratios,is large banks.