经济政策不确定性对跨境银行资本流出的影响

The Impact of Economic Policy Uncertainty on Cross-border Bank Capital Outflows

本文基于1998-2017年17个报告国对75个交易对手国的银行跨境债权季度数据,研究报告国经济政策不确定性对其跨境银行资本流出的影响。研究发现:当报告国经济政策不确定性程度上升时,跨境银行资本流出减少,报告国的高利率环境或货币对美元贬值会强化这一效应;经济政策不确定性程度较高时,影响资本流出的主要因素从利率转变为汇率;同时,经济政策不确定性程度上升还会使跨境银行将债权资产配置从国内债权向跨境债权转移,这种资产配置效应在报告国经济繁荣、货币对美元贬值、主权风险较低或跨境债权质量相对较高时更显著。为维持跨境银行资本有序流动,政府应保持经济政策的稳定性,同时采取相关配套措施。

This paper employs cross-border banking claims quarterly data from 17 reporting countries concerning 75 counterparty countries between 1998 and 2017 to study the effect of reporting countries economic policy uncertainty on the cross-border claims made by cross-border banks from these countries.The results indicate that when the degree of economic policy uncertainty in the reporting country increases,cross-border bank capital outflows decrease and the environment of the reporting country s high interest rates or the depreciation of its currency against the US dollar strengthens this effect.When the degree of economic policy uncertainty rises to a higher level,other major variables affecting capital outflows change from interest rates to exchange rates.Meanwhile,cross-border banks reallocate their loan assets from domestic to cross-border claims,and this effect is more significant when the reporting country s economy is booming,its currency depreciates against the US dollar,sovereign risk is lower,or the quality of cross-border claims is relatively higher.The policy implications of this paper involve keeping economic policies stable and taking some relevant support measures to ensure orderly cross-border bank capital flow.