宏观审慎政策协调能否抑制国际性银行危机传染?——基于跨境金融关联视角的实证研究

Can Macro-prudential Policy Coordination Restrain the Contagion of International Banking Crises? An Empirical Study based on the Perspective of Cross-border Financial Linkages

本文基于跨境金融关联视角对宏观审慎政策能否抑制国际性银行危机传染这一重要的理论与实践问题进行了实证研究。选取亚洲金融危机和全球金融危机时期遭受冲击的10个代表性国家作为样本,构建Logit模型和多元回归模型探讨本国及具有金融关联的国家协调实施宏观审慎政策对本国系统性银行危机传染的影响。研究表明,具有金融关联的国家出现金融危机会显著增加本国系统性银行危机的发生概率,具有金融关联的国家实施宏观审慎政策对本国信贷的影响比对房价的影响更明显,本国及具有金融关联的国家协调实施宏观审慎政策会显著降低本国系统性银行危机的发生概率。在调整银行危机指标及考虑贸易关联和流动性风险的影响后,研究结果依然保持稳健。本文的研究结论揭示了加强宏观审慎政策协调有助于维护全球金融稳定,对于中国政策当局强化宏观审慎管理具有极其重要的政策含义。

The coordination of macro-prudential policies that were introduced and developed rapidly after the global financial crisis in 2008 has attracted much attention. Financial relevance and interaction among countries has increased, the cross-border transmission of financial risks is becoming easier and more convenient, and the spillover effect of international economic policies is also increasing. Macro-prudential policy coordination can help countries reduce global systemic financial risks and strengthen global macro-prudential management. Moreover, international studies point out that the coordination of macro-prudential policies does help to improve the effectiveness of a country’s macro-prudential policies(BIS, 2018). In previous financial crises, systemic banking problems typically began with the excessive expansion of credit in the financial system and the rapid rise of real estate prices. In banking crises, systemic contagion typically emerges through single or multiple countries causing cross-border financial connections to be significantly strengthened, as the frequency resonance characteristics of asset prices or capital flows during a financial crisis are more significant than in normal periods(IMF, 2018).The consensus is that cross-border financial linkages aggravate the contagion of systemic banking crises, but whether the coordination of macro-prudential policies among countries with financial linkages can reduce the probability of such crises has not been fully examined. Various studies suggest that macro-prudential policies should be included in the scope of international coordination, and that macro-prudential policy coordination can effectively manage domestic and foreign economic shocks(Zhang and Zhao, 2020), but little empirical research has been conducted. Thus, we focus on the cross-border credit level to examine financial connections, and demonstrate that systemic banking crises in major lending countries will affect domestic banking systems through credit, investment, and other channels. We then discuss the impact of macro-prudential policy coordination on the spread of international banking crises.We select 10 representative countries that suffered from the effects of the Asian and the global financial crises as samples, and construct a logit model and a multiple regression model to explore the impact of the coordinated implementation of macro-prudential policies both nationally and with financially related countries on the contagion of domestic systemic banking crises. The results show that the occurrence of a crisis in financially related countries will significantly increase the probability of a national systemic banking crisis, and the impact of macro-prudential policies implemented by financially related countries on domestic credit is more obvious than the impact on house prices. The coordinated implementation of such policies will significantly reduce the possibility of national systemic banking crises. Thus, improving the coordination of macro-prudential policies is conducive to maintaining global financial stability, which has important consequences for Chinese authorities devising policies aimed at strengthening macro-prudential management.Our study makes three academic contributions. First, we propose the theory of "macro-prudential policy coordination," and find that such coordination can help to curb the contagion of international banking crises. Second, we contribute to the literature on financial crisis contagion. Based on the perspective of cross-border financial linkage, we extend the basic functions of macro-prudential policies to the cross-border financial context. By examining the cross-border contagion mechanism of systemic banking crises and the impact of the international coordination of macro-prudential policies on crisis contagion, we increase the understanding of financial crisis contagion and financial crisis governance in an open environment.