资本账户开放会提高商业银行系统性风险吗?——基于短期跨境资本流动的中介效应研究

Will Capital Account Opening Increase the Systemic Risk of Commercial Banks?——Research on the Mediating Effect Based on Short-term Cross-border Capital Flows

在资本账户开放程度越来越高的形势下,其对经济发展的影响举足轻重。使用我国沪深股市16家主要上市商业银行数据,构建我国商业银行系统性风险指标,检验资本账户开放、商业银行系统性风险以及短期跨境资本流动的相关性,研究发现:我国资本账户开放对商业银行系统性风险有正向作用,即资本账户开放程度越高,商业银行系统性风险越高。另外,短期跨境资本流动在资本账户开放对商业银行系统性风险的影响中发挥中介机制的作用,资本账户开放带来的大量的跨境资本流动加剧了商业银行系统性风险。对此,我国应该循序渐进地推进资本账户开放,并审慎地管理短期跨境资本流动。

As the capital account is increasingly liberalized,its impact on economic development is crucial.Using the data of 16 major listed commercial banks in Shanghai and Shenzhen stock markets,we construct systemic risk indicators for China’s commercial banks,and test the relevance of capital account opening,commercial bank systemic risks and short-term cross-border capital flows.The study found that China’s capital account opening has a positive effect on the systemic risks of commercial banks,that is,the higher the degree of capital account opening,the higher the systemic risks of commercial banks.In addition,short-term cross-border capital flows play an intermediary mechanism in the impact of capital account opening on the systemic risks of commercial banks.The large number of cross-border capital flows brought about by capital account opening has exacerbated the systemic risks of commercial banks.Based on this,this article suggests that China should gradually promote capital account opening and prudently manage short-term cross-border capital flows.