跨境资本周期性波动对中国银行部门的风险溢出机制分析

Cyclical Fluctuation of Cross-Border Capital Flows and Risk Spillover Effects on the Chinese Banking Sector

本文从周期角度出发,构建结构模型和双重△CoVaR模型,探究跨境负债和资产的扩张或收缩对银行部门的风险溢出机制。结果显示:第一,跨境资本周期性波动对银行部门具有显著的风险溢出效应,跨境负债波动的溢出效应强于跨境资产。第二,跨境资本周期性波动通过影响中小银行风险承担和风险实现以及大型银行的风险放大作用影响银行部门。特别地,股份制银行在受冲击和风险放大方面均具有重要作用。第三,跨境资本扩张带来的风险承担会显著提高未来银行业系统性风险实现水平。本文为提高跨境资本管理质量提供了科学依据。

A substantial expansion of cross-border liabilities and assets improves the risk-taking of the banking sector, while its sharp contraction intensifies the systemic banking risk realisation.Therefore, a cyclical shift in cross-border capital aggravates the risk fluctuations of banking institutions.Based on cyclical fluctuations in cross-border capital, this paper uses a structural model and a dual △CoVaR model to explore the risk spillover effect and the transmission channel of cross-border capital volatility affecting the banking sector.The results show that:(1) Overall, cross-border capital cyclical volatility has a significant risk spillover effect on the banking sector, and the volatility spillover effect of cross-border liabilities is stronger than that of cross-border assets.(2) With regard to transmission channels, cyclical cross-border capital fluctuations affect the banking sector by influencing the risk-taking and risk realisation of small and medium-sized banks, as well as risk transmission amplification by large banks.In particular, joint-stock banks play a significant role in amplifying impact and risk and these are the focus of attention.(3) In terms of future prospects, the risk-taking created by cross-border capital expansion will significantly improve the realisation level of systemic banking risk.(4) With respect to endogenous analysis, there is an interaction mechanism between systemic banking risk-taking and risk realisation, but the conclusions of this work remain robust.This paper provides a scientific basis for China to improve the quality of cross-border capital management.