全球经济政策不确定性对新兴市场国家银行跨境资本流动的影响

The Impact of Global Economic Policy Uncertainty on Cross-Border Bank Capital Flows in Emerging Market

本文基于21个新兴市场国家2001—2020年季度数据,研究全球经济政策不确定性对新兴市场国家银行跨境资本流动的影响。研究发现:全球经济政策不确定性上升时,新兴市场国家银行跨境贷款总资本流入、总资本流出和净资本流入减少,银行跨境债券总资本流入减少。异质性检验结果表明:全球经济政策不确定性上升时,新兴市场国家银行持有外国净资产能缓解银行跨境总资本流入减少的程度,背负外国净负债会加剧银行跨境总资本流入减少的程度,并且前者的缓解效果远远小于后者的加剧效果。非银行金融机构为了管理外国风险暴露而与银行进行的衍生品交易也会改变银行跨境资本流动对全球经济政策不确定性的反应,非银行金融机构背负外国净负债会加剧银行跨境债券总资本流入减少的程度。

In the context of the increasingly complex global economic situation,banks′cross-border business and the resulting cross-border capital flows are inevitably affected by the uncertainty of global economic policies,which puts forward higher requirements for the monitoring and management of short-term cross-border capital flows.In view of this,this paper studies the impact of global economic policy uncertainty on cross-border bank capital flows in emerging market countries.Based on the quarterly data of 21 emerging market countries from 2001 to 2020,this paper studies the impact of global economic policy uncertainty on cross-border bank capital flows of emerging market countries.The results show that when the global economic policy uncertainty rises,the cross-border bank loan gross inflow,gross outflow and net inflow of emerging market countries all decrease,together with the reduction of cross-border bank debt security gross inflow.The heterogeneity test shows that when the global economic policy uncertainty increases:firstly,the holding of net foreign assets by banks in emerging market countries can alleviate the reduction of the bank loan gross inflow,while carrying net foreign liabilities can exacerbate the reduction of the bank loan gross inflow,with the effect of the former much less than that of the latter.Secondly,the nonbank financial institutions engage in derivatives transactions with banks to manage foreign exposures,thereby changing the response of banks′cross-border capital flows to global economic policy uncertainty.Specifically,in emerging market countries,non-bank financial institutions that have net foreign liabilities experience a decrease in cross-border bank debt security gross inflow,which is exacerbated by the increase in the net foreign liabilities.Changes in global economic policy uncertainty will have a significant impact on the cross-border capital flows of banks in emerging market countries,and the accumulation of foreign debts by banks and non-bank financial institutions will exacerbate the reduction in cross-border bank capital inflows of emerging market countries when global economic policy uncertainty rises.Policymakers need to be aware of this risk and improve their macroprudential framework for short-term cross-border capital flow management.