经济政策不确定性、金融发展与双边跨境银行资本流动

Economic Policy Uncertainty, Financial Development and Bilateral Cross-Border Banking Capital Flows

本文选取1985年第一季度至2018年第四季度的双边跨境银行信贷数据,考察包含18个报告国和191个接受国金融发展水平对经济政策不确定性冲击下双边跨境银行资本流动的影响。基于多维固定效应模型研究发现:报告国经济政策不确定性上升会导致双边跨境银行资本外流减少,即发生银行信贷撤回现象;报告国金融发展水平越高,其跨境银行资本外流越少;报告国和接受国的金融发展水平对经济政策不确定性冲击下双边跨境银行资本流动变动的影响存在差异,报告国金融发展水平提升能缓解经济政策不确定性冲击时其跨境银行资本撤回,金融发展水平较高的接受国为经济政策不确定性冲击下跨境银行资本撤回提供更多的银行信贷。本文的政策启示在于,各国央行在制定跨境资本流动管理的宏观审慎政策时不仅需要实施跨周期宏观调控,而且需要考虑报告国与接受国的金融发展因素,实施差异化的双边跨境银行资本流动管理措施。

After the outbreak of the global financial crisis, economic policy uncertainty(EPU) has risen sharply, resulting in large fluctuations in cross-border capital flows. Financial development can alleviate financing constraints, and thus have an impact on the volatility of capital flows. The purpose of this paper is to examine the impact of the financial development level of the reporting country and the recipient country on cross-border banking capital flows under EPU shock.This paper proposes three hypotheses theoretically, and empirically tests them using bilateral cross-border banking capital flows data of 18 reporting countries and 191 recipient countries during the period from 1985Q1 to 2018Q4. Based on the multi-dimensional fixed effects model, the empirical test results show the following findings. Firstly, rising EPU in the reporting country will lead to a decrease in bilateral cross-border banking outflows. That is, international bank will retrench credit when the EPU in the reporting country rises. Secondly,the higher the financial development level of the reporting country, the lower the cross-border bank capital outflow, consistent with the prediction of Von & Zhang(2014) ’s theoretical overlapping-generations model. Thirdly, the financial development level of the reporting country and the recipient country has heterogenous effects on the changes of cross-border banking flows under the impact of EPU: the rise of financial development level of the reporting country can mitigate the retrenchment of cross-border bank capital under EPU shock, whereas recipient countries with higher financial development provide more bank credit for the retrenchment of cross-border bank capital under EPU shock. That means countries affected by EPU shock retrench loans mainly from financially advanced countries.The empirical findings have three policy implications. Firstly, developing countries should take the initiative to improve their overall financial development level. Secondly, the central bank needs to monitor extreme capital flows resulting from economic policy uncertainty shocks. Thirdly, macroprudential policies need to implement differentiated management measures to manage bilateral cross-border bank capital flow, taking into account financial development factors in reporting and recipient countries.