资本流入激增与系统性金融风险——基于△CoVaR方法的实证分析

Research on the Surge of Capital Inflow and Systemic Risk——Empirical Analysis Based on CoVaR Method

资本流入激增在历次金融危机中都扮演着重要角色。本文以全球32个国家2268家金融机构的非平衡面板数据为样本,实证分析了跨境资本流入激增与系统性金融风险之间的关系。研究结果表明:跨境资本流入激增显著提高了系统性金融风险,且短期股权资本和银行资本流入激增是引发系统性金融风险的主要渠道。微观金融机构的高杠杆率提高了资本流入激增时系统性金融风险水平,宏观审慎政策可以有效调控资本流入激增的系统性金融风险。进一步地,本文揭示了资本流入激增引发系统性金融风险的两个中间传递渠道——股市价格和房地产价格。本文的基础回归结果在进行一系列稳健性检验后依然成立。本文研究结论从“微观监管和宏观审慎监管”的角度,为抑制外部输入型金融风险提供了政策参考。

International capital flows have been a significant factor in the development of the world economy,contributing to domestic economic growth and enhancing social welfare.However,the irregular fluctuation of cross-border capital flows also poses considerable risks to a country's economic development and financial system.Historically,the scale of cross-border capital flows had increased annually before a financial crisis and experienced repeated fluctuations after a crisis with substantial reduction.Uncontrolled surges in capital inflows can lead to a crisis.Based on the unbalanced panel data of 32 countries and 2268 micro-financial institutions from January 2004 to October 2019,this paper empirically analyzes the relationship between surging cross-border capital inflows and systemic financial risks using the panel fixed effect model.The results show a significant positive correlation between the surge of capital inflow and systemic financial risk,with equity investment and bank investment inflow being the primary drivers of increased risks.The impact of the rise of capital inflow on systemic financial risk largely depends on the leverage ratio of financial enterprises,with a higher leverage ratio leading to greater systemic risk.Macroprudential policies can significantly reduce systemic financial risk during the surge of capital inflow.This paper also finds that the surge of capital inflow increases systemic financial risks,mainly through the stock market and real estate prices.In the context of high-level openness,it's crucial to guard against and mitigate imported financial risks by taking the following measures.Firstly,establish a risk management system for cross-border capital flows commensurate with the level of openness of the capital market,with indicators to monitor abnormal fluctuations of cross-border capital flows.Meanwhile,efforts should be made to increase monitoring and early warning of cross-border flows and short-term speculative capital.Secondly,focus on supervising the leverage ratio of large financial institutions and those with low solvency ratios.Thirdly,the country should adopt counter-cyclical and cross-cyclical macroprudential policies to enhance policy tools and pay special attention to international policy coordination.