金融开放、银行顺周期反应与资本流动跨部门传导

Financial Openness,Pro-Cyclical Response of Banks and Cross-Sector Transmission of Capital Flows

金融开放背景下,银行对资本流动的顺周期反应是跨境资本冲击经济稳定重要的“引流器”。本文主要从银行中介参与的视角,重点研究了银行部门在国际资本跨部门传导中的作用,以及金融开放通过加速银行资产负债表顺周期反应而对经济稳定的潜在影响。通过构建一个嵌入国内银行和国际银行的DSGE模型并情景模拟发现:1)银行中介作用下,信贷类、投机类国际资本冲击的跨部门传导机制各异,但最终均会对国内信贷市场和金融投机市场产生连锁扰动;2)资本账户开放、汇率市场化等不同的金融开放形式通过作用于银行资产负债表的顺周期反应将进一步深化国际资本流动的跨部门传导;3)针对银行施加逆周期资本缓冲型宏观审慎能有效约束银行资产负债扩张,一定程度上是对传统资本管制的有效替代。本文研究为理解银行部门在金融开放影响经济稳定中的潜在作用提供了一种“金融加速器”层面的机制解释。

Under the background of financial opening up,banks'pro-cyclical response to capital flows is an important“drainage device”for cross-border capital impact on economic stability.This paper focuses on the role of the banking sector in the cross-sector transmission of international capital and the potential impact of financial liberalization on economic stability by accelerating the pro-cyclical response of bank balance sheet.Through the construction of a DSGE model embedded in domestic and international banks and scenario simulation,we find that:1)under the intermediary role of banks,the inter-sectoral transmission mechanisms of credit and speculative international capital shocks are different,but they will eventually produce chain disturbances to the domestic credit market and financial speculation market;2)Different forms of financial openness,such as capital account opening and exchange rate liberalization,will further deepen the inter-sectoral transmission of international capital flows through the pro-cyclical response on bank balance sheets;3)Applying countercyclical capital buffer macroprudential to banks can effectively constrain the expansion of banks'assets and liabilities,which is an effective alternative to traditional capital control to a certain extent.This study provides a mechanistic explanation at the“financial accelerator”level for understanding the potential role of the banking sector in the impact of financial openness on economic stability.