银行“走出去”、跨国风险传导与宏观审慎政策——基于对“一带一路”国家投资的分析

Bank"Going Out",Cross-Border Risk Transmission and Macroprudential Policies:An Analysis Based on the Investment in Countries along the Belt and Road

银行“走出去”是当前中国推进金融高水平双向开放、共建“一带一路”高质量发展的关键所在,但同时使得中国面临跨境溢出效应的风险。本文使用结构向量自回归模型,实证检验了“一带一路”国家金融风险对中国的溢出效应,构建了一个包含银行部门和金融摩擦的两国开放经济模型,通过内生引入海外资产价值的变动以及银行对国内外资产的选择,刻画了海外金融风险通过影响资产价值和结构进行跨境传导的银行资产负债表渠道,并评估了针对银行杠杆和资产结构的两类宏观审慎政策的效果以及政策的跨国外溢效应。研究发现,银行“走出去”的福利效应呈现倒U型。反事实分析表明,银行“走出去”增加了中国与外部金融和经济周期的同步性,是输入风险的重要渠道。针对银行杠杆和银行资产结构的两类宏观审慎政策均能起到稳定金融和经济周期波动的作用,且二者协调配合能达到更优的福利水平。宏观审慎政策存在“以邻为壑”的现象,因此具备跨国政策协调的空间。本文为“一带一路”高质量发展背景下协调金融高水平双向开放与跨境金融风险防范提供了重要的政策启示。

China has continued to promote high-level two-way financial opening,with the opening up of the banking industry being an important part of financial opening.But the current opening up of China's banking industry is imbalanced with a higher development level of"bringing in"than that of"going out."In the context of the Belt and Road Initiative,the"going out"of China's banking industry has broad prospects.However,the acceleration of bank"going out"has made the financial system increasingly exposed to external risks,which threatens the stability of the economic and financial system.Therefore,it is of great theoretical and policy significance to systematically analyze the cross-border risk transmission channels and quantitatively assess the effectiveness of corresponding risk prevention measures.This paper first uses a structural vector autoregressive model with sign restrictions to identify external financial shocks,and empirically tests the spillover effect of financial risks in countries along the Belt and Road on China.Next,this paper develops a two-country dynamic stochastic general equilibrium model,including a banking sector and financial frictions.By introducing endogenous changes in the value of external assets and banks'choices between domestic and foreign assets,the model describes a bank balance sheet channel of cross-border transmission of external risks.Finally,we perform numerical simulations to quantitatively analyze benefits and costs of banks'""going out"and the effects of cross-border impact of financial risks,and evaluate the domestic influence of two types of macroprudential policies,one on bank leverage and the other on asset structure,as well as their spillover effects.This study finds that the welfare effect of banks'"going out"is an inverted U-shaped curve.Counterfactual analysis shows that banks'""going out"increases the synchronization between China and the global economy,which is an important channel for risk transmission.Both types of macroprudential policies for bank leverage and asset structure can stabilize financial and business cycles,and their coordination can achieve better welfare outcome.There is a"beggar-thy-neighbor"effect of these macroprudential policies,creating room for cross-border policy coordination.This paper provides important policy implications for coordinating financial opening and risk prevention against the background of the Belt and Road Initiative:balancing benefits and risks of financial opening,improving the macro-financial policy framework to be compatible with a financially open economy,and promoting international coordination of macroprudential policies.This paper enriches existing research on financial opening by focusing on banks'"going out",and it deepens the understanding of the effects of cross-border risk spillovers and macroprudential policies by incorporating an endogenous asset choice of banks,and considering macroprudential policies targeting two different dimensions of bank assets,as well as their coordination.