跨境资本流动是否影响银行贷款损失准备计提?

Does cross-border capital flow affect bank loan loss provision?

防范及化解跨境资本流动对银行业的冲击是守住不发生系统性风险底线的重中之重,也是实现中国经济高质量发展的重要保障.本文基于银行风险承担模型,构建了跨境资本流动与银行贷款损失准备计提的局部均衡模型,并选取2010–2020年中国163家商业银行年度数据,采用面板回归模型对跨境资本流动对银行贷款损失准备计提的影响及其作用机制进行实证分析.研究表明:1)跨境资本流动对银行贷款损失准备计提具有抑制作用.相对于国有银行与城农商行,跨境资本流动对股份制银行贷款损失准备计提的抑制力度更大.2)存贷比约束与信贷配给在跨境资本流动与银行贷款损失准备计提的关系中承担着双重中介作用,跨境资本流动主要通过加大存贷比约束及提高信贷配给规模渠道来抑制银行贷款损失准备计提,“跨境资本流动-存贷比约束/信贷配给-银行贷款损失准备计提”的传导渠道均有效.3)汇率政策不确定性与银行业景气度对两者关系均存在正向调节作用,汇率政策不确定性与银行业景气度的提高均会加剧跨境资本流动对贷款损失准备计提的抑制作用.4)针对跨境资本不同流向的研究发现,跨境资本流入规模加大会降低银行贷款损失准备计提水平,跨境资本流出规模加大会助推银行贷款损失准备计提水平,且跨境资本流入的影响效应占据着主导地位.该研究成果拓展了跨境资本流动经济后果及银行贷款损失准备计提影响因素的理论框架,进而为提升跨境资本监管效率及防控中国银行业信贷风险提供重要的理论指导与决策参考.

This paper conducts an empirical analysis on the impact of cross-border capital flow on bank loan loss provision and its mechanism based on annual data of 163 commercial banks in China from 2010 to 2020.The results show that:1)The increase in the scale of crossborder capital flow will ease the constraints on bank credit supply and encourage bank to prefer low-risk credit issuance,thus reducing the size of bank loan loss provision.Compared with stateowned banks and urban rural commercial banks,cross-border capital flow restrains bank loan loss provision of joint-equity banks more.2)The constraint of deposit-loan ratio and credit rationing play an intermediary role in relationship between cross-border capital flow and bank loan loss provision.Cross-border capital flow affect bank loan loss provision by influencing constraint of deposit-loan ratio and increasing credit rationing scale,which means that transmission channel of“cross-border capital flow-deposit-loan ratio constraints/credit rationing-loan loss provision”is effective.3)Both the uncertainty of exchange rate policy and the banking climate degree have a positive moderating effect on the relationship between cross-border capital flow and the provision for bank loan loss,and the increase of the uncertainty of exchange rate policy and the banking climate degree will intensify the inhibition effect of cross-border capital flow on the provision for bank loan loss.4)The research on different flows of cross-border capital finds that the increase of cross-border capital inflow will reduce the provision level of bank loan loss,while the increase of cross-border capital outflow will boost the provision level of bank loan loss,and the impact of cross-border capital inflow plays a dominant role.The results will provide theoretical guidance and decision-making reference for improving the efficiency of cross-border capital regulation and preventing and controlling credit risks in China’s banking industry.