国际资本流动对银行风险承担的影响研究——来自中国上市银行的经验证据

Study on Impact of International Capital Flows on Commercial Banks Risk-taking:Evidence from China's Listed Commercial Banks

选取2010—2022年中国42家上市商业银行的微观数据,构建固定效应面板模型、广义矩估计GMM模型实证分析了国际资本流动对银行风险承担的影响机制,实证研究表明:(1)国际资本流动增加了商业银行的风险承担。相比于大型银行,国际资本流动对中小银行风险承担的影响更为显著。(2)国际资本流动的不同方向和结构对商业银行风险的影响存在异质性特征。国际资本流入和流出分别对银行存贷比例和不良贷款率为正向显著影响。国际资本流动的直接投资会抑制银行的信用风险,而证券投资提升了银行流动风险。(3)国际金融恐慌加剧了国际资本对银行流动风险的推动作用,为防范国际资本流动风险、维护金融系统稳定提供经验证据和政策参考。

This paper selects the micro data of 42 listed commercial banks in China from 2010 to 2022,constructs fixed effects panel models and GMM models to empirically analyze the influence mechanism of international capital flows on commercial banks risk-taking,and the empirical study shows that:(1) The international capital flows make a significant contribution to banks' risk-taking.Compared with large banks,the impact of international capital flows on the risk-taking of small and medium-sized banks is more significant.(2) Heterogeneity characterizes the risk-taking of banks by different directions and structures of international capital flows.International capital inflows and outflows have positive and significant effects on the loan-deposit ratio and non-performing loan ratio of banks,respectively;direct investment in international capital flows will suppress bank credit risk,while portfolio investment will increase bank liquidity risk.(3) The international financial panic intensifies the driving effect of international capital on bank liquidity risk.The study provides empirical evidence and policy reference for preventing capital flow risk and maintaining financial system stability.