利率市场化、外汇市场波动和商业银行系统性风险
|
摘要
基于利率市场化改革、人民币汇率双向波动和短期跨境资本流动频繁等经济背景,通过构建SVAR模型分析发现,利率市场化和汇率波动间的双向冲击效应显著,即利率市场化进程加快,人民币贬值,而人民币贬值及贬值预期会减慢利率市场化进程;利率市场化、汇率波动和短期跨境资本流动间的相互冲击短期内有效,中长期影响并不显著。此外,利率市场化短期内减小了商业银行系统性风险,中长期却增加了商业银行系统性风险;人民币贬值增大了商业影响系统性风险;短期跨境资本流入增加了商业银行系统性风险,但具有滞后性。
Based on the economic background of interest rate marketization reform,two-way volatility of RMB exchange rate and frequent short-term cross-border capital flows,the SVAR model analysis shows that the two-way impact effect between interest rate marketization and exchange rate volatility is significant,that is,the interest rate marketization process is accelerated and the RMB depreciates,and the depreciation and depreciation of the RMB are expected to slow down the interest rate marketization process.The mutual impact of interest rate liberalization,exchange rate volatility and short-term cross-border capital flows is effective in the short term,and the medium and long term impact is not significant.In addition,interest rate liberalization reduces the systemic risk of commercial banks in the short term,but increases the systemic risk of commercial banks in the medium and long term;the depreciation of the RMB increases the systemic risk of commercial impact; the short-term cross-border capital inflow increases the systemic risk of commercial banks,but it has hysteresis.
Based on the economic background of interest rate marketization reform,two-way volatility of RMB exchange rate and frequent short-term cross-border capital flows,the SVAR model analysis shows that the two-way impact effect between interest rate marketization and exchange rate volatility is significant,that is,the interest rate marketization process is accelerated and the RMB depreciates,and the depreciation and depreciation of the RMB are expected to slow down the interest rate marketization process.The mutual impact of interest rate liberalization,exchange rate volatility and short-term cross-border capital flows is effective in the short term,and the medium and long term impact is not significant.In addition,interest rate liberalization reduces the systemic risk of commercial banks in the short term,but increases the systemic risk of commercial banks in the medium and long term;the depreciation of the RMB increases the systemic risk of commercial impact; the short-term cross-border capital inflow increases the systemic risk of commercial banks,but it has hysteresis.
引文
[1]黄金老.利率市场化与商业银行风险控制[J].经济研究,2001,(1):19-28+94.
[2]Peel D,Taylor M P.Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture[J].Journal of Money,Credit,and Banking,2002,34(1):51-75.
[3]Lipschitz L,Mourmouras A,Lane T D.Capital Flows to Transition Economies;Master or Servant?[J].Social Science Electronic Publishing,2006,2(11):202-222.
[4]Li M,Zhou X.Research on the Interaction among Interest rate,Exchange Rate Fluctuations and Capital Market[J].Wseas Transactions on Information Science & Applications,2009,6(1):106-115.
[5]Combes J L,Kinda T,Plane P.Capital Flows,Exchange Rate Flexibility,and the Real Exchange Rate[J].Journal of Macroeconomics,2012,34(4):1034-1043.
[6]Bruno V,Shin H S.Capital Flows and the Risk-taking Channel of Monetary Policy[J].Journal of Monetary Economics,2015,71:119-132.
[7]Gudmundsson G S,Gylfi Z .A Double-Edged Sword:High Interest Rates in Capital Control Regimes[J].Economics:The Open-Access,Open-Assessment E-Journal,2016.
[8]Gong P,Dai J.Monetary Policy,Exchange Rate Fluctuation,and Herding Behavior in the Stock Market[J].Journal of Business Research,2017,76:34-43.
[9]王世华,何帆.中国的短期国际资本流动:现状、流动途径和影响因素[J].世界经济,2007,(7):12-19.
[10]吕光明,徐曼.中国的短期国际资本流动——基于月度VAR模型的三重动因解析[J].国际金融研究,2012,(4):61-68.
[11]牛晓健,钱旭.中国的短期国际资本流动是“推力”还是“拉力”?——基于人民币汇改以来的规模测算与实证分析[J].经济问题探索,2014,(9):107-111+159.
[12]朱孟楠,刘林.短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究[J].财贸经济,2010,(5):5-13+135.
[13]林乐芬,应玮瑄.汇率市场化进程中短期国际资本流动影响因素实证分析[J].四川大学学报:哲学社会科学版,2014,(4):125-132.
[14]杨子晖,陈创练.金融深化条件下的跨境资本流动效应研究[J].金融研究,2015,(5):34-49.
[15]沈悦,王飞,郭培利.汇率波动与货币政策调控的互动效应分析——基于人民币国际化的视角[J].经济经纬,2017,34(4):55-61.
[16]赵进文,张敬思.人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验[J].金融研究,2013,(1):9-23.
[17]冯蕾,董继刚.利率市场化下我国商业银行贷款利率粘性的存在性研究[J].西安财经学院学报,2019,(2):43-49.
[18]Wahyoe Soedarmono,Fouad Machrouh,Amine Tarazi.Bank Competition,Crisis and Risk Taking:Evidence from Emerging Markets in Asia[J].Journal of International Financial Markets,Institutions &Money,2013,23.
[19]彭星,李斌.利率市场化、价格竞争与城市商业银行风险——来自面板数据门限模型的经验证据[J].商业经济与管理,2015,(5):68-78.
[20]项后军,闫玉.理财产品发展、利率市场化与银行风险承担问题研究[J].金融研究,2017,(10):99-114.
[21]Miller,V.,Vallee,L.The Size of Banking Crises in Credible Fixed Exchange Rate Regimes [J].Journal of internation Moneyand Finance,2010,29(7):1226-1236.
[22]Manzhos,S.The Situation of Bank Lending in Ukraine:Current Problems and Prospects of Recovery[J].Economics & Management,2016,(3):89-97.
[23]Kawamura,E.Exchange Rate Regimes,Banking and the Non-tradable Sector[J].Journal of Monetary Economics,2007,54(2):325-345.
[24]Wiszniowski,E.Stress Testing as a Tool for Simulating the Effects of Crisis in Banks[J].Business & Economic Horizons,2010,(1):58-66.
[25]Adcock,C.,Xiuping,H.Mazouz,K.,Shuxing,Y.Derivative Activities and Chinese Banks’ Exposures to Exchange Rate and Interest Rate Movements[J].European Journal of Finance,2017,(1):27-51.
[26]熊启跃,赵阳,廖泽州.国际化会影响银行的净息差水平么?——来自全球大型银行的经验证据[J].金融研究,2016,(7):64-79.
[27]Guo F,Huang Y S.Does “Hot money” Drive China's Real Estate and Stock Markets?[J].International Review of Economics & Finance,2010,19(3):452-466.
[28]Unsal,Filiz D.Capital Flows and Financial Stability:Monetary Policy and Macroprudential Responses[M].International Monetary Fund,2011.
[29]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动——新兴市场经验对我国的启示[J].中央财经大学学报,2017,(4):104-116.
[30]何国华,李洁.跨境资本流动、金融波动与货币政策选择[J].国际金融研究,2017,(9):3-13.
[31]方显仓.孙琦.资本账户开放与我国银行体系风险[J].世界经济研究,2014,(3):9-14+87.
[32]方意,颜茹云,郑子文.资本账户开放对银行风险的影响机制研究[J].国际金融研究,2017,(11):33-43.
[33]胡研,李石凯.人民币国际化、市场化进程与汇率传导机制变迁[J].财经科学,2018,(2):52-62.
[34]刚健华,赵扬,高翔.短期跨境资本流动、金融市场与系统性风险[J].经济理论与经济管理,2018,(4):98-112.
[35]唐旭,张伟.论建立中国金融危机预警系统[J].经济学动态,2002,(6):7-12.
[36]陈守东,杨莹,马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006,(7):36-48.
[37]王舒军,彭建刚.中国利率市场化进程测度及效果研究——基于银行信贷渠道的实证分析[J].金融经济学研究,2014,29,(6):75-85.
[38]吴韡,黄珊.人民币汇率波动与商业银行风险承担的实证研究[J].宏观经济研究,2016,(11):72-83+121
[39]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究,2016,31(03):120-129.
[40]张谊浩,沈晓华.人民币升值、股价上涨和热钱流入关系的实证研究[J].金融研究,2008,(11):87-98.
[2]Peel D,Taylor M P.Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture[J].Journal of Money,Credit,and Banking,2002,34(1):51-75.
[3]Lipschitz L,Mourmouras A,Lane T D.Capital Flows to Transition Economies;Master or Servant?[J].Social Science Electronic Publishing,2006,2(11):202-222.
[4]Li M,Zhou X.Research on the Interaction among Interest rate,Exchange Rate Fluctuations and Capital Market[J].Wseas Transactions on Information Science & Applications,2009,6(1):106-115.
[5]Combes J L,Kinda T,Plane P.Capital Flows,Exchange Rate Flexibility,and the Real Exchange Rate[J].Journal of Macroeconomics,2012,34(4):1034-1043.
[6]Bruno V,Shin H S.Capital Flows and the Risk-taking Channel of Monetary Policy[J].Journal of Monetary Economics,2015,71:119-132.
[7]Gudmundsson G S,Gylfi Z .A Double-Edged Sword:High Interest Rates in Capital Control Regimes[J].Economics:The Open-Access,Open-Assessment E-Journal,2016.
[8]Gong P,Dai J.Monetary Policy,Exchange Rate Fluctuation,and Herding Behavior in the Stock Market[J].Journal of Business Research,2017,76:34-43.
[9]王世华,何帆.中国的短期国际资本流动:现状、流动途径和影响因素[J].世界经济,2007,(7):12-19.
[10]吕光明,徐曼.中国的短期国际资本流动——基于月度VAR模型的三重动因解析[J].国际金融研究,2012,(4):61-68.
[11]牛晓健,钱旭.中国的短期国际资本流动是“推力”还是“拉力”?——基于人民币汇改以来的规模测算与实证分析[J].经济问题探索,2014,(9):107-111+159.
[12]朱孟楠,刘林.短期国际资本流动、汇率与资产价格——基于汇改后数据的实证研究[J].财贸经济,2010,(5):5-13+135.
[13]林乐芬,应玮瑄.汇率市场化进程中短期国际资本流动影响因素实证分析[J].四川大学学报:哲学社会科学版,2014,(4):125-132.
[14]杨子晖,陈创练.金融深化条件下的跨境资本流动效应研究[J].金融研究,2015,(5):34-49.
[15]沈悦,王飞,郭培利.汇率波动与货币政策调控的互动效应分析——基于人民币国际化的视角[J].经济经纬,2017,34(4):55-61.
[16]赵进文,张敬思.人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验[J].金融研究,2013,(1):9-23.
[17]冯蕾,董继刚.利率市场化下我国商业银行贷款利率粘性的存在性研究[J].西安财经学院学报,2019,(2):43-49.
[18]Wahyoe Soedarmono,Fouad Machrouh,Amine Tarazi.Bank Competition,Crisis and Risk Taking:Evidence from Emerging Markets in Asia[J].Journal of International Financial Markets,Institutions &Money,2013,23.
[19]彭星,李斌.利率市场化、价格竞争与城市商业银行风险——来自面板数据门限模型的经验证据[J].商业经济与管理,2015,(5):68-78.
[20]项后军,闫玉.理财产品发展、利率市场化与银行风险承担问题研究[J].金融研究,2017,(10):99-114.
[21]Miller,V.,Vallee,L.The Size of Banking Crises in Credible Fixed Exchange Rate Regimes [J].Journal of internation Moneyand Finance,2010,29(7):1226-1236.
[22]Manzhos,S.The Situation of Bank Lending in Ukraine:Current Problems and Prospects of Recovery[J].Economics & Management,2016,(3):89-97.
[23]Kawamura,E.Exchange Rate Regimes,Banking and the Non-tradable Sector[J].Journal of Monetary Economics,2007,54(2):325-345.
[24]Wiszniowski,E.Stress Testing as a Tool for Simulating the Effects of Crisis in Banks[J].Business & Economic Horizons,2010,(1):58-66.
[25]Adcock,C.,Xiuping,H.Mazouz,K.,Shuxing,Y.Derivative Activities and Chinese Banks’ Exposures to Exchange Rate and Interest Rate Movements[J].European Journal of Finance,2017,(1):27-51.
[26]熊启跃,赵阳,廖泽州.国际化会影响银行的净息差水平么?——来自全球大型银行的经验证据[J].金融研究,2016,(7):64-79.
[27]Guo F,Huang Y S.Does “Hot money” Drive China's Real Estate and Stock Markets?[J].International Review of Economics & Finance,2010,19(3):452-466.
[28]Unsal,Filiz D.Capital Flows and Financial Stability:Monetary Policy and Macroprudential Responses[M].International Monetary Fund,2011.
[29]唐国强,王彬.汇率调整、资本项目开放与跨境资本流动——新兴市场经验对我国的启示[J].中央财经大学学报,2017,(4):104-116.
[30]何国华,李洁.跨境资本流动、金融波动与货币政策选择[J].国际金融研究,2017,(9):3-13.
[31]方显仓.孙琦.资本账户开放与我国银行体系风险[J].世界经济研究,2014,(3):9-14+87.
[32]方意,颜茹云,郑子文.资本账户开放对银行风险的影响机制研究[J].国际金融研究,2017,(11):33-43.
[33]胡研,李石凯.人民币国际化、市场化进程与汇率传导机制变迁[J].财经科学,2018,(2):52-62.
[34]刚健华,赵扬,高翔.短期跨境资本流动、金融市场与系统性风险[J].经济理论与经济管理,2018,(4):98-112.
[35]唐旭,张伟.论建立中国金融危机预警系统[J].经济学动态,2002,(6):7-12.
[36]陈守东,杨莹,马辉.中国金融风险预警研究[J].数量经济技术经济研究,2006,(7):36-48.
[37]王舒军,彭建刚.中国利率市场化进程测度及效果研究——基于银行信贷渠道的实证分析[J].金融经济学研究,2014,29,(6):75-85.
[38]吴韡,黄珊.人民币汇率波动与商业银行风险承担的实证研究[J].宏观经济研究,2016,(11):72-83+121
[39]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究,2016,31(03):120-129.
[40]张谊浩,沈晓华.人民币升值、股价上涨和热钱流入关系的实证研究[J].金融研究,2008,(11):87-98.