全球金融周期与我国商业银行风险承担——基于事前和事后双视角的分析

摘要/Abstract

摘要： 选取我国206家商业银行的非平衡面板数据,从事前和事后双视角探究全球金融周期对我国商业银行风险承担的影响。研究表明:(1)全球金融周期上行时,我国商业银行事前风险承担呈上升趋势,事后风险承担呈下降趋势;(2)全球金融周期上行通过提高银行期限错配程度提升银行事前风险承担、降低银行事后风险承担,还通过增加跨境资本流入降低银行事后风险承担;(3)全球金融周期对我国城市商业银行、非系统重要性银行及非上市银行的风险承担影响更大;(4)全球金融周期对未来1至4年银行事后风险承担存在显著正向影响,表明银行事前风险承担能够及时反映全球金融周期冲击,具有前瞻性,银行事后风险承担会对全球金融周期冲击进行积累,具有持续性。据此,本文提出金融监管机构要围绕金融风险全过程强化持续监管,银行管理者要提升风险承担事前识别与事后评估准确性的建议。

关键词: 全球金融周期, 银行风险承担, 期限错配, 跨境资本流动

Abstract: Driven by the global financial cycle, financial indicators such as cross-border capital flows, asset prices, risk premiums, and leverage ratios in the world, especially in the developed economies of the United States and Europe, show obvious resonance and cyclical fluctuations, which have a strong impact on the risk-taking of commercial banks in various countries. Commercial banks are the core of China's financial system, and it is imperative to clarify how the risk-taking of China's commercial banks will change at different stages of the global financial cycle, and through what channels such changes will be transmitted. Is there a difference in the impact of the global financial cycle on banks' ex-ante and ex-post risk-taking? Understanding these questions can hold substantial significance for policymakers, financial regulators, and bank managers to carry out ex-ante risk mitigation and ex-post risk management.
This paper selects the unbalanced panel data of 206 commercial banks to explore the impact of the global financial cycle on commercial banks' ex-ante and ex-post risk-taking in China. The findings are as follows: (1)During an upswing in the global financial cycle, China's commercial banks exhibit an increasing trend in ex-ante risk-taking and a decreasing trend in ex-post risk-taking. (2)The upswing in the global financial cycle increases banks' ex-ante risk-taking and reduces banks' ex-post risk-taking by increasing the degree of banks' maturity mismatch, and also reduces banks' ex-post risk-taking by increasing cross-border capital inflows. (3)The global financial cycle has a greater impact on the risk-taking of urban commercial banks, non-systemically important banks, and non-listed banks in China. (4)The global financial cycle has a significant positive impact on banks' ex-post risk-taking in the next 1 to 4 years, indicating that banks' ex-ante risk-taking can reflect the impact of the global financial cycle in a timely manner and is forward-looking, while the banks' ex-post risk-taking will accumulate the impact of the global financial cycle and is sustainable.
Compared with previous studies, the contribution of this paper is mainly reflected in the following two aspects. First, based on the micro perspective, this paper studies the impact of the global financial cycle on the risk-taking of China's commercial banks, and examines the two transmission channels of banks' maturity mismatch and cross-border capital flows, which expands the research on the global financial cycle at the bank level and provides theoretical guidance for China's commercial banks to better identify and resist external shocks and strengthen risk governance. Second, this paper divides banks' risk taking into ex-ante and ex-post risk-taking, with ex-ante risk-taking reflecting banks' tolerance for risk, and ex-post risk-taking reflecting the outcomes of banks' holding of risky assets. By exploring the differential effects of the global financial cycle on ex-ante and ex-post risk-taking, this paper holds significant theoretical and practical implications for financial regulators in strengthening continuous supervision throughout the whole process of financial risks.
The findings of this paper have certain implications for policymakers, financial regulators, and bank managers in China to supervise and prevent financial risks effectively. Firstly, when formulating and implementing policies related to banks' risk management, policymakers should take into account both the inherent risk characteristics of banks and the evolving dynamics of the global financial cycle. Secondly, financial regulators should improve the financial risk stratification and the whole-process supervision system, and strengthen the supervision of banks that are more susceptible and sensitive to international shocks across ex-ante, ongoing, and ex-post phases. Finally, bank managers should accurately identify ex-ante risk-taking, control ex-post risk-taking within a controllable risk range, and enhance their ability to resist risks with diversified business models.

Key words: Global Financial Cycle, Banks' Risk-taking, Maturity Mismatch, Cross-border Capital Flows

中图分类号:

F831

李政, 蔡昕雨. 全球金融周期与我国商业银行风险承担——基于事前和事后双视角的分析[J]. 财经论丛, 2024, 40(11): 57-68.

LI Zheng, CAI Xinyu. The Global Financial Cycle and Commercial Banks' Risk-taking in China: An Analysis Based on Ex-ante and Ex-post Perspectives[J]. Collected Essays on Finance and Economics, 2024, 40(11): 57-68.

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