Cross-border Capital Flow and the Systemic Risk of Commercial Banks
Leveraging cross-border capital to increase capital is a crucial strategy for fostering the high-quality development of China's economy.However,it is imperative to carefully consider the impact of such capital flows on the systemic risk of commercial banks.This study delves into the nuanced relationship between cross-border capital flows and the stability of commercial banks,and how to cope with such impact offering essential insights for advancing financial openness while safeguarding China's financial stability and development.And it is very important that the dual circulation of domestic and international economic activities,mutually reinforcing each other.The existing body of research lacks a unified understanding of the impact of cross-border capital flows on the systemic risk of commercial banks.However,there is a notable gap in exploring this relationship from the perspective of cross-border capital flow intensity.Specifically,the majority of extant research relies on empirical verification utilizing macro monthly data and cross-border panel data.However,the absence of comprehensive and in-depth empirical evidence at the micro level has resulted in inconsistent research conclusions and a limited understanding of the impact mechanisms governing the relationship between cross-border capital flows and the systemic risk of commercial banks.This paper employs China's international balance of payments to quantify cross-border capital flows intensity.Applying the conditional value at risk(CoVaR)method to calculate the systemic risk of commercial banks.The empirical findings reveal that heightened cross-border capital flows intensity significantly diminishes the systemic risk of commercial banks.Notably,intensifying the flow of securities investment capital and other forms of investment capital substantially reduces systemic risk of commercial banks.Although the flow of direct investment capital intensity also contributes to lowering systemic risk of commercial banks,but the effect is not statistically significant.Furthermore,the study identifies credit scale of banks and credit concentration of banks as pivotal channels through which cross-border capital flows impact systemic risk of commercial banks.Augmenting cross-border capital flows intensity proves beneficial in expanding credit scale of banks and reducing credit concentration of banks,consequently leading to a noteworthy reduction in systemic risk of commercial banks.The effective transmission channel observed is"cross-border capital flows intensity—credit scale/credit concentration—systemic risk of commercial banks".In contrast to large state-owned banks,small and medium-sized banks exhibit a greater capacity to absorb cross-border capital,resulting in a more pronounced reduction in systemic risk of commercial banks.This paper extends existing research in two key dimensions.First,it delves into the theoretical mechanisms through which cross-border capital flows intensity influences the systemic risk of commercial banks.It expands on previous literature by examining the impact of different cross-border capital flows structures on the systemic risk of Chinese commercial banks.Second,departing from the conventional focus on calculating the total amount of cross-border capital flows,this study introduces a novel measure—the intensity and structure of cross-border capital flows.Empirical analysis reveals the varying impact of cross-border capital flows intensity and its different structural components on the systemic risk of commercial banks.The paper further explores the mechanism through which cross-border capital flows intensity affects systemic risk of commercial banks based on credit scale of banks and credit concentration of banks.This research,to a considerable extent,unveils the internal logic of how cross-border capital flows,particularly those with different structures,influence the systemic risk of commercial banks.The insights gained from this study provide valuable guidance for government departments in formulating targeted policies and measures to facilitate high-quality financial opening up.By offering differentiated policy support for cross-border capital flows with distinct structures,authorities can more effectively steer and regulate these cross-border capital flows,contributing to the overall success of cross-border capital initiatives.
cross-border capital flowsthe systemic risk of commercial bankscredit scale of bankscredit concentration of banks
万方数据
维普
