【摘要】 本文基于1995年第一季度至2020年第四季度的双边银行跨境资本债权与债务数据,从资本属性(本国或外国银行资本)与资本流动方向(流出或流入),分析双边汇率大幅贬值和大幅升值对双边银行跨境资本流动的影响,研究各类宏观审慎政策的有效性。通过测算汇率大幅贬值和大幅升值窗口,运用事件研究法发现:汇率双向大幅波动对银行跨境资本流动的影响呈现非对称性特征。一国汇率大幅贬值时期,其银行跨境资本债务(外国银行资本流入)大幅减少,而债权(本国银行资本流出)变化不大;汇率大幅升值时期,其银行跨境资本债权大幅撤回(本国银行资本流出减少),但债务(外国银行资本流入)变化较小。侧重于外汇敞口和外汇流动性的宏观审慎政策能够有效缓解汇率大幅双向波动导致的双边银行跨境资本流动变动。本文区分双边汇率大幅贬值和大幅升值,拓展了汇率波动对国际资本流动影响的研究范畴,为“双循环”背景下中国坚持高水平对外开放,实施宏观审慎政策以及管理资本流动提供重要的理论参考。更多还原

【Abstract】 This paper analyzes the asymmetric impact of sharp appreciation and depreciation of bilateral exchange rates on bilateral cross-border bank capital flows using data from 1995 Q1 to 2020 Q4. The effectiveness of various macroprudential policies is also examined. The study estimates the window of sharp appreciation and depreciation of exchange rates and uses event study methodology to reach the following conclusions. Firstly, during a period of sharp appreciation of bilateral exchange rates, the cross-border capital claims of a country’s banks(capital outflow of domestic banks) decrease significantly, but liabilities(capital inflow of foreign banks) remain relatively stable; during a period of sharp depreciation, cross-border capital liabilities(foreign capital inflow) decrease sharply, while claims(domestic capital outflow) do not. Secondly, macroprudential policies related to foreign exchange can effectively mitigate the impact of large two-way fluctuations in exchange rates on cross-border bank capital flows.This paper distinguishes between substantial appreciation and depreciation of bilateral exchange rates, expanding the research scope of the impact of exchange rate fluctuations on international capital flows. It has important policy implications for China in promoting two-way financial opening under the “dual circulation” background, as well as for the implementation of China’s macroprudential policy and capital flow management.更多还原