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跨境资本流动的国际风险承担渠道效应
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TitleThe International Risk Taking Channel of Capital Flows  
作者何国华 李洁  
AuthorHe Guohua and Li Jie  
作者单位武汉大学经济与管理学院 
OrganizationWuhan University 
作者Emailghhe@whu.edu.cn;drcrow@qq.com 
中文关键词跨境资本流动,内生性金融风险,国际风险承担渠道效应 
Key WordsCapital flow; Endogenous financial risk; International risk-taking channel effect 
内容提要新近诸多实证研究表明,一国货币持续升值往往促使国内信贷激增,并可能引发金融危机,该现象称之为跨境资本的国际风险承担渠道效应。本文以一个开放型竞争均衡框架为基础,构建了跨境资本与金融风险的内生性关系,剖析并分离了跨境资本流动的国际风险承担渠道效应,从而为上述实证结论提供了理论机制解释。研究发现:(1) 跨境资本流入可导致金融系统的内生投资风险与道德风险同时上升,实体部门借贷利率提高,金融中介杠杆增加;(2) 内生性风险增加促使金融系统的风险选择趋于保守,资产价格骤降,跨境资本流出,金融中介被动去杠杆。并且内生性风险水平越高,该现象越明显;(3) 通过分离跨境资本流入与内生性风险变动所产生的风险承担渠道效应,本文进一步发现内生性风险水平越高,跨境资本流入造成的风险承担效应越剧烈。然而当风险水平高过某一特定值时,本币的升值趋势反而将导致跨境资本净流出,造成跨境资本行为反转,加速金融收缩。 
AbstractThe phenomenon of currency appreciation tends to promote domestic credit booms and trigger the financial crisis, which is called the international risk-taking channel effect of capital flows, has been shown in recent empirical research. Based on an open economy competitive equilibrium structure, we connect the endogenous relationship between financial risk and capital flows, and separate the international risk-taking channel effect of capital flows for the theoretical exploration. We find that (1) the capital flows can boost financial systematic risk and moral hazard as well as the lending interest rates in real sector, and also increasing the intermediation’s leverage; (2) An increase in endogenous risk will make intermediation’s risk selection become more conservative which forces intermediation, along with the decreasing in asset prices and capital outflow, deleverages. And higher of the endogenous risk, more violent of the phenomenon. (3) by separating the effect of capital flows and risk-taking channel, we further find that the higher level of endogenous risk will make the risk-taking channel effect of capital flows more dramatic. However, currency appreciation will lead to capital outflow when the risk level is higher than a particular value, and which helps to accelerate the financial contraction. 
文章编号WP1252 
登载时间2018-01-04 
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