Impacts of Cross-border Capital Flow on Banks' Soundness: Empirical Research Based on Top 10 Banks in China

Abstract

Abstract:

The paper concludes the influence and mechanism of cross-border capital flows on banks' soundness at first and then measures the soundness of top 10 banks in China based on data from 2006Q1 to 2014Q1. The results show that the soundness increases gradually during 2006 to 2012, and decreases during 2013 to the first quarter of 2014. Furthermore, we investigate the influence of cross-border capital flows on banks' soundness based on panel data model. We find that the rise of cross-border capital net flow significantly decreases the degree of top ten banks' soundness. We distinguish different kinds of capital flows and find that neither direct investment nor portfolio investment could impair banks' soundness. However, the net flow of other investment exerts significantly a negative effect on top ten banks' soundness.

Key words: capital flows, bank soundness, commercial bank

Yang Haizhen, Huang Qiubin. Impacts of Cross-border Capital Flow on Banks' Soundness: Empirical Research Based on Top 10 Banks in China[J]. , 2015, 27(10): 9-18.

References

[1] International Monetary Fund. World Economic and Financial Surveys[R]. IMF World Economic Outlook, 1998
[2] Bordo M., Eichengreen B., Klingebiel D., et al. Is the Crisis Problem Growing More Severe?[J]. Economic Policy, 2001,16(32):51-82
[3] International Monetary Fund. Sustaining the Recovery[R]. IMF World Economic Outlook, 2009
[4] Reinhart C. M., Rogoff K. S. The Aftermath of Financial Crises[R]. National Bureau of Economic Research, 2009
[5] Demirgüç-Kunt A., Detragiache E. Does Deposit Insurance Increase Banking System Stability? An Empirical Investigation[J]. Journal of Monetary Economics, 2002,49(7):1373-1406
[6] Das U. S., Chenard K., Quintyn M. Does Regulatory Governance Matter for Financial System Stability? An Empirical Analysis[R]. International Monetary Fund, 2004
[7] Demirgüç-Kunt A., Detragiache E., Tressel T. Banking on the Principles: Compliance with Basel Core Principles and Bank Soundness[J]. Journal of Financial Intermediation, 2008,17(4):511-542
[8] Anginer D., Demirgüç-Kunt A. Bank Capital and Systemic Stability[R]. World Bank Policy Research Working Paper 6948, 2014
[9] Bernanke B. Financial Reform to Address Systemic Risk[DB/OL]. http://www.federalreserve.gov/ne wsevents/speech/bernanke20090310a.htm?keepThis=true&TBiframe=true&height=600&width=850, 2009
[10] Carstens A., Schwartz M. J. Capital Flows and the Financial Crisis in Mexico[J]. Journal of Asian Economics, 1998,9(2):207-226
[11] Goldfajn I., Valdes R. O. Capital Flows and the Twin Crises: The Role of Liquidity[R]. International Monetary Fund, 1997
[12] 蒋丽丽,伍志文.资本外逃与金融稳定: 基于中国的实证检验[J]. 财经研究, 2006,32(3):93-102
[13] Sedik T. S., Sun T. Effects of Capital Flow Liberalization——What Is the Evidence from Recent Experiences of Emerging Market Economies?[R]. IMF Working Paper No.12/275, 2012
[14] 许长新,张桂霞. 国际资本流动对我国银行体系稳定性影响的实证研究[J]. 亚太经济, 2007,(1):47-50
[15] Liu S. Reform and Development of China's Financial Sector[C]//Das U. S., Fiechter J., Sun T. China's Road to Greater Financial Stability: Some Policy Perspectives. International Monetary Fund, 2013
[16] Gup B. E. International Banking Crises: Large-scale Failures, Massive Government Interventions[M]. Portsmouth: Greenwood Publishing Group, 1999
[17] Bordo M. D., Meissner C. M., Stuckler D. Foreign Currency Debt, Financial Crises and Economic Growth: A Long-run View[J]. Journal of International Money and Finance, 2010,29(4):642-665
[18] Furceri D., Guichard S., Rusticelli E. Episodes of Large Capital Inflows and the Likelihood of Banking and Currency Crises and Sudden Stops[R]. OECD Economics Department Working Papers, 2011
[19] 邱斌,杨帅,辛培江.FDI 技术溢出渠道与中国制造业生产率增长研究: 基于面板数据的分析[J]. 世界经济, 2008,(8):20-31
[20] 钟娟,张庆亮.金融市场发展对中国 FDI 技术溢出效应的影响及其门槛效应检验[J]. 财贸研究, 2010,21(5):98-104
[21] Albuquerque R. The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment[J]. Journal of International Economics, 2003,61(2):353-383
[22] Caballero R. J., Krishnamurthy A. Bubbles and Capital flow Volatility: Causes and Risk Management[J]. Journal of Monetary Economics, 2006,53(1):35-53
[23] Reinhart C. M., Reinhart V. R. Capital Flow Bonanzas: An Encompassing View of the Past and Present[R]. NBER Working Paper No. 14321, 2008
[24] 杨海珍,李银华,赵艳平,等.金融风暴下国际资本流动态势及其对中国宏观经济的影响[J]. 管理评论, 2009,21(2):40-45
[25] Giannetti M. Financial Liberalization and Banking Crises: The Role of Capital Inflows and Lack of Transparency[J]. Journal of Financial Intermediation, 2007,16(1):32-63
[26] Mingo J. J. Policy Implications of the Federal Reserve Study of Credit Risk Models at Major US Banking Institutions[J]. Journal of Banking and Finance, 2000,24(1):15-33
[27] Bourkhis K., Nabi M. S. Islamic and Conventional Banks' Soundness During the 2007-2008 Financial Crisis[J]. Review of Financial Economics, 2013,22(2):68-77
[28] Gaganis C., Pasiouras F., Zopounidis C. A Multicriteria Decision Framework for Measuring Banks' Soundness Around the World[J]. Journal of Multi-Criteria Decision Analysis, 2006,14(1-3):103-111
[29] Shih V., Zhang Q., Liu M. Comparing the Performance of Chinese Banks: A Principal Component Approach[J]. China Economic Review, 2007,18(1):15-34
[30] Ioannidis C., Pasiouras F., Zopounidis C. Assessing Bank Soundness with Classification Techniques[J]. Omega, 2010,38(5):345-357
[31] Segoviano M. A., Goodhart C. A. E. Banking Stability Measures[R]. IMF Working Paper No. 09/4, 2009
[32] Acharya V. V., Pedersen L. H., Philippon T., et al. Measuring Systemic Risk[R]. Federal Reserve Bank of Cleveland Working Paper, No. 10-02, 2010
[33] International Monetary Fund. Responding to the Financial Crisis and Measuring Systemic Risks[R]. IMF Global Financial Stability Report, 2009
[34] ?ihák M., Schaeck K. How Well Do Aggregate Prudential Ratios Identify Banking System Problems?[J]. Journal of Financial Stability, 2010,6(3):130-144
[35] 刘吕科,张定胜,邹恒甫.金融系统性风险衡量研究最新进展述评[J]. 金融研究, 2013,(11):31-43
[36] Evans O., Leone A. M., Gill M., et al. Macroprudential Indicators of Financial System Soundness[R]. IMF Occasional Paper, No. 192, 2000
[37] 《中国银行业运行报告》编写组.中国银行业运行报告(2013年度)[R]. 中国银行业监督管理委员会, 2014
[38] Brownlees C. T., Engle R. F. Volatility, Correlation and Tails for Systemic Risk Measurement[R]. Available at SSRN: http://ssrn.com/abstract=1611229 or http://dx.doi.org/10.2139/ssrn.1611229, 2012
[39] 陈守东,王淼.我国银行体系的稳健性研究——基于面板 VAR 的实证分析[J]. 数量经济技术经济研究, 2011,28(10):64-77
[40] Akhter S., Daly K. Bank Health in Varying Macroeconomic Conditions: A Panel Study[J]. International Review of Financial Analysis, 2009,18(5):285-293
[41] Laeven L., Levine R. Bank Governance, Regulation and Risk Taking[J]. Journal of Financial Economics, 2009,93(2):259-275
[42] 张金清,张健,吴有红.中长期贷款占比对我国商业银行稳定的影响——理论分析与实证检验[J]. 金融研究, 2011,(9):78-92