预告 | “金融学术前沿seminar”第176 期：国际信贷周期
主 题
International Credit Cycles
国际信贷周期
主持人
孙立坚 教授
Prof. Lijian Sun
复旦发展研究院金融研究中心主任
主讲人
许志伟
Zhiwei Xu
复旦大学经济学院教授
时 间
2023年10月17日（星期二）18:30
Time: 18:30, October 17th 2023 (Tuesday)
地点
智库楼209会议室
Place: Room 209, Think Tank Building
联络人
黄湉晰 (20110680029@fudan.edu.cn；13022187661）
Contact: Tianxi Huang
组织方
复旦发展研究院金融研究中心
Organized by: Financial Research Center, Fudan Development Institute
摘要
本文试图提出一个通过跨境资本流动进行传导的国际金融周期传导机制。首先，我们发现一个国家的系统性银行危机通常伴随着金融资本流入的激增。据此，我们构建了一个开放经济中的银行危机模型，解释信贷周期的国际溢出效应。该模型包括两个国家，它们拥有异质性和面临金融约束的银行。外国的过度信贷扩张可能导致其银行间市场崩溃，从而资本外逃到本国，其规模随着外国信贷的增加而增加。当本国银行业仍然正常运作时，资本流入对本国实体经济产生非单调的影响。由外国过度信贷扩张引发的足够大规模的资本外流可能导致信贷市场崩溃，从而导致本国产出发生不连续的下降。如资本管制和信贷政策等本国政策回应的有效性依赖于资本流入的规模和组成。在全面的动态模型中，我们进一步刻画了国际金融风险传染和全球经济中内生信贷周期的各种模式。
Abstract: Our paper attempts to propose a novel transmission mechanism of international financial cycles through cross-border capital flows. We first document that a systemic banking crisis in one country is generally associated with a surge in financial capital inflows. Then, we develop a tractable model of a banking crisis in an open economy to make sense of the international spillovers of credit cycles. The model features two countries with heterogeneous and financially constrained banks. An excessive credit expansion in the foreign country may trigger a collapse in its interbank market, resulting in capital flight to the home country, the magnitude of which increases with the abundance of foreign credit. The capital inflows have a nonmonotonic impact on the home country’s real economy when the home country’s banking sector remains functioning. A sufficiently large volume of capital flight due to excessive credit expansion in the foreign country could trigger a credit market collapse and thereby a discontinuous drop in output in the home country. The effectiveness of the policy responses in the home country, such as capital control and credit policies, relies on the magnitude and composition of capital inflows. In the dynamic fully fledged model, we further characterize various patterns of international financial risk contagion and endogenous boom-bust credit cycles in the global economy.
排版 | 刘宣
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