Exchange Rate Fluctuation,Credit Balance And Systemic Risk Of Banks

With the implementation of the "811" exchange rate reform in 2015,the marketization of China’s RMB exchange rate has accelerated,and the USD/RMB has shown a two-way fluctuation trend.The fluctuation of the RMB exchange rate has an obvious guiding effect on China’s capital flow,international trade and other economic activities,and these financial phenomena will ultimately directly or indirectly affect the credit receipts and payments of Chinese financial institutions,affect the liquidity of financial institutions’ funds,and exacerbate the accumulation of systemic risks in financial institutions,especially the banking industry.In this context,this paper explores the relationship between RMB exchange rate fluctuations,credit receipts and expenditures of financial institutions and systemic risks of banks,and further examines what types of macroprudential policy tools can best prevent and resolve systemic risks in banks caused by exchange rate fluctuations.Firstly,the transmission channels among the three are analyzed theoretically:exchange rate fluctuations will impact the credit balance of financial institutions through various channels,thereby increasing the accumulation of systemic risks in the banking industry.Then,the relationship among the three is analyzed from the macro-empirical and micro-empirical aspects:the macro level is to analyze the dynamic time-varying relationship between RMB exchange rate fluctuations and financial institutions’ RMB deposits and loans,foreign exchange deposits and loans from a nonlinear perspective with the help of the TVP-VAR model.At the micro level,16 listed banks were selected as research objects to analyze the extent to which RMB exchange rate fluctuations affect banking systemic risk with the help of random effects models,and to explore which types of macroprudential policy tools are most effective.The research results show that:First,through the dynamic impulse response,it is found that the depreciation of the RMB exchange rate in the short term will stimulate the increase of RMB loans,the decrease of RMB deposits and the decrease of foreign exchange deposits in financial institutions,and the impact on foreign exchange loans is not fixed;The increase in RMB loans will exacerbate the depreciation of the RMB exchange rate,the increase in RMB deposits will promote the appreciation of the RMB exchange rate,and the impact of foreign exchange deposits and loans is the opposite.In addition,the impact of RMB exchange rate shocks on RMB credit receipts and payments is much higher than that of foreign exchange credit receipts and payments.And under the influence of emergencies,the impact of RMB exchange rate fluctuations on financial institutions’ domestic and foreign currency credit receipts and payments will be different from the normal situation in the short term.Second,the depreciation of the RMB exchange rate will aggravate the accumulation of systemic risks in banks,and the impact on the systemic risks of urban commercial banks is the highest,followed by state-owned banks and joint-stock banks.Third,in terms of curbing systemic risks caused by RMB exchange rate fluctuations,macroprudential policy tools based on financial institutions are superior to macroprudential policy tools based on borrowers.