Study On Cyclical Fluctuation And Risk Warning Of Cross-border Bank Capital Flows In Emerging Economies

In recent years,the global economic and financial environment has continued to change,and cross-border bank capital flows in emerging economies have been affected by a variety of factors,showing cyclical fluctuations related to the economic and financial cycles.Such cyclical fluctuations in cross-border bank capital flows,such as sudden changes in the direction of flows or drastic changes in the scale of flows,may lead to global turbulence in emerging economies,making the financial system and economic environment subject to shocks,and may even Systemic risks may occur.The formation of cyclical fluctuations in cross-border bank capital flows is consistent with the theoretical principles of financial gas pedal and transaction costs,while the formation or response of cross-border bank capital flow risks cannot be separated from the support of Mondale’s impossibility triangle,financial crisis and banking crisis theories.First,this paper selects the quarterly data of cross-border bank capital flows of 11emerging economies from 2008 to 2021 as the sample,and the trend chart drawn by HP filter method initially determines that there is a cyclical fluctuation characteristic of cross-border bank capital flows,which means there is a correlation between cross-border bank capital flows and economic cycle and financial cycle,and further combines with the empirical analysis to verify that cross-border bank capital flows This cyclical characteristic is verified by empirical analysis.The direction of cyclical fluctuations of different types of cross-border bank capital flows is also derived using the tour test,specifically,total cross-border bank capital flows and cross-border bank capital inflows are pro-cyclical,and cross-border bank capital outflows exhibit counter-cyclicality.The cyclical fluctuations of cross-border bank capital flows are influenced by a variety of factors.The framework of driving pull influencing factors for the cyclical fluctuations of cross-border bank capital flows in emerging economies is selected to construct,and the selected indicators are processed using principal component analysis to summarize three types of influencing factors,namely,global risk factors,regional common factors and country-specific factors,and regression analysis is gradually conducted on these three types of influencing factors,and it is found that regional common factors have a significant impact on The impact of cyclical fluctuations of cross-border bank capital flows in emerging economies is greater,while cyclical fluctuations of cross-border bank capital flows inevitably have negative effects,which will bring certain risks and require early warning and prevention.Next,macroeconomic risk,financial systemic risk,and global economic risk indicators are selected to construct an early warning index system for cross-border bank capital flow risk,and the same principal component analysis is used to propose four types of principal component factors to calculate the risk early warning index of cross-border bank capital flow,and its reliability is tested by in-sample test.Next,the early warning index of cross-border bank capital flows is substituted into the MS-VAR model to plot the risky zone states of cross-border bank capital flows,and the two-zone mapping of S₂"risky"state and S₁"risk-free"state is obtained.According to the graph,the risk interval alerted by the early warning index of cross-border bank capital flows is basically consistent with the actual time regime of cross-border bank capital flow risk faced by emerging economies,which also indicates the reliability of the constructed early warning index,and concludes that the cross-border bank capital flows of emerging economies are in the"risky"S₂mode for one-third of the time.The maintenance probability is as high as 0.8849,and the transition from S₁"no risk"to S₂"risky"is relatively easy,indicating the need for risk warning and prevention at S₁stage.Finally,taking into account the current situation of cross-border bank capital flows faced by emerging economy countries and the empirical results,we propose recommendations:（1）strengthen government regulation of cyclical fluctuations of cross-border bank capital flows.flow cyclical fluctuations of counter-cyclical adjustment policy to iron out the risk transmission behavior of cross-border bank capital flows;（3）further improve the risk early warning system of cross-border bank capital flows;（4）financial regulators of emerging economy countries actively use macro-prudential tools to strengthen the anti-risk capacity for similar cross-border bank capital flows including shocks of cross-border capital flows,emerging country economies countries should do their maximum efforts to avoid economic crisis,can use macro-prudential tools to effectively regulate the potential risks of cross-border capital flows.