Short-term Capital Inflows and Banking Systemic Risk

Abstract

Based on stock data of listed banking companies, this article uses the Copula-CoVaR method to estimate banking systemic risk. Study has found that local and non-state-owned large banks are susceptible by negative impacts and greater the financial market risk spillovers. Research has calculated the scale of short-term cross-border capital inflows per quarter from 2010 to 2020 and found that short-term cross-border capital inflows have a positive impact on the improvement of banking systemic risk, and it will amplify its impact through real estate market fluctuations. The policy implication of the article is to pay attention to the use of macro prudential policy tools, guide cross-border capital inflows, avoid the aggregation of high-risk assets such as the real estate market, prevent risk accumulation, and prevent and resolve major systemic financial risks.