国际清算银行-全球流动性流动的风险敏感性_异质性_演变和驱动因素（英）-2025.4_68页_1mb

Risk Sensitivity of Global Liquidity Flows: Heterogeneity, Evolution, and Drivers

The paper examines the Global Financial Crisis (GFC) as a turning point in the volume, volatility, and drivers of cross-border loans (CBL) and international bond issuance (IDS), collectively known as aggregate global liquidity (AGL). The focus is on the risk sensitivity of these flows and its drivers, particularly balance sheet constraints of financial intermediaries and migration of risk between CBL and IDS markets.

Key Findings

1. Post-GFC Shift: The risk sensitivity of cross-border bank lending declined significantly after the GFC, becoming statistically insignificant, while international bond issuance by emerging market borrowers remained highly sensitive to global risk conditions.

2. Balance Sheet Constraints: The sensitivity of global liquidity flows to global risk increases when lenders (banks and non-bank financial institutions) face tighter capital and leverage constraints. Higher bank capitalization reduces the risk sensitivity of CBL.

3. Risk Migration: The migration of riskier borrowers from CBL to IDS markets contributed to a decline in the overall risk sensitivity of AGL, as the average riskiness of borrowers decreased (compositional effect). This effect outweighs the mechanical effect of IDS flows becoming a larger share of AGL, which tend to be more sensitive.

4. Post-GFC Changes: Non-bank financial intermediaries (NBFIs) have increased their role in international finance due to regulatory arbitrage and the effects of post-GFC banking regulations, leading to shifts in risk sensitivity.

Conjectures and Evidence

• Conjecture 1: Tighter balance sheet constraints increase risk sensitivity of global liquidity flows.
• Conjecture 2: The migration of risk from CBL to IDS markets reduces the overall risk sensitivity of AGL due to compositional and other effects.

The paper concludes that stricter bank capital regulation post-GFC has contributed to risk-sensitive migration, which could be reversed if the mechanical effects of risk migration grow. However, continued changes may alter the response of global liquidity to risk conditions.