近年来，国际形势日趋复杂，2020年初新型冠状病毒疫情开始蔓延全球，对世界经济体系造成严重冲击，为了刺激本国经济，欧美央行采取了大幅度减息措施，推动了市场利率大幅下降，造成了全球超低利率的市场环境。而2022年初爆发的俄乌冲突导致诸如原油、天然气等大宗商品价格上涨幅度极高，推动了欧美国家通货膨胀水平攀升至近几十年来所未有的水平。因此为控制通货膨胀水平，欧美央行采取大幅加息的措施。例如，美国在2022年全年累计7次加息425个基点，目标区间为4.25%-4.50%。欧洲中央银行也连续2次加息各75基点。欧美央行在一年之内的加息力度之大前所未见。而西方发达国家加息产生的直接影响就是与许多发展中国家的利差加大，对许多发展中国家而言，由于其自身经济发展水平较低和金融体系较落后的原因，本身存在较高跨境资本外逃概率，叠加加息周期下进一步加大的利差，将导致资本外逃的情况更加严重，而资本外逃本身对一国金融体系会有较大冲击性，有可能导致该国系统性金融风险的上升。因此，研究跨境资本外逃对系统性金融风险形成的影响就有着十分重要的现实意义。这对当前全球各国建立完善跨境资本流动宏观审慎政策框架，防范化解系统性金融风险具有重要意义。

为检验资本外逃对系统性金融风险的影响，本文使用了2016年第一季度至2022年第二季度的34个国家的1361家商业银行数据进行详实地实证分析。实证结果表明跨境资本外逃会显著地促进系统性金融风险上升。此外，本文还考察银行特征变量对跨境资本外逃与系统性金融风险关系的调节作用，对于规模越大的银行，跨境资本外逃对其系统性金融风险的提升作用越小。对于杠杆倍数越大的银行，跨境资本外逃对其系统性金融风险的提升作用越大。对于信贷增速越大的银行，跨境资本外逃对其系统性金融风险的提升作用越小。进一步，使用增加额外控制变量、剔除部分时期、随机抽样多次回归、国家层面样本回归和对内生性问题的控制等五种方法，检验了基本结论的稳健性。异质性分析结果表明，一是处于逆全球化的当前出现跨境资本外逃现象更容易引发系统性金融风险的升高。二是相比发达国家而言，发展中国家的跨境资本外逃对系统性金融风险的影响传导力度相对较弱。三是相比于大银行，小银行在面对跨境资本外逃时会更加显著地促进系统性金融风险上升。最后，本文通过中介效应分析，证实了跨境资本外逃对系统性金融风险作用的两条路径，一是信贷增速是跨境资本外逃影响系统性金融风险的一条中介路径，跨境资本外逃本身会造成系统性金融风险的上升，而随着信贷增速的升高，其会降低跨境资本外逃对系统性金融风险的正向促进作用。二是资产价格是跨境资本外逃影响系统性金融风险的另一个中介路径，跨境资本外逃本身会造成资产价格下降，而资产价格下降会加强跨境资本外逃对系统性金融风险的正向促进作用。

与过去的研究进行对比，本文包含以下可能的创新点：首先，在研究视角上，现有文献较少从跨境资本外逃视角探讨系统性金融风险的形成。本文将从跨境资本外逃视角，探究其对系统性金融风险造成的影响和可能的路径，以补充该研究视角的空白。其次，在研究方法上，本文克服了相关领域仅使用宏观数据的问题，以宏观和微观数据双重视角去认识系统性金融风险的形成。最后，在政策上，本文将提出关于防范跨境资本外逃导致系统性金融风险升高方面的详细政策建议。

In recent years, the international situation has become increasingly complex. At the beginning of 2020, the novel coronavirus epidemic began to spread around the world, causing a serious impact on the world economic system. In order to stimulate the domestic economy, the Central Bank of Europe and the United States has taken significant interest rate reduction measures, driving the market interest rate down significantly, creating a global ultra-low interest rate market environment. The Russia-Ukraine conflict that broke out in early 2022 led to a very high rise in the prices of commodities such as crude oil and natural gas, which pushed the inflation level in Europe and the United States to a level not seen in recent decades. Therefore, in order to control the level of inflation, European and American central banks have taken significant interest rate increases. For example, the United States raised interest rates by 425 basis points seven times in 2022, with a target range of 4.25% to 4.50%. The European Central Bank has also raised interest rates by 75 basis points for two consecutive times. Central banks in Europe and the United States have raised interest rates with unprecedented intensity within a year. The direct impact of interest rate hikes in Western developed countries is the widening interest rate differentials with many developing countries. For many developing countries, due to their low level of economic development and relatively backward financial systems, there is a high probability of cross-border capital flight. The further widening interest rate differentials under the superimposed interest rate hikes cycle will lead to more serious capital flight, Capital flight itself can have a significant impact on a country's financial system, potentially leading to an increase in systemic financial risks in that country. Therefore, studying the impact of cross-border capital flight on the formation of systemic financial risks has very important practical significance. This is of great significance for countries around the world to establish and improve macro prudential policy frameworks for cross-border capital flows and prevent and resolve systemic financial risks.

To examine the impact of capital flight on systemic financial risks, this article conducted a detailed empirical analysis using data from 1361 commercial banks in 34 countries from the first quarter of 2016 to the second quarter of 2022. The empirical results indicate that cross-border capital flight significantly promotes the rise of systemic financial risks. In addition, this article also examines the moderating effect of bank characteristic variables on the relationship between cross-border capital flight and systemic financial risk. For larger banks, cross-border capital flight has a smaller enhancing effect on their systemic financial risk. For banks with higher leverage ratios, cross-border capital flight has a greater impact on enhancing their systemic financial risk. For banks with higher credit growth rates, cross-border capital flight has a smaller impact on their systemic financial risk. Furthermore, the robustness of the basic conclusions is tested by adding additional control variables, removing some periods, random sampling multiple regression, national level sample regression and controlling endogenous problems. The results of heterogeneity analysis indicate that firstly, the current phenomenon of cross-border capital flight in the context of anti globalization is more likely to trigger an increase in systemic financial risks. Secondly, compared to developed countries, the impact of cross-border capital flight in developing countries on systemic financial risks is relatively weak in transmission. Thirdly, compared to large banks, small banks will more significantly promote the rise of systemic financial risks when facing cross-border capital flight. Finally, through the analysis of mesomeric effect, this paper confirms two paths of the role of cross-border capital flight on systemic financial risk. First, credit growth is an intermediary path for cross-border capital flight to affect systemic financial risk. Cross border capital flight itself will cause the rise of systemic financial risk, and with the increase of credit growth, it will reduce the positive role of cross-border capital flight on systemic financial risk. The second is that asset prices are another intermediary pathway for cross-border capital flight to affect systemic financial risks. Cross border capital flight itself will cause a decrease in asset prices, and a decrease in asset prices will strengthen the positive promoting effect of cross-border capital flight on systemic financial risks.

Compared to previous studies, this article has the following possible innovations: First, in terms of research perspectives, existing literature rarely explores the formation of systemic financial risks from the perspective of cross-border capital flight. This article will explore the impact and possible paths of cross-border capital flight on systemic financial risks from the perspective of cross-border capital flight, in order to supplement the gap in this research perspective. Secondly, in terms of research methods, this article overcomes the problem of using only macro data in relevant fields, and uses both macro and micro data perspectives to understand the formation of systemic financial risks. Finally, in terms of policy, this article will provide detailed policy recommendations on preventing cross-border capital flight leading to increased systemic financial risk.