Abstract：To begin with, this paper constructs a theoretical model to analyze the impact of cross-border capital flows on bank risktaking in an open economy and the effect of macro-prudential policy on bank risk-taking. Then, PSTR model is used to test the nonlinear impact of cross-border capital flows on the risk-taking of 137 commercial banks in China. Based on SVAR model and counterfactual analysis, this paper examines the dynamic effects of cross-border capital flows and macro-prudential policy on bank risk-taking. Both theoretical analysis and empirical tests indicate that: first, cross-border capital inflows promote bank risktaking, while cross-border capital outflow reduce bank risk-taking. Second, the influence of cross-border capital flows on bank risk-taking has significant nonlinear characteristic. When the capital adequacy ratio increases, the positive effect of cross-border capital inflows on bank risk-taking gradually weakens, while the negative effect of cross-border capital outflows on bank risktaking gradually strengthens. Third, the tighting of macro-prudential policy significantly reduces bank risk-taking, and countercyclical macro-prudential policy can effectively maintain the stability of the financial system.

Keyword：bank risktaking; cross-border capital flows; macro-prudential policy; PSTR model;