我国影子银行规模对银行系统性风险的影响及其路径研究
发布时间：2018-08-02 14:54
【摘要】：2008年国际金融危机后,银行系统性风险已经成为国内外学术界的一个热门话题。在这次金融危机中,影子银行体系的不稳定性对金融动荡起到了重要作用。近年来,我国影子银行体系规模迅速增长,在支持中小企业融资等方面发挥了重要的作用。但由于我国对影子银行的监管相对比较薄弱,影子银行风险在不断形成和蔓延,给传统银行体系带来了很大威胁。因此,研究影子银行规模对我国银行系统性风险的影响及其路径,对减少银行系统性风险、维护我国金融稳定都有很大的理论和现实意义。文章首先对影子银行和银行系统性风险的相关理论进行分析,界定影子银行与银行系统性风险的概念,归纳影子银行对银行系统性风险的影响机理。在对我国影子银行定义与范围界定的基础上,对我国影子银行的规模进行测算。在对银行系统性风险定义界定、成因分析的基础上,选取指标变量法、利用因子分析法对我国银行系统性风险进行测度。在对影子银行规模和银行系统性风险进行测度的基础上,使用1994-2012年的数据,利用VAR模型和状态空间模型对影子银行规模对银行系统性风险的影响进行实证研究。得出:影子银行规模对银行系统性风险有正的影响,且这种影响有较强的持续性;影子银行规模对银行系统性风险的影响在国际金融危机期间较高,而在非金融危机期间较低。在对影子银行对银行系统性风险的影响机理分析的基础上,使用1994-2012年的数据,分别在不考虑交叉作用和考虑交叉作用的条件下,对我国影子银行规模影响银行系统性风险的路径进行实证分析。得出:短期内影子银行规模的增加并未通过影响商业银行流动性、资产价格波动和不良贷款率水平对银行系统性风险产生影响;而长期内影子银行规模的增加通过提高商业银行流动性、加大资产价格波动、提高不良贷款率的路径加大了我国的银行系统性风险;影子银行规模通过与资产价格波动的交互作用增加了银行系统性风险。最后根据实证结果及我国实际情况提出相关政策建议:完善影子银行监管体系;建立统一的银行系统性风险监控体系;推进利率市场化进程;控制影子银行资金流向,引导影子银行发展;建立影子银行与传统银行间的防火墙机制,预防风险传递。
[Abstract]:After the international financial crisis in 2008, systemic risk of banks has become a hot topic in academic circles at home and abroad. The instability of the shadow banking system played an important role in the financial crisis. In recent years, China's shadow banking system has grown rapidly and played an important role in supporting SME financing. However, because of the relatively weak supervision of shadow banking in China, the risk of shadow banking is constantly forming and spreading, which has brought a great threat to the traditional banking system. Therefore, it is of great theoretical and practical significance to study the influence of shadow banking scale on the systemic risk of Chinese banks and its path, to reduce the systemic risks of banks and to maintain the financial stability of our country. This paper first analyzes the theory of shadow banking and banking systemic risk, defines the concept of shadow banking and banking systemic risk, and summarizes the influence mechanism of shadow banking on banking systemic risk. Based on the definition and scope of shadow banking in China, the scale of shadow banking in China is measured. On the basis of defining and analyzing the causes of bank systemic risk, this paper selects the index variable method and uses factor analysis method to measure the bank systemic risk in our country. Based on the measurement of shadow banking scale and banking systemic risk, the paper makes an empirical study on the influence of shadow bank size on banking systemic risk by using VAR model and state space model using the data from 1994 to 2012. It is concluded that the scale of shadow banking has a positive effect on the systemic risk of banks, and this influence has strong persistence; the impact of scale of shadow banking on systemic risk of banks is higher during the international financial crisis, but lower during the non-financial crisis. Based on the analysis of the influence mechanism of shadow banking on the systemic risk of banks, using the data from 1994 to 2012, without considering the cross action and considering the cross action, respectively, This paper makes an empirical analysis on the path of shadow banking scale affecting the systemic risk of banks. It is concluded that in the short term, the increase of shadow banking size does not affect the liquidity of commercial banks, the fluctuation of asset prices and the level of non-performing loans to the systemic risk of banks; In the long run, the increase of shadow banking scale increases the systemic risk of Chinese banks by increasing the liquidity of commercial banks, increasing the fluctuation of asset prices and increasing the non-performing loan ratio. Shadow banking size increases systemic risk through interaction with asset price volatility. Finally, according to the empirical results and the actual situation in China, some policy suggestions are put forward: to improve the shadow banking supervision system; to establish a unified systematic risk monitoring system of banks; to promote the interest rate marketization process; to control the flow of shadow bank funds. Guide the development of shadow bank, establish firewall mechanism between shadow bank and traditional bank, prevent risk transmission.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.3
本文编号：2159795
[Abstract]:After the international financial crisis in 2008, systemic risk of banks has become a hot topic in academic circles at home and abroad. The instability of the shadow banking system played an important role in the financial crisis. In recent years, China's shadow banking system has grown rapidly and played an important role in supporting SME financing. However, because of the relatively weak supervision of shadow banking in China, the risk of shadow banking is constantly forming and spreading, which has brought a great threat to the traditional banking system. Therefore, it is of great theoretical and practical significance to study the influence of shadow banking scale on the systemic risk of Chinese banks and its path, to reduce the systemic risks of banks and to maintain the financial stability of our country. This paper first analyzes the theory of shadow banking and banking systemic risk, defines the concept of shadow banking and banking systemic risk, and summarizes the influence mechanism of shadow banking on banking systemic risk. Based on the definition and scope of shadow banking in China, the scale of shadow banking in China is measured. On the basis of defining and analyzing the causes of bank systemic risk, this paper selects the index variable method and uses factor analysis method to measure the bank systemic risk in our country. Based on the measurement of shadow banking scale and banking systemic risk, the paper makes an empirical study on the influence of shadow bank size on banking systemic risk by using VAR model and state space model using the data from 1994 to 2012. It is concluded that the scale of shadow banking has a positive effect on the systemic risk of banks, and this influence has strong persistence; the impact of scale of shadow banking on systemic risk of banks is higher during the international financial crisis, but lower during the non-financial crisis. Based on the analysis of the influence mechanism of shadow banking on the systemic risk of banks, using the data from 1994 to 2012, without considering the cross action and considering the cross action, respectively, This paper makes an empirical analysis on the path of shadow banking scale affecting the systemic risk of banks. It is concluded that in the short term, the increase of shadow banking size does not affect the liquidity of commercial banks, the fluctuation of asset prices and the level of non-performing loans to the systemic risk of banks; In the long run, the increase of shadow banking scale increases the systemic risk of Chinese banks by increasing the liquidity of commercial banks, increasing the fluctuation of asset prices and increasing the non-performing loan ratio. Shadow banking size increases systemic risk through interaction with asset price volatility. Finally, according to the empirical results and the actual situation in China, some policy suggestions are put forward: to improve the shadow banking supervision system; to establish a unified systematic risk monitoring system of banks; to promote the interest rate marketization process; to control the flow of shadow bank funds. Guide the development of shadow bank, establish firewall mechanism between shadow bank and traditional bank, prevent risk transmission.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.3
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