我国影子银行规模及其对银行体系稳定性影响的研究

发布时间：2018-04-30 05:41

本文选题：影子银行规模 + 商业银行　；参考：《重庆大学》2014年硕士论文

【摘要】：近年来快速发展的影子银行，已经成为我国金融体系不可忽视的一股重要力量，对我国银行体系稳定性造成了影响：一方面，影子银行促使商业银行运作及盈利模式的转变，提高了银行自身的收益水平；另一方面，影子银行削弱了传统银行的信用中介价值，由于其高杠杆、期限错配及关联性特点放大了金融市场系统性风险。本文选取1987-2012年的年度数据，首先从信贷需求的角度，基于经济金融基本关系原理：一段时间内经济主体实现的GDP是由这段时间金融机构的全部信贷支持的，从借款人的角度测度出影子银行的规模，然后归纳总结现有文献对银行体系稳定性测度的方法，一种是基于综合指标值，即将商业银行体系稳定性的测度指标分为三类：宏观经济变量指标、金融变量指标、以及商业银行经营指标，根据系统性银行风险（金融指标变量、宏观经济指标变量）和非系统性银行风险（商业银行经营指标变量）来进行测度研究；另一种是以银行危机先行指标为基础，构建银行稳定性指标BSSI来监控中国银行体系的抗冲击能力和稳定程度，，对比分析两种方法，最后选取BSSI指数与影子银行相对规模进行实证分析，通过模拟数据，构造模型来研究二者关系，得出影子银行的发展对银行体系稳定性有双重影响的结论。本文的主要结论是：我国影子银行对银行体系的影响具有阈值效应。当影子银行相对规模在阈值水平以下时（本文测度的相对规模值为21.36%），影子银行的发展对银行体系的稳定性起到一定的积极作用，超过这个值后，影子银行的发展对银行体系稳定性具有消极作用。本文分析二者机理后，通过实证研究影子银行对银行体系稳定性影响，为客观公正的看待影子银行发展，建立完善影子银行监管体系，优化金融创新水平提高重要的现实依据。
[Abstract]:In recent years, the rapid development of shadow banking has become an important force that can not be ignored in our financial system, which has had an impact on the stability of our banking system. On the one hand, shadow banking has promoted the transformation of commercial banks' operation and profit model. On the other hand, shadow banking weakens the credit intermediary value of traditional banks. Because of its high leverage, maturity mismatch and relevance amplify the systemic risk of financial market. This paper selects the annual data from 1987 to 2012, first of all, from the perspective of credit demand, based on the basic principle of economic and financial relations: the GDP realized by economic agents in a period of time is supported by all the credit of financial institutions during this period. This paper measures the scale of shadow banking from the perspective of borrowers, and then summarizes the existing methods of measuring the stability of the banking system. One is based on the comprehensive index value. That is to say, the measure of the stability of the commercial banking system can be divided into three categories: macroeconomic variable index, financial variable index, and commercial bank management index, according to systemic banking risk (financial index variable, financial index variable, Macroeconomic indicators) and non-systemic banking risk (commercial bank operating index variables) to measure the study; the other is based on the banking crisis first indicators, This paper constructs a bank stability index (BSSI) to monitor the impact resistance and stability of China's banking system, compares and analyzes the two methods, and finally selects the BSSI index and the relative scale of shadow banking for empirical analysis. The model is constructed to study the relationship between them and the conclusion is drawn that the development of shadow banking has a double influence on the stability of banking system. The main conclusion of this paper is that the influence of shadow banking on banking system has threshold effect. When the relative scale of shadow banking is below the threshold level (the relative scale measured in this paper is 21.36), the development of shadow banking plays a positive role in the stability of the banking system. The development of shadow banking has a negative effect on the stability of banking system. After analyzing the two mechanisms, this paper empirically studies the influence of shadow banking on the stability of banking system, in order to objectively and fairly view the development of shadow banking, establish and perfect the supervision system of shadow banking, and optimize the level of financial innovation to improve the important practical basis.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3

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