我国影子银行对商业银行风险的溢出效应

发布时间：2018-01-01 00:09

本文关键词：我国影子银行对商业银行风险的溢出效应　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：影子银行起源于20世纪70年代,发展迅速又隐秘,直到2007年美国次贷危机爆发后这个概念才被提起,并受到各国的广泛关注。中外影子银行的类型和运作模式存在着显著差异,以美国为代表的国外影子银行主要是由非银行金融机构构成,资产证券化程度较高。而我国的影子银行资产证券化程度较低,并且与传统商业银行有着较为紧密的关系,几乎所有影子银行业务和相关机构的资金最终来源都是商业银行。正因为此,同时也加大了系统性风险相互传染的可能。因此,研究影子银行对商业银行系统性风险的溢出效应对我国金融改革有着重要的现实意义。基于此,本文将影子银行分为外部影子银行和内部影子银行,分别研究其对商业银行的风险溢出效应。我们选取了6家上市金融机构作为外部影子银行的代表,以2009年至2016年的股价数据为基础,通过使用CARCH模型分析其对商业银行的风险溢出效应;研究内部影子银行时,我们则用非利息收入占比来估算内部影子银行规模,结合破产指数、不良贷款指数、资本充足率和拨备覆盖率来研究其对商业银行的风险溢出效应。实证研究发现,外部影子银行对商业银行有正的风险溢出效应,会增加商业银行的系统性风险,并且对国有大型商业银行的风险溢出更加显著,对股份制商业银行以及城商行的风险溢出效应较小。而内部影子银行对商业银行的系统风险有着负的风险溢出效应,说明内部影子银行业务在一定程度上可以分担商业银行的系统风险,但负的风险溢出效应较小,随着内部影子银行所占比重的逐年上升,对商业银行有转为正向风险溢出的较大可能性。因此,要同时加强对外部影子银行和内部影子银行的监管。最后,本文认为应加强对商业银行的监管,原因有二,一是我国商业银行的信息较为公开透明,相对其他金融机构较为容易监管;二是商业银行是我国影子银行体系中最为关键的一环,对商业银行的有效监管能从侧面达到对影子银行体系的监管目的。另外,我国应平衡好金融创新与金融监管之间的关系,为达到这一目的,首先第一步应该是完善信息披露制度,保证投资者与金融机构之间的信息对称性,逐步建立影子银行的风险评估与预警体系,完善金融法律法规,降低影子银行的系统性风险。并且,我国应进一步加快利率市场化进程,深化金融自由,使影子银行成为真正意义上的金融创新工具。
[Abstract]:Shadow banking, which originated in 1970s, grew rapidly and stealthily until 2007, when the concept was introduced after the subprime mortgage crisis broke out in the United States. There are significant differences in the types and operation modes of foreign shadow banks. The foreign shadow banks, represented by the United States, are mainly composed of non-bank financial institutions. The degree of asset securitization is relatively high. However, the degree of asset securitization of shadow banks in China is relatively low, and has a close relationship with the traditional commercial banks. Almost all shadow banking and related institutions are ultimately funded by commercial banks. As a result, it also increases the risk of systemic risk contagion. It is very important to study the spillover effect of shadow banking on commercial banks' systemic risk. Based on this, the shadow banks are divided into external shadow banks and internal shadow banks. We select six listed financial institutions as the representative of external shadow banking, based on the stock price data from 2009 to 2016. Through the use of CARCH model to analyze its risk spillover effect on commercial banks; When we study the internal shadow banking, we use the non-interest income to estimate the size of the internal shadow banks, combined with the bankruptcy index, non-performing loan index. Capital adequacy ratio and reserve coverage rate to study its risk spillover effect on commercial banks. Empirical study found that external shadow banks have a positive risk spillover effect on commercial banks will increase the systemic risk of commercial banks. And the risk spillover to large state-owned commercial banks is more significant. The risk spillover effect on joint-stock commercial banks and city commercial banks is small, while the internal shadow banks have negative risk spillover effects on commercial banks' systemic risks. It shows that the internal shadow banking business can share the system risk of commercial banks to a certain extent, but the negative risk spillover effect is relatively small, with the proportion of internal shadow banks rising year by year. Therefore, it is necessary to strengthen the supervision of external and internal shadow banks at the same time. Finally, this paper argues that the supervision of commercial banks should be strengthened. The reasons are as follows: first, the information of commercial banks in our country is more open and transparent, which is easier to supervise than other financial institutions; Second, the commercial bank is the most important part of the shadow banking system in China. The effective supervision of the commercial bank can achieve the purpose of the shadow banking system from the side. China should balance the relationship between financial innovation and financial supervision. In order to achieve this goal, the first step should be to improve the information disclosure system to ensure the information symmetry between investors and financial institutions. Gradually establish the shadow bank risk assessment and early warning system, improve the financial laws and regulations, reduce the shadow bank systematic risk. Moreover, our country should further accelerate the interest rate marketization process, deepen the financial freedom. Make the shadow bank become the financial innovation tool in the real sense.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.3

【相似文献】