我国商业银行影子业务的风险溢出效应研究

发布时间：2018-08-13 10:33

【摘要】：我国国内生产总值(GDP)增长率自2008年至今一直呈下降趋势,商业银行开展传统业务已变得越来越困难,因此银行开始发展影子业务来实现对高额利润的追求。然而银行在发展影子业务的过程中也暴露出了许多问题,它们的影子业务有着潜在的风险并且具有溢出效应——不仅会在金融机构间互相传递,更会传染给整个金融市场,破坏金融市场的稳定性。因此,研究缺乏监管的商业银行影子业务及其风险溢出效应对我国经济发展有着重要的意义。银行发展影子业务对我国的经济来说其实是一把双刃剑,它的发展可以给银行带来业绩上的要求,进而为我国经济的发展提供资金支出、增加货币市场的流动性。但同时,过大的影子业务规模会给商业银行本身带来风险,也会给整个金融市场带来风险、破坏金融市场的稳定性,所以适度规模的银行影子业务成为了我们控制风险的主要对象。本文在界定银行影子业务相关概念的基础上,提出了影子业务产生的原因及其在我国目前存在的问题,立足于宏微观视角从理论上分析了银行影子业务风险溢出的传导路径,并运用Co VaR方法计算了银行的系统性风险贡献度,用来证明银行影子业务与系统性风险是呈“U”型关系的,最后再结合风险的溢出路径研究和实证分析结果给出相应的政策建议。目前我国学者对银行影子业务的研究大多集中于个体的内在风险和监管措施上,很少关注银行影子业务的风险溢出效应,论文研究受数据和资料的可获得性限制,无法做到全面详细,甚至存在很多欠缺。但本文得出的研究结果对商业银行控制自身风险,对政府监管影子业务规模、控制金融市场稳定性都具有一定的借鉴意义。
[Abstract]:China's (GDP) growth rate has been declining since 2008, commercial banks have become increasingly difficult to carry out traditional business, so banks began to develop shadow business to achieve the pursuit of high profits. However, in the process of developing shadow business, banks have also exposed many problems. Their shadow business has potential risks and spillover effects not only among financial institutions, but also to the entire financial market. Destabilize financial markets. Therefore, the study of shadow business and its risk spillover effect of commercial banks without supervision is of great significance to the economic development of our country. The development of shadow banking is actually a double-edged sword to the economy of our country. Its development can bring about the requirement of performance to the bank, and then provide the capital expenditure for the development of our country's economy and increase the liquidity of the money market. But at the same time, too large a shadow business scale will bring risks to the commercial banks themselves, and will also bring risks to the entire financial market, thus undermining the stability of the financial markets. So the moderate scale of banking shadow business has become the main object of our risk control. On the basis of defining the related concepts of shadow business in banks, this paper puts forward the causes of shadow business and the existing problems in our country. Based on the macro and micro perspective, this paper analyzes the transmission path of risk spillover of shadow business in banks theoretically. The contribution degree of systematic risk of banks is calculated by using Co VaR method, which is used to prove that the relationship between shadow business and systemic risk of banks is of "U" type. Finally, combined with the risk spillover path research and empirical analysis, the corresponding policy recommendations are given. At present, most of the researches on shadow banking are focused on the internal risks and supervision measures of the individual, and little attention is paid to the risk spillover effect of the shadow business of the banks. The paper is limited by the availability of data and information. Can not achieve full detail, even there are many deficiencies. However, the results of this paper can be used for reference for commercial banks to control their own risks, to control the scale of shadow business and to control the stability of financial markets.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2

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