影子银行交叉关联效应研究

发布时间：2018-11-12 06:40

【摘要】：影子银行规避监管、追逐超额收益的天然属性,使其业务日趋复杂且交叉关联。笔者通过对影子银行业务种类及其风险进行剖析,构建VAR模型,利用2006年1月至2015年9月我国影子银行数据,对委托贷款、信托贷款、未贴现银行承兑汇票和小额贷款公司信贷额四种主要影子银行形式间的交叉关联效应进行检验。研究发现:我国影子银行业务更主要地以商业银行影子的形式而存在,是商业银行功能的部分替代与补充;四种影子银行业务之间存在单向或双向的因果关系,影子银行业务的交叉关联效应明显;金融监管会在一定程度上弱化影子银行业务的交叉关联效应。基于此,应规范影子银行业务,明晰影子银行业务边界,加强影子银行业务监管,防范风险借助资金链条交叉延伸。
[Abstract]:Shadow banking evades supervision and pursues the nature of excess income, which makes its business increasingly complex and cross-related. Based on the analysis of the types and risks of shadow banking business, the author constructs the VAR model and makes use of the shadow banking data from January 2006 to September 2015. The cross-correlation effect between the four main shadow banking forms of non-discounted bank acceptance draft and microcredit company credit is tested. It is found that the shadow banking business of our country mainly exists in the form of shadow of commercial banks, which is a partial substitution and supplement of the functions of commercial banks; There is a one-way or two-way causal relationship between the four kinds of shadow banking business, the cross-correlation effect of shadow banking business is obvious, and financial supervision will weaken the cross-correlation effect of shadow banking business to some extent. Based on this, we should standardize shadow banking business, clarify the boundary of shadow banking business, strengthen the supervision of shadow banking business, and guard against risks by means of the cross extension of capital chain.
【作者单位】：南京大学金融与保险学系;
【基金】：国家社会科学基金项目“‘影子银行’交叉传染风险度量及控制机制研究”(项目编号:14BGL031) 江苏2011计划“区域经济转型与管理变革协同创新中心”重大招标课题“防止发生区域性、系统性金融风险研究”(项目编号:2015-11) 中国特色社会主义经济建设协同创新中心资助
【分类号】：F832.3

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