影子银行规模对我国银行业系统性风险的影响研究

发布时间：2018-11-23 06:17

【摘要】：2008年的全球金融危机根源于美国的衍生品机制,影子银行在这一过程中起到了推波助澜的作用,监管当局自此开始意识到过去以微观审慎为核心的监管措施难以满足当前金融市场的风险管理需求,国内外学者对影子银行业务的关注程度也日益加深。而据最新资料显示,我国影子银行近年来发展迅速,监管的薄弱使得其风险不断累积。另外,近年来国内经济下行压力加大、利率市场化进程加速,国内金融市场环境愈发具有不确定性,未来银行业的稳定性可能会进一步下降。在该背景下,研究影子银行规模对我国银行业系统性风险的影响具有一定的理论与现实意义。与以往文献相比,本文的新意主要在于突破过去以理论研究为主的方式,参考相关研究方法,将影子银行规模与银行业系统性风险进行合理度量,在利率市场化的背景下,实证分析影子银行规模对我国银行业系统性风险的影响效果。本文主要的研究脉络如下:首先,对影子银行和银行业系统性风险的相关情况进行梳理归纳,介绍两者的概念、特点及成因,并分析影子银行业务对银行业系统性风险的五大作用机制。然后在对我国影子银行界定与分类的基础上,计算了影子银行业务的规模。并通过构建压力指数的方法测度了2010年第一季度至2016年第四季度我国银行业系统性风险的大小。随后,在上述基础上,对银行业系统性风险、影子银行规模、影子银行规模的二次方、消费者价格指数、1年期存贷利差、财政赤字率变量构建了多元回归模型,通过协整检验、格兰杰因果检验、OLS估计分析了影子银行规模对我国银行业系统性风险的影响效果。结果表明,两者为“U”型关系,即随着影子银行规模的扩大,我国银行业系统性风险将经历先下降后上升的过程。最后,对本文的研究成果进行归纳,结合实证研究结果及国内影子银行监管现状,从控制影子银行规模,避免风险向正规银行体系传播的角度,对规范影子银行的发展提出了一些政策建议。
[Abstract]:The 2008 global financial crisis was rooted in the US derivatives system, and shadow banking played a role in the process. Since then, regulators began to realize that in the past, micro-prudential regulatory measures could not meet the risk management needs of the current financial market, and scholars at home and abroad are paying more and more attention to shadow banking business. According to the latest data, shadow banking in China has developed rapidly in recent years. In addition, in recent years, the downward pressure on the domestic economy has increased, the interest rate marketization process has accelerated, the domestic financial market environment has become increasingly uncertain, and the stability of the banking industry may decline further in the future. Under this background, it is of theoretical and practical significance to study the influence of shadow banking scale on the systemic risk of China's banking industry. Compared with the previous literature, the innovation of this paper is mainly to break through the previous theoretical research methods, refer to the relevant research methods, measure the scale of shadow banking and the systemic risk of banking industry reasonably, under the background of interest rate marketization. This paper empirically analyzes the effect of shadow banking scale on the systemic risk of China's banking industry. The main research context of this paper is as follows: first of all, the related situation of shadow banking and banking systemic risk is summarized, and the concept, characteristics and causes of the two are introduced. And analyzes the shadow banking business to the banking systemic risk five function mechanism. Then, based on the definition and classification of shadow banking in China, the scale of shadow banking business is calculated. The paper measures the systemic risk of China's banking industry from the first quarter of 2010 to the fourth quarter of 2016 by constructing the stress index. Then, on the basis of the above, a multivariate regression model is constructed for the variables of banking systemic risk, shadow banking size, consumer price index, one-year deposit and loan interest rate, fiscal deficit rate, etc. By cointegration test, Granger causality test, OLS estimates the effect of shadow banking size on the systemic risk of banking in China. The results show that the relationship between them is "U" type, that is, with the expansion of shadow banking scale, the systemic risk of China's banking industry will first decline and then rise. Finally, this paper summarizes the research results, combined with the empirical research results and domestic shadow banking regulatory status, from the perspective of controlling the scale of shadow banking, avoiding the spread of risk to the formal banking system. Some policy suggestions are put forward to standardize the development of shadow banking.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.3

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