【摘要】：2008年國際金融危機后,銀行系統(tǒng)性風險已經(jīng)成為國內(nèi)外學術(shù)界的一個熱門話題。在這次金融危機中,影子銀行體系的不穩(wěn)定性對金融動蕩起到了重要作用。近年來,我國影子銀行體系規(guī)模迅速增長,在支持中小企業(yè)融資等方面發(fā)揮了重要的作用。但由于我國對影子銀行的監(jiān)管相對比較薄弱,影子銀行風險在不斷形成和蔓延,給傳統(tǒng)銀行體系帶來了很大威脅。因此,研究影子銀行規(guī)模對我國銀行系統(tǒng)性風險的影響及其路徑,對減少銀行系統(tǒng)性風險、維護我國金融穩(wěn)定都有很大的理論和現(xiàn)實意義。文章首先對影子銀行和銀行系統(tǒng)性風險的相關(guān)理論進行分析,界定影子銀行與銀行系統(tǒng)性風險的概念,歸納影子銀行對銀行系統(tǒng)性風險的影響機理。在對我國影子銀行定義與范圍界定的基礎(chǔ)上,對我國影子銀行的規(guī)模進行測算。在對銀行系統(tǒng)性風險定義界定、成因分析的基礎(chǔ)上,選取指標變量法、利用因子分析法對我國銀行系統(tǒng)性風險進行測度。在對影子銀行規(guī)模和銀行系統(tǒng)性風險進行測度的基礎(chǔ)上,使用1994-2012年的數(shù)據(jù),利用VAR模型和狀態(tài)空間模型對影子銀行規(guī)模對銀行系統(tǒng)性風險的影響進行實證研究。得出:影子銀行規(guī)模對銀行系統(tǒng)性風險有正的影響,且這種影響有較強的持續(xù)性;影子銀行規(guī)模對銀行系統(tǒng)性風險的影響在國際金融危機期間較高,而在非金融危機期間較低。在對影子銀行對銀行系統(tǒng)性風險的影響機理分析的基礎(chǔ)上,使用1994-2012年的數(shù)據(jù),分別在不考慮交叉作用和考慮交叉作用的條件下,對我國影子銀行規(guī)模影響銀行系統(tǒng)性風險的路徑進行實證分析。得出:短期內(nèi)影子銀行規(guī)模的增加并未通過影響商業(yè)銀行流動性、資產(chǎn)價格波動和不良貸款率水平對銀行系統(tǒng)性風險產(chǎn)生影響;而長期內(nèi)影子銀行規(guī)模的增加通過提高商業(yè)銀行流動性、加大資產(chǎn)價格波動、提高不良貸款率的路徑加大了我國的銀行系統(tǒng)性風險;影子銀行規(guī)模通過與資產(chǎn)價格波動的交互作用增加了銀行系統(tǒng)性風險。最后根據(jù)實證結(jié)果及我國實際情況提出相關(guān)政策建議:完善影子銀行監(jiān)管體系;建立統(tǒng)一的銀行系統(tǒng)性風險監(jiān)控體系;推進利率市場化進程;控制影子銀行資金流向,引導影子銀行發(fā)展;建立影子銀行與傳統(tǒng)銀行間的防火墻機制,預(yù)防風險傳遞。
[Abstract]:After the international financial crisis in 2008, systemic risk of banks has become a hot topic in academic circles at home and abroad. The instability of the shadow banking system played an important role in the financial crisis. In recent years, China's shadow banking system has grown rapidly and played an important role in supporting SME financing. However, because of the relatively weak supervision of shadow banking in China, the risk of shadow banking is constantly forming and spreading, which has brought a great threat to the traditional banking system. Therefore, it is of great theoretical and practical significance to study the influence of shadow banking scale on the systemic risk of Chinese banks and its path, to reduce the systemic risks of banks and to maintain the financial stability of our country. This paper first analyzes the theory of shadow banking and banking systemic risk, defines the concept of shadow banking and banking systemic risk, and summarizes the influence mechanism of shadow banking on banking systemic risk. Based on the definition and scope of shadow banking in China, the scale of shadow banking in China is measured. On the basis of defining and analyzing the causes of bank systemic risk, this paper selects the index variable method and uses factor analysis method to measure the bank systemic risk in our country. Based on the measurement of shadow banking scale and banking systemic risk, the paper makes an empirical study on the influence of shadow bank size on banking systemic risk by using VAR model and state space model using the data from 1994 to 2012. It is concluded that the scale of shadow banking has a positive effect on the systemic risk of banks, and this influence has strong persistence; the impact of scale of shadow banking on systemic risk of banks is higher during the international financial crisis, but lower during the non-financial crisis. Based on the analysis of the influence mechanism of shadow banking on the systemic risk of banks, using the data from 1994 to 2012, without considering the cross action and considering the cross action, respectively, This paper makes an empirical analysis on the path of shadow banking scale affecting the systemic risk of banks. It is concluded that in the short term, the increase of shadow banking size does not affect the liquidity of commercial banks, the fluctuation of asset prices and the level of non-performing loans to the systemic risk of banks; In the long run, the increase of shadow banking scale increases the systemic risk of Chinese banks by increasing the liquidity of commercial banks, increasing the fluctuation of asset prices and increasing the non-performing loan ratio. Shadow banking size increases systemic risk through interaction with asset price volatility. Finally, according to the empirical results and the actual situation in China, some policy suggestions are put forward: to improve the shadow banking supervision system; to establish a unified systematic risk monitoring system of banks; to promote the interest rate marketization process; to control the flow of shadow bank funds. Guide the development of shadow bank, establish firewall mechanism between shadow bank and traditional bank, prevent risk transmission.
【學位授予單位】：中國礦業(yè)大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.3

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