【摘要】：我國國內(nèi)生產(chǎn)總值(GDP)增長率自2008年至今一直呈下降趨勢,商業(yè)銀行開展傳統(tǒng)業(yè)務已變得越來越困難,因此銀行開始發(fā)展影子業(yè)務來實現(xiàn)對高額利潤的追求。然而銀行在發(fā)展影子業(yè)務的過程中也暴露出了許多問題,它們的影子業(yè)務有著潛在的風險并且具有溢出效應——不僅會在金融機構(gòu)間互相傳遞,更會傳染給整個金融市場,破壞金融市場的穩(wěn)定性。因此,研究缺乏監(jiān)管的商業(yè)銀行影子業(yè)務及其風險溢出效應對我國經(jīng)濟發(fā)展有著重要的意義。銀行發(fā)展影子業(yè)務對我國的經(jīng)濟來說其實是一把雙刃劍,它的發(fā)展可以給銀行帶來業(yè)績上的要求,進而為我國經(jīng)濟的發(fā)展提供資金支出、增加貨幣市場的流動性。但同時,過大的影子業(yè)務規(guī)模會給商業(yè)銀行本身帶來風險,也會給整個金融市場帶來風險、破壞金融市場的穩(wěn)定性,所以適度規(guī)模的銀行影子業(yè)務成為了我們控制風險的主要對象。本文在界定銀行影子業(yè)務相關(guān)概念的基礎(chǔ)上,提出了影子業(yè)務產(chǎn)生的原因及其在我國目前存在的問題,立足于宏微觀視角從理論上分析了銀行影子業(yè)務風險溢出的傳導路徑,并運用Co VaR方法計算了銀行的系統(tǒng)性風險貢獻度,用來證明銀行影子業(yè)務與系統(tǒng)性風險是呈“U”型關(guān)系的,最后再結(jié)合風險的溢出路徑研究和實證分析結(jié)果給出相應的政策建議。目前我國學者對銀行影子業(yè)務的研究大多集中于個體的內(nèi)在風險和監(jiān)管措施上,很少關(guān)注銀行影子業(yè)務的風險溢出效應,論文研究受數(shù)據(jù)和資料的可獲得性限制,無法做到全面詳細,甚至存在很多欠缺。但本文得出的研究結(jié)果對商業(yè)銀行控制自身風險,對政府監(jiān)管影子業(yè)務規(guī)模、控制金融市場穩(wěn)定性都具有一定的借鑒意義。
[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.
【學位授予單位】：云南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.2

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