影子銀行規(guī)模對我國銀行業(yè)系統(tǒng)性風險的影響研究
發(fā)布時間：2018-11-23 06:17
【摘要】：2008年的全球金融危機根源于美國的衍生品機制,影子銀行在這一過程中起到了推波助瀾的作用,監(jiān)管當局自此開始意識到過去以微觀審慎為核心的監(jiān)管措施難以滿足當前金融市場的風險管理需求,國內外學者對影子銀行業(yè)務的關注程度也日益加深。而據(jù)最新資料顯示,我國影子銀行近年來發(fā)展迅速,監(jiān)管的薄弱使得其風險不斷累積。另外,近年來國內經濟下行壓力加大、利率市場化進程加速,國內金融市場環(huán)境愈發(fā)具有不確定性,未來銀行業(yè)的穩(wěn)定性可能會進一步下降。在該背景下,研究影子銀行規(guī)模對我國銀行業(yè)系統(tǒng)性風險的影響具有一定的理論與現(xiàn)實意義。與以往文獻相比,本文的新意主要在于突破過去以理論研究為主的方式,參考相關研究方法,將影子銀行規(guī)模與銀行業(yè)系統(tǒng)性風險進行合理度量,在利率市場化的背景下,實證分析影子銀行規(guī)模對我國銀行業(yè)系統(tǒng)性風險的影響效果。本文主要的研究脈絡如下:首先,對影子銀行和銀行業(yè)系統(tǒng)性風險的相關情況進行梳理歸納,介紹兩者的概念、特點及成因,并分析影子銀行業(yè)務對銀行業(yè)系統(tǒng)性風險的五大作用機制。然后在對我國影子銀行界定與分類的基礎上,計算了影子銀行業(yè)務的規(guī)模。并通過構建壓力指數(shù)的方法測度了2010年第一季度至2016年第四季度我國銀行業(yè)系統(tǒng)性風險的大小。隨后,在上述基礎上,對銀行業(yè)系統(tǒng)性風險、影子銀行規(guī)模、影子銀行規(guī)模的二次方、消費者價格指數(shù)、1年期存貸利差、財政赤字率變量構建了多元回歸模型,通過協(xié)整檢驗、格蘭杰因果檢驗、OLS估計分析了影子銀行規(guī)模對我國銀行業(yè)系統(tǒng)性風險的影響效果。結果表明,兩者為“U”型關系,即隨著影子銀行規(guī)模的擴大,我國銀行業(yè)系統(tǒng)性風險將經歷先下降后上升的過程。最后,對本文的研究成果進行歸納,結合實證研究結果及國內影子銀行監(jiān)管現(xiàn)狀,從控制影子銀行規(guī)模,避免風險向正規(guī)銀行體系傳播的角度,對規(guī)范影子銀行的發(fā)展提出了一些政策建議。
[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.
【學位授予單位】：首都經濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.3
本文編號：2350579
[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.
【學位授予單位】：首都經濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.3
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