中国影子银行部门系统性风险的形成、影响与应对

Systemic Risk in Chinese Shadow Banking Sector:Risk Contagion Mechanism,Influence and Control

本文分析了影子银行风险传染机制及其影响，在违约风险基于会计账户传染的马尔科夫过程假设下，运用投入产出法构建影子银行系统性风险测度模型，以2007--2012年中国影子银行业务数据进行检验，结果显示，信托公司部门是主要的风险源，银行部门是系统性风险最主要的承担者，观测期内影子银行部门系统性风险整体呈现上升趋势。防控系统性风险应从影子银行业务风险隔离机制、资本与杠杆率监管、信息透明度、宏观审慎框架和风险应急机制等建设着手。

The paper studies the risk contagion mechanism and influence of sys- temic risk in Chinese shadow banking sector. We argue that risk contagion is a Markov process and then use I-O analysis to the study of dynamic ongoing process of risk transfer. We examine the systemic risk in Chinese shadow banking system with relevant transaction data from 2007 to 2012. Empirical results show that with- in the observation period, trust companies are the most powerful engines for sys- temic risk and banks suffer the most from negative externalities. Systemic risk as a whole in shadow banking system shows an uptrend. Isolation of risk, proper regu- lation on capital adequacy ratios, information disclosure, Macro-prudential supervi- sion and emergency package are needed to control systemic risk.