中国影子银行的演进发展与风险评价

The Evolution of Shadow Banking of China and It's Endogenous Risk

2008年至今,我国影子银行发展不断深化,重要机构之间联系广泛,风险衍生不可忽视。本文以影子银行产品结构演进视角分析风险衍生,基于此对风险进行测度,以夯实监管依据。通过对2008—2013年数据采用Va R-EGARCH-M和VAR模型进行分析,发现我国影子银行呈现风险不对称性,虽整体风险可控,但暴露的风险和内在风险不一致,在于信托、银行理财产品收益存在隐性担保。此外,影子银行发展特征使其存在重要机构内生性风险、实体经济风险和宏观调控风险。

So far, the regulation of shadow banking of China has falls behind its development, partly because of the lacking of quantitative basis of regulation-making. This article first analyzes the evolution of Chinese shadow banking to reveal risk deriving points, then measures the risk to provide quantitative basis. By adopting the Va R- EGARCH-M and VAR model with data ranging from 2008 to 2013, we find that the risk of shadow banking of China is asymmetrical, although the overall risk is under control, the exposure risk and real ones are inconsistent, the reason maybe the implicit guarantee of profit of both trust product and bank financial product. Besides, the shadow banking of China has three main macroeconomic risks, namely the endogenous risk of significant financial institutions, the real economy risk and the deviation risk of macroeconomic regulation.