我国影子银行对商业银行的风险溢出效应——基于GARCH-时变Copula-CoVaR模型的分析

The Risk Spillover Effect of China's Shadow Banking on Commercial Banking Industry——Analysis Based on GARCH-Dynamic Copula-CoVaR Model

近几年,我国影子银行规模持续扩张,其风险溢出问题日益引起学术界关注。本文从我国影子银行自身特点出发,基于偏t分布的GARCH-时变Copula-Co Va R模型测度了各类型影子银行对商业银行的整体以及局部动态风险溢出效应。结果发现:各类型影子银行的风险溢出效应不尽相同,信托业风险溢出最大,其次为证券业,最后为民间借贷业;虽然整体风险溢出较小可控,但仍需防范;影子银行系统对不同类型商业银行风险溢出差别较大,风险溢出由高到低依次为股份制银行、城商银行和国有银行。本文结论对动态监管影子银行系统性风险溢出以及商业银行自身稳健经营具有实证支持作用。

Based on partial t-GARCH-distribution of time-varying Copula-Co Va R model, this paper measures the whole and local dynamic risk spillover effect of the various types of shadow banks on commercial banks from China ＇s shadow banking characters. The study shows： the risk spillover effect of various types of shadow banks are not the same. The biggest effect comes from the trust industry, followed by the securities industry, and the folk lending industry at last; Although the overall risk spillover effect is small and controllable, it still needs to be guarded against; the risk overflow from shadow banking system to different types of commercial bank differs greatly, with the biggest effect on joint-stock banks, followed by city commercial banks and state-owned banks in sequence. The conclusions have empirical support function for the dynamic regulation of the shadow banking system risk spillover and the robust operation of the commercial banking industry.