影子银行交叉关联效应研究

Study on the Cross Correlation Effects of the Shadow Banking

影子银行规避监管、追逐超额收益的天然属性,使其业务日趋复杂且交叉关联。笔者通过对影子银行业务种类及其风险进行剖析,构建VAR模型,利用2006年1月至2015年9月我国影子银行数据,对委托贷款、信托贷款、未贴现银行承兑汇票和小额贷款公司信贷额四种主要影子银行形式间的交叉关联效应进行检验。研究发现:我国影子银行业务更主要地以商业银行影子的形式而存在,是商业银行功能的部分替代与补充;四种影子银行业务之间存在单向或双向的因果关系,影子银行业务的交叉关联效应明显;金融监管会在一定程度上弱化影子银行业务的交叉关联效应。基于此,应规范影子银行业务,明晰影子银行业务边界,加强影子银行业务监管,防范风险借助资金链条交叉延伸。

Avoiding regulation and pursuing excess return are the natural attributes of shadow banking,which make its businesses more complex and cross linked. Based on the analysis of the shadow banking businesses types and their risks,we construct VAR model to verify the cross correlation effect among four main types of shadow banking business： loan by mandate,trust loan,non discount bank acceptance bill and small loan company credit volume,with Chinese shadow banking data from January 2006 to September 2015. The study finds that Chinese shadow banking businesses mainly exist as the shadow of commercial bank,replacing and supplying the functions of commercial banks partly; There are one-way or two-way causalities and obvious cross correlation effects among the four kinds of shadow banking businesses; Financial supervision will weaken the cross correlation effects of shadow banking businesses to some extent. Based on this,it should regulate the shadow banking businesses,clear the shadow banking businesses boundaries,strengthen the shadow banking businesses supervision and prevent the cross extension of risks with chain of capital.