中国式影子银行下的金融系统脆弱性

The Fragility of Financial System under the Growing Shadow Banking System in China

本文基于近年来中国影子银行体系迅速增长的现实特征,建立了一个引入影子银行部门的DSGE模型,对中国式影子银行发展过程中的金融系统脆弱性进行了研究。研究结果表明,在疏于监管的影子银行信贷扩张所推动的经济上升期中,商业银行规避监管、取得监管套利的行为主导了影子银行的发展,形成了高杠杆、高度期限错配、关联关系复杂的金融系统,经济上升时期众多单独业务机构忽视系统性风险的行为加剧了顺周期效应,集聚了大量金融风险。

The paper establishes a DSGE model by including a shadow banking system to study the impact of growing shadow banking system in China.The empirical results show that during economic booming fueled by the abnormal social credit expansion through largely unregulated shadow banking activities,enterprises tend to be over-financing which forms the basic condition of financial crisis.The sensitive relationship between enterprises＇increasing financial leverage and the profitability of shadow bank system is the predetermined condition for financial crisis.Such internal fragility of the financial system influenced by shadow banking system is prone to face substantial risk of credit crunch.