我国影子银行的风险与政策分析

Analysis of the Risk and Policy of the Shadow Banking in China

运用实证研究方法分析了影子银行体系对货币政策的实施效果和金融稳定性的影响。基于2005年6月至2015年6月的月度数据,对各个经济变量序列进行了平稳性检验,得出经济变量的一阶差分平稳序列,并建立VAR模型。依据VAR模型检验结果检验模型稳定性,判断格兰杰因果关系,进行脉冲响应函数分析和方差分解分析,以此分析影子银行对经济的冲击效果和风险大小。依据影子银行产生的风险效果,提出相关的政策和建议,防范影子银行风险对经济的负面冲击。

This paper gives a brief introduction of relevant background of the shadow banking , and carries out the theoretical analysis for the different risk contained in the shadow banking, then focuses on analyzing the effect of shadow banking system for monetary policy implementation effect and financial stability through empirical analysis . Based on the monthly data from June 2005 to June 2015 , this paper carries out stationary test on the economic variables sequence and gets a first-order difference stationary sequence and establishes VAR model. According to the VAR model, this paper carries out model stability test, Granger causality test,pulse response function analysis and variance decomposition analysis in order to analyze the shadow bankings effect and size of risk on the economy. Finally, on the basis of risk effect of shadow banking, this paper puts forward relevant policies and suggestions to prevent negative impact of the shadow banking risks on the economy.