影子银行对中国银行业系统性风险的影响实证——基于Credit-to-GDP Gaps指标

An Empirical Study on the Impact of Shadow Banks on China Bank Systemic Risk——Based on Credit-to-GDP Gaps Index

借鉴以往文献的影子银行测算方法,采用国际清算银行的Credit-to-GDP gaps指标作为银行业系统性风险的衡量指标,以2001~2016年的数据运用VAR模型对影子银行规模对中国银行业系统性风险的关系进行实证研究,结果显示,观测期内影子银行规模与中国银行业系统性风险呈正相关,且正效应在6年后达到最大,具有长期持续性。最后根据分析给出政策建议。

Using the shadow bank calculation method of previous literature, the Credit-to-GDP gaps index of the Bank for international settlement is used as a measure index of the systemic risk of the banking industry. The empirical study on the relationship between the shadow bank scale and the Chinese banking system risk is carried out with the data of 2001-2016 years. The results show that the size of shadow banks is positively correlated with the systemic risk of China＇s banking industry, and the positive effect reaches the maximum in 6 years, and has long-term sustainability. Finally, the policy recommendations are given according to the analysis.