商业银行参与影子银行业务与金融风险传染——基于影子银行体系资金供给方的视角

Commercial banks' participation in shadow banking and financial risk contagion:From a perspective of capital supply in shadow banking

商业银行通过通道、同业等方式参与影子银行业务,以此达到规避监管、扩张信用的目的,最终造成了中国式影子银行的快速发展。在此背景下,探究商业银行参与影子银行业务与金融风险传染之间的关系,对于明确风险传染生成机制、防范系统性金融风险具有重要意义。文章使用2007—2017年间上市金融机构的微观数据,对商业银行条件在险价值CoVaR进行了测算,并基于面板VAR模型,从影子银行体系资金供给方的视角出发,实证分析了中国商业银行参与影子银行业务对金融风险传染的影响。结果表明:影子银行对商业银行有明显的风险传染效应,而商业银行参与影子银行业务是其受到影子银行风险传染的重要原因。商业银行作为影子银行体系最主要的资金供给方,通过应收款项类投资和买入返售金融资产等非信贷科目持有的影子银行资产越多,则与影子银行具有越高的资产负债关联,将受到更高的风险传染。据此建议:应充分关注商业银行通过非信贷科目向影子银行部门提供资金的行为,同时还应加强监管协调、防范监管套利等。

In order to avoid supervision and expand credit, commercial banks participate in shadow banking through channel business and interbank business, which results in the rapid development of shadow banking in China. In this context, it has a great significance on clarifying generation mechanism of the risk contagion and preventing systemic financial risk by exploring the relationship between commercial banks’participation in shadow banking and financial risk contagion. Based on the data of listed financial institutions from 2007 to 2017, this paper calculates the commercial banks’ conditional value at risk, and uses PVAR model to analyze the impact of commercial banks’ participation in the shadow banking on financial risk contagion. The result shows that shadow banking has a significant risk contagion effect on commercial banks,and this effect mainly results from the participation of commercial banks in shadow banking. Besides, the more shadow banking assets commercial banks hold through non-credit account such as " Accounts Receivable Investment" and " Redemptory Monetary Capital for Sale", the higher balance sheet association with shadow banking and the greater the risk contagion will be. Therefore, it suggests that we should pay full attention to the operation on commercial banks providing funds to the shadow banking through non-credit accounts, strengthen regulatory coordination and prevent regulatory arbitrage.