中国影子银行对金融稳定性的影响

The Impact of Shadow Banking on Financial Stability in China

中国影子银行在促进实体经济快速发展的同时也加大了金融系统的内部风险。基于此,将中国影子银行按业务归属具体划分为商业银行表外业务、其他金融机构表外业务以及未观测社会信贷三个部分,通过选取2011年至2017年各季度数据对影子银行总体规模及上述三类型规模进行测算,利用主成分分析方法从金融机构及经济环境、股票市场、利率影响以及外汇市场四个方面设定金融稳定性指数,再利用VAR模型实证分析中国影子银行规模对金融稳定性影响的程度。经过实证研究发现,在各类型影子银行竞争中金融系统风险被逐渐积累并向金融体系快速传染,其中其他金融机构表外业务的盲目扩张对金融系统稳定性的影响尤为显著,由此提出通过构建影子银行功能监管体系,同时完善风险隔离防范机制,以削减对金融体系的负面影响。

Shadow banking in China has promoted the development of the real economy, but it has also increased the internal risks of the financial system. In this paper, the China’s shadow banking is divided into three parts: Off-Balance-Sheet activities of bank, Off-Balance-Sheet activities of other financial institutions and unobserved social credit, which can be measured by selecting the quarterly data from 2011 to 2017.The principal component analysis method is used to construct the financial stability index from four aspects: financial institution and economic environment, stock market, foreign exchange market and interest rate. VAR model is used to analyze the impact of China’s shadow banking scale on financial stability. The study found that financial system risks are gradually accumulating in various types of shadow banking competition, which spread to the financial system rapidly. And the impact of other financial institutions’ Off-Balance-Sheet expansion is particularly significant. Therefore, it is necessary to establish a functional supervision system of shadow banking, build a reasonable risk-remote mechanism, and reduce the negative impact on the financial system.