影子银行与金融系统稳定性失衡的实证研究

An Empirical Study on Shadow Banking and the Financial System Imbalance

中国影子银行推动实体经济发展虽功不可没,但也迅速积累了金融系统的内部风险。将中国影子银行活动范围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,选取了2011年至2017年各季度数据对影子银行总体规模及各类型规模进行测算,利用主成分分析方法从金融机构、金融市场、外汇市场、利率影响四个方面构建金融稳定性指数,同时基于VAR模型实证探讨中国影子银行规模对金融稳定性的影响。

Shadow banking in China has promoted the real economy, but it has also rapidly accumulated internal risks in the financial system. This paper divides China’s shadow banking into three parts: off-balance-sheet activities of commercial banks, off-balance-sheet activities of other financial institutions and unobserved social credit. This paper also measures the overall scale and scales of each type of shadow banks by selecting the quarterly data from 2011 to 2017, and constructs the financial stability index from four aspects-financial institution, financial market, foreign exchange market and interest rate influence-using the principal component analysis method. Meanwhile, based on the VAR model, an empirical study on the impact of China’s shadow banking scale on financial stability is carried out.