我国影子银行对商业银行的风险溢出效应及强度分析--基于机构与系统的双重视角

The Risk Spillover Effect and Intensity of Chinese Shadow Banks on Commercial Banks:Based on the Dual Perspective of Institutions and System

本文以2008年1月-2018年8月间21家上市金融机构数据为样本,同时利用穆迪等机构发布的中国影子银行报告数据,构建GARCH-COVAR模型,分别考察了各类影子银行机构对商业银行系统的风险溢出效应、影子银行系统对各类商业银行的风险溢出强度,并对上述两种风险溢出进行了动态观测,结果显示:仅从单一机构视角看,民间借贷类影子银行和城市商业银行的风险最大;从风险溢出视角看,风险来源方的溢出效应大小及波动强度依次为信托类机构、证券类机构、民间借贷类机构,风险承受方以股份制商业银行和城市商业银行承受的冲击较大,波动强度也大。据此,本文认为单一机构的风险主要取决于机构自身受到的监管程度及运营的规范性;影子银行风险溢出效应强弱主要取决于影子银行业务与商业银行之间的关联度;商业银行风险承受能力更多地受银行自身规模、风险管理等银行经营因素决定,因此建议民间借贷类机构和城市商业银行需要重点提升自身的风险防控能力;股份制商业银行要提升风险冲击分析能力和应变能力。

This paper takes the data from January 2008 to August 8,2018 of 21 listed financial institutions as a sample,and uses the Chinese shadow banking report data released by Moody’s and other institutions to construct a GARCHCOVAR model.Examing the risk spillover effect of various shadow banking institutions to the commercial banking system,and the risk spillover intensity of the shadow banking system to various commercial banks,and the dynamic observation of the above two types of risk spillovers.The study show that:From a single institutional perspective,the risk of the private lending-like shadow banking and cities Commercial banks are the greatest.From the perspective of risk spillovers,the size of the spillover effect and the volatility of the risk source as followed are trust institutions,securities institutions,and private lending institutions;The impact and the the wave strength of the risk bearer are joint-stock commercial banks and city commercial banks.Based on this,this paper believes that the risk of a single institution mainly depends on the degree of supervision and operation of the institution itself;the risk spillover effect of the shadow bank depends mainly on the degree of correlation between the shadow banking business and the commercial bank;The ability is more determined by the bank’s own scale,risk management and other banking factors.Therefore,it is recommended that private lending institutions and city commercial banks need to focus on improving their risk prevention and control capabilities;jointstock commercial banks should improve their risk impact analysis capabilities and resilience.