影子银行业务、银行风险承担与系统性风险

Shadow banking,bank risk taking and systemic risk

影子银行业务对商业银行经营及金融系统稳定具有重要的作用,强化影子银行监管已经成为我国金融监管部门防范和化解金融风险的工作重点。有鉴于此,本文基于银行风险承担渠道视角,采用时变参数向量自回归(SV-TVP-VAR)模型探究了影子银行业务与系统性金融风险之间的动态关联效应与作用机制。研究表明:银行开展影子业务虽然短期内可在一定程度上降低银行风险承担水平,但随着时间延长,银行风险承担水平转而升高;银行风险承担的上升可对系统性风险产生明显的推升作用,但随着时间的推移,这一作用有所减弱;影子银行业务对系统性风险的影响也呈现出随时间变化的非线性特征,随着影子银行业务规模持续攀升、高风险属性逐渐暴露,其对系统性风险的影响由负向转为正向。本文研究丰富了影子银行风险溢出的研究结论,对我国影子银行监管及系统性风险防范具有一定政策启示。

Based on the perspective of bank risk-taking channel,this paper uses time-varying parameter vector autoregression(SV-TVP-VAR)model to explore the dynamic correlation effect and mechanism between shadow banking and systemic financial risk.The results show that:Although the development of shadow business can reduce the level of bank risk-taking in a short period of time,the level of bank risk-taking turns to increase with the extension of time interval;the rise of bank risk-taking can significantly promote the systemic risk,but with the passage of time,this effect is weakened;the impact of shadow banking on systemic risk As the scale of shadow banking business continues to rise and high-risk attributes are gradually exposed,its impact on systemic risk changes from negative to positive;shadow banking can have an impact on financial stability through the bank risk-taking channel,but bank risk-taking is not the decisive factor affecting the Risk Spillover Effect of shadow banking.This paper enriches the conclusions of the research on the Risk Spillover of shadow banking,and has some policy implications for China's shadow banking supervision and systemic risk prevention.