资管新规、影子银行业务与商业银行稳定性风险--基于13家上市银行的实证研究

New Regulations on Asset Management,Shadow Banking and the Stability Risk of Commercial Banks:An Empirical Study Based on 13 Listed Banks

中国人民银行等四部门于2018年4月联合发布的《关于规范金融机构资产管理业务的指导意见》(简称资管新规)有效切断了影子银行业务风险传递路径,但也对商业银行业务开展带来挑战。文章选取13家上市商业银行2011年第2季度到2020年第1季度的数据,通过构建中介效应模型研究资管新规、影子银行业务和商业银行稳定性风险之间的关系。结果表明,三者间存在中介效应,且在资管新规作用下商业银行影子银行业务与银行稳定性风险之间呈现非线性的U型关系。通过分样本、增加控制变量以及广义矩估计法对上述结论进行稳健性检验,均验证资管新规政策对商业银行稳定性带来的影响,并据此提出相关建议。

The Guidance on Regulating the Asset Management Business of Financial Institutions,issued by the People’s Bank of China in April 2018,no only effectively cuts off the transmission path of shadow banking risk,but also brings challenges to commercial banks.The authors use the data of 13 listed commercial banks from the second quarter of 2011 to the first quarter of 2020,and explores the relationship between the new regulations,shadow banking and the stability risk of commercial banks by constructing an intermediary effect regression model.The empirical results show that there is an intermediary effect between the three above,and there is a non-linear U-shaped relationship between the shadow banking business of commercial banks and the stability risk of banks under the role of the new asset management regulations.The robustness tests by dividing samples,adding control variables and generalized moment estimation method confirms the impact of the new asset management regulations on the stability of commercial banks,and puts forward some relevant suggestions accordingly.