“双支柱”调控框架、影子银行与银行系统性风险

Two-Pillar Regulatory Framework,Shadow Banking and Banking Systemic Risk

本文基于中国上市商业银行2013-2020年的面板数据,研究“双支柱”调控框架对银行系统性风险的影响,并检验影子银行的中介效应。研究结果表明:货币政策与宏观审慎政策越紧缩,对银行系统性风险的抑制程度越强,且同一方向的两种政策具有相互加强效应;不同政策组合的调控效应存在差异:两项政策同时紧縮的抑制效应最强,货币政策紧缩而宏观审慎政策宽松的调控效应次之,货币政策宽松而宏观审慎政策紧缩的效应稍弱,两项政策同时宽松效应最弱;作用机制检验发现,“双支柱”调控框架通过過制影子银行的扩张抑制银行系统性风险。

Based on the panel data of Chinese listed commereial banks during 2013-2020,this paper studies the impact of the two-pillar regulatory framework on the systemic risk of lanks,and lests the intermediary effect of shadow banking.The results show that the tighter the monetary policy and macro prudential policy are,the stronger the inhibitory impact is on banking systemice risk,and the two policies in the same direction have a mutually reinforceing ffeet.There are differences in the regulatory ffcts of different policy combinations:the tightening of monetary policy and macro-prudential policy would have the most significant restraining efect;the combination of tightening monetary policy and acconmodative macro-prudential policy would have less significant restraining ffect;the influence of the combination of accommodative monetary policy and tightening macro-prudential policy is even weaker;and the effect of the simultaneous easing of the two policies would be the weakest.The mechanism test shows that the two-pillar regulatory framework curbed banking systemie risk by curbing the expansion of shadow banking.