摘要
本文以2011-2022年沪深A股的16家上市银行为研究对象,以2018年资管新规的发布作为准自然实验,采用DID方法对影子银行与系统性风险的关系进行实证分析。研究发现:影子银行规模越大的银行在资管新规实施后其系统性风险降低越显著;异质性检验显示,国有控制、高存贷比的银行受资管新规政策影响更大,系统性风险下降更明显;机制检验结果表明,商业银行通过提高贷款质量和资本充足率的路径可降低银行系统性风险。
This article takes 16 listed banks in the Shanghai and Shenzhen A-share markets during 2011-2022 as sam-ples,and uses the release of 2018 new asset management regulations as a quasi natural experiment to empirically analyze the relationship between shadow banking and systemic risk with the DID method.It is found that the banks with larger scale of shadow banking before the implementation of the new asset management regulations have a more significant reduc-tion in systemic risk after the implementation;the heterogeneity testing shows that the state-owned banks with high de-posit-loan ratios are more affected by the new asset management regulations and have a more significant decrease in sys-temic risk;the mechanism test results show that the commercial banks reduce banking system risk through the path of improving loan quality and capital adequacy ratio.
作者
徐喆
雷汉云
李艳艳
丁志勇
XU Zhe;LEI Han-yun;LI Yan-yan;DING Zhi-yong
出处
《金融论坛》
北大核心
2023年第5期3-15,共13页
Finance Forum
基金
国家社科基金项目“南疆三地州经济高质量发展与金融支持研究”(21XJY018)
新疆财经大学重大资政调研项目“绿色金融与新疆乡村振兴深度融合机制的调查研究”(2022XZZ001)
新疆财经大学研究生科研创新项目“金融科技影响银行风险承担的机制研究(XJUFE2022B01)”
山东女子学院青年科研重点课题“基于改进二叉树模型的回溯期权定价及数值分析(2014ZD04)”。
关键词
影子银行
系统性风险
资管新规
双重差分法
shadow banking
systemic risk
new regulation on asset management
Differences-in-Differences method