资管新规、影子银行与系统性金融风险

New Asset Management Regulations,Shadow Banking and Systemic Financial Risks

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.