金融风险跨市场传染的驱动机制研究——基于影子银行视角

Research on the Driving Mechanism of Financial Risk Transmission Across Markets——Based on Shadow Banking Perspective

本文基于广义预测误差方差分解测算我国7个金融市场的风险溢出系数,进一步构建大型贝叶斯向量自回归模型,探析影子银行发展对我国金融风险跨市场溢出的影响。结论表明:第一,影子银行强化了我国金融风险跨市场溢出水平,汇率、货币、黄金、大宗商品市场的风险净溢出有所增强,股票、债券、房地产市场的风险净溢入有所增强。第二,债券市场在所有市场中承压最大,特别是货币市场向债券市场的风险净溢出效应最强。第三,进一步的格兰杰因果检验发现,影子银行打破了货币市场资金流向债券市场的政策约束,推升债券市场杠杆,这是影子银行驱动货币市场风险向债券市场溢出的根本原因。

This paper measures the risk spillover coefficients of seven financial markets in China based on the gen-eralized prediction error variance decomposition,and further constructs a large Bayesian vector autoregressive model to explore the impact of the development of shadow banking on the cross-market spillover of financial risk in China.The conclusions show that,first,shadow banking has strengthened the level of cross-market spillovers of financial risk in China,with enhanced net risk spillovers from exchange rate,currency,gold,and commodity markets,and enhanced net risk spillovers into stock,bond,and real estate markets.Second,bond markets were the most pressur-ized of all markets,with the strongest net risk spillover response from money markets to bond markets in particular.Third,further Granger causality tests find that shadow banking breaks the policy constraints on the flow of money mar-ket funds to the bond market and pushes up bond market leverage,which is the root cause of shadow banking-driven spillovers of money market risk to the bond market.