影子银行内生脆弱性、宏观审慎政策与系统性金融风险防范

Macro-Prudential Policies and Systemic Financial Risks of Shadow Banking

随着影子银行规模的不断发展,影子银行业务促进了金融市场的竞争与融合,推动了金融创新,其在金融体系中的作用愈加重要。本文选取2013—2022年13家上市银行的影子银行面板数据,通过回归模型、系统GMM方法,分别检验了影子银行内生脆弱性与宏观审慎政策及其共同作用对系统性金融风险的影响。研究发现:影子银行内生脆弱性会导致系统性金融风险的增加,从而加剧了对金融安全的威胁。从宏观审慎政策工具和防范影子银行内生脆弱性的共同作用效果看,宏观审慎政策工具中的资本监管压力和贷款价值比能够与影子银行脆弱性指数形成互补,有效地降低系统性金融风险。研究结果揭示宏观审慎政策与影子银行内部控制是防范系统性金融风险、维护金融安全的主要途径。

The continuous expansion of shadow banking has promoted competition and integration in the financial market, thereby spurring financial innovation. The role of shadow banking in the financial system has become increasingly important. This article selects shadow banking panel data from 13 listed banks in China from 2013 to 2022. Through regression models and systematic GMM methods, it tests the endogenous vulnerability of shadow banking and evaluates macro prudential policies and their impact on systemic financial risks. Research has found that the endogenous vulnerability of shadow banking can lead to an increase in systemic financial risks, thereby exacerbating the threat to financial security. From the perspective of the combined effect of macro prudential policy tools and the prevention of endogenous vulnerability in shadow banking, the capital regulatory pressure and loan-tovalue ratio of macro prudential policy tools can complement the vulnerability index of shadow banking, effectively reducing systemic financial risks. The article argues that macro prudential policies and internal controls of shadow banks are the main ways to prevent systemic financial risks.