摘要
本文首先对影子银行体系规模进行测算,并构建金融稳定指数,进而就影子银行体系对金融稳定的影响进行研究,研究结果表明:影子银行体系对金融稳定的影响存在阈值效应,即呈现出一种倒"U"型关系。随后,以在金融体系中占据主导位置的银行体系为例,通过建立CoVaR模型和GARCH模型,进一步分析认为在考虑影子银行体系对商业银行的风险溢出后,银行体系所面临的风险显著增大;同股份制商业银行和城市商业银行相比,影子银行体系对大型商业银行的风险溢出效应更明显。
This Paper calculated the scale of the shadow banking system,built the Financial Stability Index,and analyzed the impact of the shadow banking system on the financial system's stability.The result shows that the impact of the shadow banking system on the financial system's stability has a threshold effect,which shows a'U'type.Taking the dominant position in the financial system as an example,this paper established CoVaR model and GARCH model,and further found that the risk of the commercial bank system significantly increased after taking into account the shadow banking system.And comparing the joint-stock commercial bank and city commercial bank,the shadow banking system has significantly more risk spillover effect on the large commercial bank.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2017年第11期41-51,共11页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
第60批中国博士后科学基金面上资助项目(2016M601200)
国家社会科学基金重点项目(15AJY021)
关键词
影子银行体系
金融稳定
阈值效应
风险溢出效应
shadow banking system
financial stability
threshold effect
risk spillover effect
