【摘要】：2008年國(guó)際金融危機(jī)后,銀行系統(tǒng)性風(fēng)險(xiǎn)已經(jīng)成為國(guó)內(nèi)外學(xué)術(shù)界的一個(gè)熱門話題。在這次金融危機(jī)中,影子銀行體系的不穩(wěn)定性對(duì)金融動(dòng)蕩起到了重要作用。近年來(lái),我國(guó)影子銀行體系規(guī)模迅速增長(zhǎng),在支持中小企業(yè)融資等方面發(fā)揮了重要的作用。但由于我國(guó)對(duì)影子銀行的監(jiān)管相對(duì)比較薄弱,影子銀行風(fēng)險(xiǎn)在不斷形成和蔓延,給傳統(tǒng)銀行體系帶來(lái)了很大威脅。因此,研究影子銀行規(guī)模對(duì)我國(guó)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響及其路徑,對(duì)減少銀行系統(tǒng)性風(fēng)險(xiǎn)、維護(hù)我國(guó)金融穩(wěn)定都有很大的理論和現(xiàn)實(shí)意義。文章首先對(duì)影子銀行和銀行系統(tǒng)性風(fēng)險(xiǎn)的相關(guān)理論進(jìn)行分析,界定影子銀行與銀行系統(tǒng)性風(fēng)險(xiǎn)的概念,歸納影子銀行對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響機(jī)理。在對(duì)我國(guó)影子銀行定義與范圍界定的基礎(chǔ)上,對(duì)我國(guó)影子銀行的規(guī)模進(jìn)行測(cè)算。在對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)定義界定、成因分析的基礎(chǔ)上,選取指標(biāo)變量法、利用因子分析法對(duì)我國(guó)銀行系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行測(cè)度。在對(duì)影子銀行規(guī)模和銀行系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行測(cè)度的基礎(chǔ)上,使用1994-2012年的數(shù)據(jù),利用VAR模型和狀態(tài)空間模型對(duì)影子銀行規(guī)模對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響進(jìn)行實(shí)證研究。得出:影子銀行規(guī)模對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)有正的影響,且這種影響有較強(qiáng)的持續(xù)性;影子銀行規(guī)模對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響在國(guó)際金融危機(jī)期間較高,而在非金融危機(jī)期間較低。在對(duì)影子銀行對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響機(jī)理分析的基礎(chǔ)上,使用1994-2012年的數(shù)據(jù),分別在不考慮交叉作用和考慮交叉作用的條件下,對(duì)我國(guó)影子銀行規(guī)模影響銀行系統(tǒng)性風(fēng)險(xiǎn)的路徑進(jìn)行實(shí)證分析。得出:短期內(nèi)影子銀行規(guī)模的增加并未通過(guò)影響商業(yè)銀行流動(dòng)性、資產(chǎn)價(jià)格波動(dòng)和不良貸款率水平對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)產(chǎn)生影響;而長(zhǎng)期內(nèi)影子銀行規(guī)模的增加通過(guò)提高商業(yè)銀行流動(dòng)性、加大資產(chǎn)價(jià)格波動(dòng)、提高不良貸款率的路徑加大了我國(guó)的銀行系統(tǒng)性風(fēng)險(xiǎn);影子銀行規(guī)模通過(guò)與資產(chǎn)價(jià)格波動(dòng)的交互作用增加了銀行系統(tǒng)性風(fēng)險(xiǎn)。最后根據(jù)實(shí)證結(jié)果及我國(guó)實(shí)際情況提出相關(guān)政策建議:完善影子銀行監(jiān)管體系;建立統(tǒng)一的銀行系統(tǒng)性風(fēng)險(xiǎn)監(jiān)控體系;推進(jìn)利率市場(chǎng)化進(jìn)程;控制影子銀行資金流向,引導(dǎo)影子銀行發(fā)展;建立影子銀行與傳統(tǒng)銀行間的防火墻機(jī)制,預(yù)防風(fēng)險(xiǎn)傳遞。
[Abstract]:After the international financial crisis in 2008, systemic risk of banks has become a hot topic in academic circles at home and abroad. The instability of the shadow banking system played an important role in the financial crisis. In recent years, China's shadow banking system has grown rapidly and played an important role in supporting SME financing. However, because of the relatively weak supervision of shadow banking in China, the risk of shadow banking is constantly forming and spreading, which has brought a great threat to the traditional banking system. Therefore, it is of great theoretical and practical significance to study the influence of shadow banking scale on the systemic risk of Chinese banks and its path, to reduce the systemic risks of banks and to maintain the financial stability of our country. This paper first analyzes the theory of shadow banking and banking systemic risk, defines the concept of shadow banking and banking systemic risk, and summarizes the influence mechanism of shadow banking on banking systemic risk. Based on the definition and scope of shadow banking in China, the scale of shadow banking in China is measured. On the basis of defining and analyzing the causes of bank systemic risk, this paper selects the index variable method and uses factor analysis method to measure the bank systemic risk in our country. Based on the measurement of shadow banking scale and banking systemic risk, the paper makes an empirical study on the influence of shadow bank size on banking systemic risk by using VAR model and state space model using the data from 1994 to 2012. It is concluded that the scale of shadow banking has a positive effect on the systemic risk of banks, and this influence has strong persistence; the impact of scale of shadow banking on systemic risk of banks is higher during the international financial crisis, but lower during the non-financial crisis. Based on the analysis of the influence mechanism of shadow banking on the systemic risk of banks, using the data from 1994 to 2012, without considering the cross action and considering the cross action, respectively, This paper makes an empirical analysis on the path of shadow banking scale affecting the systemic risk of banks. It is concluded that in the short term, the increase of shadow banking size does not affect the liquidity of commercial banks, the fluctuation of asset prices and the level of non-performing loans to the systemic risk of banks; In the long run, the increase of shadow banking scale increases the systemic risk of Chinese banks by increasing the liquidity of commercial banks, increasing the fluctuation of asset prices and increasing the non-performing loan ratio. Shadow banking size increases systemic risk through interaction with asset price volatility. Finally, according to the empirical results and the actual situation in China, some policy suggestions are put forward: to improve the shadow banking supervision system; to establish a unified systematic risk monitoring system of banks; to promote the interest rate marketization process; to control the flow of shadow bank funds. Guide the development of shadow bank, establish firewall mechanism between shadow bank and traditional bank, prevent risk transmission.
【學(xué)位授予單位】：中國(guó)礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.3

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