金融强监管、影子银行与银行系统性风险

doi:10.16381/j.cnki.issn1003-207x.2021.0222

中国管理科学 ›› 2023, Vol. 31 ›› Issue (7): 50-59.doi: 10.16381/j.cnki.issn1003-207x.2021.0222

金融强监管、影子银行与银行系统性风险

赵静¹, 郭晔²

1.湖南大学金融与统计学院，湖南长沙410006；2.厦门大学经济学院/数据金融交叉实验室，福建厦门361005

收稿日期:2021-02-01 修回日期:2021-06-22 出版日期:2023-07-17 发布日期:2023-07-17
通讯作者: 郭晔(1977-)，女(汉族)，江西上犹人，厦门大学经济学院，数据金融交叉实验室，教授，博士生导师，研究方向：宏观经济、宏观金融、金融制度与金融风险，Email: eyguo@xmu.edu.cn. E-mail:eyguo@xmu.edu.cn
基金资助:
国家社会科学基金资助重大项目(20&ZD106)；国家自然科学基金资助项目(71903053，71871196，71903114)；湖南省自然科学基金资助项目(2023JJ30174，2020JJ5093)；湖南大学哲学社会科学青年学术提升计划项目

Stronger Financial Regulation, Shadow Banking and Bank Systemic Risk

ZHAO Jing¹, GUO Ye²

1. School of Finance and Statistics, Hunan University, Changsha 410006, China;2. School of Economics/Laboratory of Digital Finance, Xiamen University, Xiamen 361005, China

Received:2021-02-01 Revised:2021-06-22 Online:2023-07-17 Published:2023-07-17
Contact: 郭晔 E-mail:eyguo@xmu.edu.cn

摘要/Abstract

摘要： 在影子银行导致金融机构间跨部门合作日益紧密的形势下，我国2017年以来出台的一系列“强监管”政策能否降低系统性风险，是关乎维护金融稳定的重要现实问题。为此，本文将银行、信托、证券和保险公司纳入统一的框架，使用广义分位数回归框架下的单指数模型(Single Index Model, SIM)构建我国金融机构间的联系网络，据此测度系统性风险；并分析“强监管”政策对银行系统性风险的影响及其作用机制。结果表明：影子银行显著提高了银行系统性风险；“强监管”政策的实施有助于降低银行系统性风险，发挥了一定的“去通道”作用；“强监管”政策主要通过遏制影子银行的快速增长和削弱影子银行投资中对其他金融机构的依赖，从而降低银行系统性风险。

关键词: “强监管”政策；系统性风险；影子银行；单指数模型

Abstract: After the financial crisis in 2008, the enhanced cooperation among financial institutions has been caused by rapid development of China’s shadow banking, which may affect systemic risk. To prevent systemic risk, some strengthening financial regulations have been implemented since 2017. It is important to maintain financial stability effectively whether the regulations can reduce the interconnectedness between financial institutions. Based on the context, a single-index model (SIM) is used to estimate systemic interconnectedness across financial institutions, including depositories, trust companies, security companies and insurance companies. Then the financial institutions’ interconnectedness structure is taken into consideration in the measurement of systemic risk. Moreover, the impact of shadow banking on systemic risk is analyzed by applying systemic GMM. Furtherly, the effect of strengthening financial regulation on systemic risk and related mechanisms are discussed in this paper. The main findings are as follows. First, the rapid development of shadow banking increases bank systemic risk before 2017. Second, strengthening financial regulation helps to decrease bank systemic risk and plays a certain role of “de-channeling”. Third, strengthening financial regulations have contributed to curb the rapid growth of shadow banking and reduce its dependence on other financial institutions in its investment.

Key words: strengthening financial regulation; bank systemic risk; shadow banking; SIM

中图分类号:

F832

赵静, 郭晔. 金融强监管、影子银行与银行系统性风险[J]. 中国管理科学, 2023, 31(7): 50-59.

ZHAO Jing, GUO Ye. Stronger Financial Regulation, Shadow Banking and Bank Systemic Risk[J]. Chinese Journal of Management Science, 2023, 31(7): 50-59.

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金融强监管、影子银行与银行系统性风险

Stronger Financial Regulation, Shadow Banking and Bank Systemic Risk

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