我国影子银行的风险传导渠道及监管对策研究

近年来影子银行的快速发展有利于促进经济社会的发展,但同时也对金融市场的稳定性带来了不同程度的风险.深入研究影子银行的风险传导机制,提出适当的监管对策,适时化解风险,具有重要的现实意义.基于有向无环图(directed acyclic graph,DAG)的结构向量自回归模型(structural vector autoregression,SVAR)及脉冲响应,本文对影子银行与商业银行、货币供给、证券/债券市场、房地产、宏观经济之间的风险动态传导进行了合理测度,从货币政策、资产价格和实体经济三种传递渠道,深入探讨了影子银行的风险传递.研究结果表明,无论短期还是长期行为,影子银行的风险主要受到货币政策渠道的影响,它可在一定程度上放大货币政策的传导效应,且当商业银行受到一定的风险冲击时,影子银行遭受风险的概率也相应增加.从短期行为分析,影子银行的风险会通过汇率向实体经济进行传递,而在长期方面,影子银行的风险则会通过资产价格渠道传染到债券市场.

Research on risk transmission channels and supervision policy of shadow banks in China

In recent years, the rapid development of shadow banking not only benefits the economic society, but also brings certain risks to the stability of the financial market. It is of great practical significance to deeply study the risk transmission channels of shadow banks and to put forward appropriate regulatory countermeasures for timely resolving financial risks. Through the structural vector autoregression (SVAR) model based on directed acyclic graph (DAG), the dynamic risk transmission among the shadow banks and commercial banks, money supply, securities/bond market, real estate and macro-economy has been investigated in this work, and the risk contagion of shadow banks from three transmission channels:Monetary policy, asset price and real economy has also been studied. The results demonstrate that, whether short-term or long-term, the risk of shadow banks is mainly affected by monetary policy channels, that is, shadow banks will amplify the transmission effect of monetary policy to a certain extent, and when commercial banks are subjected to risk shocks, shadow banks will be more likely to be exposed to risk. In the short term, the risk of the shadow banks will be transmitted to the real economy through the exchange rate, while in the long term, the risk of shadow banking will be conducted to the bond market through the asset price channel.