Research On Risk Management Of Shadow Banking In China

The shadow banking is a non-bank financial institution which has the same function as the commercial banks and is generally referred to the gray or free area in the regulation or supervision. At present, it is generally accepted that leading to financial systemic risk and monetary policy failure is the shadow banking, and the lack of supervision for shadow banking is the primary contributor to the financial crisis. Therefore, each country begins to pay attention to the shadow banking and to strengthen the research on the supervision control method.In fact, the shadow banking is the product of financial innovations, which promote the financial development, and not necessarily produce systemic risks to the financial system. The financial system has produced high yields because of more than 30 years America shadow banking development, and therefore the strict control and prevent development of the shadow banking is not reasonable.As a supplement to traditional financing channels of commercial banks, the China’s shadow banking has the rapid development in the conditions of globalization and liberalization of financial market, and the structure of financial system in China has changed at certain extent. The Chinese economy and society has undergone a fundamental change. Theoretical research related to shadow banking in China has just started, most of the research focuses on the main introduction to foreign lessons and inspiration from the development and risk of shadow banking. Few studies have focused systematically on the risks of shadow banking in China.In this paper, the problems related to the risks of shadow banking in China are referred to the research object. The development process and trend, species and the resulting reasons of the shadow banking in China are analyzed, which based on the relevant theories and research results of the shadow banking. The types, causes, characteristics, pathway of the risk of shadow banking and effects on Chinese macroeconomic and financial system are analyzed. The empirical analysis of risk spillover effect of the shadow banking in China on the traditional commercial bank and the risk status and the risk level of evaluation of the shadow banking in China have been carried. The dissertation is divided into seven parts, and the main content sand chapters are as follows.Chapter one is the introduction. The background, significance and methods of the research are described in the chapter. The ideas and framework of research on the risk of the shadow banking in China are introduced, and the innovation points and the shortcomings of the study are pointed out.Chapter two is the overview of relevant theory and literatures. In the chapter, the theories, such as financial innovation, financial intermediaries, financial structure and financial regulatory arbitrage, financial liberalization and financial and economic growth theory, are referred to the theoretical basis of the risk of shadow banking in China. The results progress of research on the domestic and foreign shadow banking are reviewed.Chapter three is the development status of the shadow banking in China. The resulting reason, development and tendency of the shadow banking in China are summarized. A VAR model for study on the effect of shadow banks on China’s economic development is established, in which the variables are analyzed by the Granger causality test, co-integration test, and impulse response function and variance decomposition. The problems of regulatory and status quos of shadow banks are showed.Chapter four is the risk analysis of the shadow banking in China. Based on expounding the risk types of China’s shadow banking risk types, the risk characteristics and risk pathways of shadow banking are analyzed, and the harm of China’s macro economy and financial system caused by the risk of China’s shadow banking are analyzed.Chapter five is the empirical analysis of risk spillover effect of China’s shadow banks on commercial banks. A CoVaR model and a panel data model based on the commercial banks and the financial institutions of shadow banking system is established, in which the risk spillover effects of external and internal shadow banking system on commercial bank are analyzed.Chapter six is empirical analysis of risk early warning model of shadow banks in China. In this paper, a BP neural network model was established, in which the risk status and level of China’s shadow banking system were analyzed and the safety status of China’s shadow banking system can early be warned.Chapter seven is the conclusions and suggestions. In this paper, the effect of shadow banks on China’s economic development, risk spillover effect of China’s shadow banks on commercial banks, and empirical analysis of risk early warning model of shadow banks are focused. It puts forward the countermeasures and suggestions combined with the above analysis.In this paper, the following conclusions are drawn according to the research on the risk and forecast of Chinese shadow banks from the theory and empirical analysis.The rate of economic growth, inflation and monetary policy were affected by the shadow bank scale, and the effect of rate of inflation was very obvious. Development of shadow banks promoted economic development and expanded money supply, and economic growth and money supply reduction stimulated the development of shadow banks.The value at risk of commercial banks increased obviously after considering the risk spillover effects of shadow banks on commercial banks. The risk spillover effects of shadow banks on large state-owned commercial banks were more obvious than those of joint-stock banks and local banks. The internal shadow banking system contributed positively to the value at risk of commercial banks. The capital adequacy ratio and provision coverage ratio contributed negatively to the value at risk of commercial banks. The rate of bad loans was related to the value at risk of commercial banks, and the influence was bigger.The risk of shadow banking system increased obviously from 2005 to 2009, and increased slowly from 2009 to 2013, but the security situation was still stern. The financing from nongovernment sources was very obvious promoting effect on risk of shadow banks. The change trends of stock market were very obvious and similar to the risk of China’s shadow banking in China, which indirectly confirmed the existence of risk transmission chain. The desired output of the trained BP neural network model accorded with the actual output, and the test output and the expected value was very close, which early warning the safety status of China’s shadow banking system.In this paper, the innovations points are as follows.First, the definition of the shadow banking in China is defined from the operating mechanism, the function and degree of supervision. The non bank financial institutions and related business, the shadow banking in the financial system and quasi financial institutions set up for the specific purpose are referred to the three levels denotative contents of shadow banking in China.Secondly, the influence of the shadow banking on the macro economy in China from an empirical point is analyzed. Closely combining the actual situation of China, it is the first time to simulate the influence relationship between the shadow banks and GDP, M1 and CPI by using the SPSS software, and to analyze the risk and spillover effects of shadow banking system of China.Thirdly, it establishes the risk early warning model of shadow banks of China. It is the first time to build the BP neural network model, and analyze the risk status and level of China’s shadow banking system and give the early warning the safety status of China’s shadow banking system.The shortcomings points are as follows.First, it is difficult to collect and analyze the related data to the private lending in China, mainly according to the obtained data, which induced a certain deviation to the empirical analysis results. Therefore, contribution of factor related variables need further examination in the model of empirical analysis.Secondly, because the supervision and regulation of shadow banking in China are taken diversification mode, the regulatory authorities are relatively independent, regulatory ideas and concrete methods are inconsistent, and the regulatory information and statistical data are not shared. In the empirical analysis of the risk of shadow banking in China, the conclusions of empirical analysis may not be comprehensive because of lacking of long-term continuity data.