The Research On The Systemic Risk Of "Commercial Bank-Centric" Shadow Banks

With the advancement of financial liberalization and the rapid development of financial innovation,the shadow banking system has been rapidly developed in the global main economy,and its position in the financial system become more and more important.But before the subprime crisis in 2008,research on the "shadow banking" is not taken seriously,regulatory authorities' understanding for the shadow banking and regulatory measures did not keep up with the pace of the shadow banking development.After the crisis,through reflection and deep study of the crisis,it was widely accepted that the lack of supervision of the shadow banking system was one of the main causes of the subprime crisis.As a new analytical perspective,shadow banking has become a hot topic of supervision,academia and financial industry.China's financial sector in the phase of rapid scale development and deep structure adjustment,non-bank financial institutions growing,asset management business expanding rapidly,the bank's off-balance-sheet business growing rapidly,China's shadow banking system has become an important part of our countries financial system.With the rapid development of shadow banking,it not only has an impact on macroeconomic fluctuations,but also on financial stability and the commercial banking system.In view of this,strengthening shadow banking supervision is of great significance in preventing systemic risks and promoting the stability of the financial system.On the basis of full reference to relevant research results,this paper focused on the theme of "bank-centric" shadow banks systemic risk and discussed the following three aspects: first,the composition and operation mechanism of "bank-centric" shadow banks with Chinese characteristics;Secondly,the influence of "bank-centric" shadow banks on the systemic risks at different levels(macro-economy,financial stability and commercial banking system);The last part is the reflection on the current shadow banking supervision system and the reform path in the future.The main work of the paper is as follows:(1)The systemic risk analysis generated by the "bank-centric" shadow banks needs to explore the connotation and boundary of shadow banking first.The existing research results of the definition of shadow banking has not been reached.Based on the analysis and comparison between European and American scholars and domestic scholars on the definition of shadow banking,this paper proposes to define shadow Banks from two levels: "core elements" and feature elements.Elements from the core level,the shadow banking system is the essential attribute of credit intermediary entities and business activities out of the traditional banking system,the core function is to provide credit to the real economy.Based on the feature elements,the definition of the shadow banking system depends on the purpose and angle of the definition of the scope.For example,based on the view of risk,the important feature of shadow banking is that it can generate systemic financial risk.On the basis of regulation,it is emphasized that shadow banking is outside the scope of supervision.The shadow banking system in Europe and the United States is fundamentally different from that of China's shadow banking system,which is embodied in three aspects: First,there are differences between the leading financial institutions;Second,there are differences in business model;The third mode of financing is inconsistent.China's shadow banking business is mainly centered on commercial Banks.This paper is called "bank-centric" shadow banks."bank-centric" shadow banks refers to avoid regulation for the purpose,by creating credit currency for the enterprise to provide financing business,mainly through the commercial bank financial business and trade business in two ways.The bank wealth management business can convert the deposit in the table into off-balance sheet money,and then asset allocation is through various non-bank financial institutions.If judged on the basis of financial attribute and legal attribute,bank financing business should be a kind of intermediary business of commercial Banks,but the existence of the rigid redemption mechanism has the characteristic of off-balance-sheet financing.Commercial Banks provide financing to shadow Banks by depositing their peers,buying resale assets and other financial institutions.These two types of businesses are essentially "class loans" businesses that banks carry out.Through this kind of business to meet the financing needs of real enterprises.However,this kind of business has not been recorded under the loan subject,and some of it is reflected in the interbank assets or investment asset projects,and the other part is removed from the balance sheet through the off-balance-sheet financial services.The factors that led commercial Banks to develop shadow banking are multi-directional,but the central factor is the regulatory arbitrage motive of commercial Banks.The heart of the bank's arbitrage is the bank's sale of wealth management products to move assets into or out of the table or directly through the financial services.The core of interbank business supervision arbitrage is to use the regulatory rules to avoid the regulation of the industry.(2)the systemic risk effect generated by the development of shadow banking is mainly reflected in three aspects: macro(macroeconomic fluctuation),meso(financial stability)and micro(commercial banking system).First,monthly macroeconomic factors are measured based on ms-mfdfm model,which integrates quarterly GDP data,industrial added value,fixed asset investment and other monthly data,and well reflects the macroeconomic fluctuation cycle of China.On this basis,the tvp-var-sv model is used to study the impact of shadow banking on macroeconomic fluctuations.The empirical results show that the scale of shadow banking is pro-cyclical,and this pro-cyclical is time-varying.In the supervision of shadow banking,the influence of macroeconomic cycle should be taken into account to prevent greater risks to the macroeconomic system.Secondly,the FAVAR model is used to construct the financial stability index,which better reflects the financial stability.Dcc-garch model and tvp-ssm model were used to study the risk spillover effect and time-varying nonlinear effect between shadow banking scale and financial stability.The influence of shadow banking on financial stability is not a simple positive and negative relationship,but a time-varying and nonlinear one.The results of the robustness test support the above conclusions.Thirdly,dvech-garch model was used to construct the commercial bank systemic risk indicator,delta CoVaR.Then the panel threshold model is constructed with 13 listed commercial Banks to study the non-linear relationship between shadow banking and systemic risk.The empirical results show that with the expansion of the scale of shadow banking,shadow banking has a threshold effect on the systemic risk of Banks.Under different thresholds,the performance of shadow banking on bank systemic risk is different.Therefore,commercial Banks of different sizes should be supervised according to the shadow scale,so as to better prevent systemic risks.(3)Based on the in-depth analysis of the systemic risk effect of shadow banking,this paper mainly discusses the effective supervision of shadow banking from the two aspects of financial supervision system reform and specific supervision measures.The reform of financial supervision system within the framework of macro-prudential policy needs to clarify the implementation subjects of macro-prudential supervision,micro-prudential supervision and monetary policy and the coordination mechanism among the three.The core issues include the following two aspects: First,the role of macroprudential regulation should be borne by the central bank.The practical experience shows that the coordination between monetary policy and macroprudential regulation is very important.Central Banks in implementing monetary policy,must consider the impact of macro-prudential policy,on the basis of in-depth analysis of the economic and financial environment,truly achieve the effective coordination between them.Achieve the goal of financial stability while achieving economic growth.Second,the mechanism of coordination between macroprudential supervisory and micro-prudential supervisor.Draw lessons from existing research results and practical experience of policing,this paper argues that "the central bank regulator + behavior","the central bank + prudential supervision bureau + behavior regulatory authority" are worth further discussion and improvement.Similar business mode,the current industries managed and supervised respectively regulatory standards are inconsistent basic reason lies in the asset management business involves the legal relationship is not unified,the basis of the basic way to solve the problem is to through the legal system construction to have the same financial attributes of asset management business unified regulation.The specific path can be considered to adjust all trust relations based on the trust law,and strengthen the effective norms of trust law on all trust behaviors is the main way to change the situation of unequal competition.For the specific supervision of the shadow banking business,we need to solve the problem of rigid payment,maturity mismatch,multi-layer nesting of various asset management products and effective management of non-standard assets.The essence of rigid exchange is that the bank provides credit endorsement for financial products.The result is that the financial products are disguised as liability businesses,thus distorting risks and benefits and distorting the allocation of resources.Under rigid exchange,bank wealth management products are actually disguised deposits,but they evade the risk supervision bank of the deposit business.It is necessary to perfect the institutional arrangement of three aspects: first,the management fee of the asset management business;Second,strengthen disclosure requirements;Three,it is forbidden to distribute the product between products.The credit risk of the "non-standard" project itself is not high,so the risk is not in the non-standard asset itself.The real risk of non-standard is two aspects: first,the credit risk accumulates due to rigid payment.Second,the liquidity risk formed by maturity mismatch.After solving the problem of rigid exchange and maturity mismatch,the non-standard asset investment of the bank is the asset securitization.As the SPV subject of isolation risk,"non-standard assets" as the underlying assets,the bank finance SPV+ non-standard assets = asset securitization.