| The international financial crisis caused by the subprime crisis in the United States in 2008 have a huge impact on the world economic development and financial stability.As an important subject that triggered the crisis,shadow banking has attracted extensive attention and research from all walks of life.In China,shadow Banks,as the shadow of Banks,carry out loan-like businesses through regulatory arbitrage.In recent years,due to the rigid financing gap in credit policy adjustment and the continuous deepening and innovation of China's finance,shadow banking has achieved rapid development.As shadow banking becomes more closely connected with various industries,the contagion of risks between different industries and between different markets increases obviously.In this context,the fifth national financial work conference in July 2017 stressed that preventing and resolving systemic financial risks should be given a more important position.In view of the continuous expansion of shadow banking scale and the extension of risk transmission chain,it is particularly important to study the systemic risk of shadow banking.In the study of systemic risk,risk measurement and risk prevention are important parts.Risk measurement provides a research basis for the systematic risk of shadow banking by providing intuitive quantitative results.As the goal of systemic risk research,risk prevention provides application conclusions for shadow banking systemic risk.Therefore,it is of great practical significance to study the measurement and prevention of China's shadow banking system risk,which is the subject of this paper.This article altogether consists of six chapters,the first chapter is the introduction,the second chapter is the theoretical foundation of the shadow banking systemic risk measurement and protection,the third chapter is based on the organization network of shadow banking systemic risk,the fourth chapter is based on the industry network shadow banking systemic risk,the fifth chapter is based on the real economy systemic risk and policy implementation effect of shadow banking systemic risk,the sixth chapter is research conclusions and future prospects.The first chapter discusses the research background,research significance,research innovation and related literature review.Among them,the literature review mainly includes four parts,including the definition of shadow banking,risks of shadow banking,measurement methods of risks of shadow banking and supervision of shadow banking.The second chapter firstly discusses the theoretical basis of this paper's study on the systemic risk of shadow banking as a whole.The main contents are as follows:The essence of systemic risk is to observe the mutual influence of risks between interconnected individuals and the whole from the perspective of network.Therefore,this paper studies the systemic risks of shadow banking from three aspects: shadow banking institution network,shadow banking industry network,shadow banking and real economy network.The initial source of the systemic risk of shadow banking is negative external impact,which is then amplified by the internal risk contagion mechanism of shadow banking,resulting in the loss of the entire shadow banking network system and negative externalities for the economic entities that have business contacts with it.The source of negative impact and the economic subject bearing negative externalities are the real economy associated with shadow banking.Therefore,shadow banking systemic risks not only have a negative impact on the real economy,but also are affected by the real economy risks.The two interact and influence each other,forming a complete shadow banking systemic risk.Shadow banking systemic risk includes at least the following two elements: negative initial impact and risk amplification mechanism.Among them,the negative initial impact mainly comes from the real economy impact outside the shadow banking system,such as the economic growth slowdown and the real estate price decline.The risk amplification mechanism mainly comes from the infectious risk caused by the internal network of the shadow banking system.Secondly,this chapter also discusses in detail the theoretical basis involved in the following chapters,including:The third chapter analyzes the reasons for choosing the trust industry to build the institutional network,elaborates on the setting of representative institutions,and discusses the selection of empirical methods.In chapter 4,we use spillover index to describe the systemic risk,and discuss the choice of empirical method.This paper discusses the selection of trust loan as the risk carrier connecting the real economy and shadow banking in chapter 5,and on the basis of this,it discusses how to depict the systemic risks of the real economy with the changes of trust loan,and how to study the effect of policies on preventing risks with the changes of trust loan.According to the above theoretical context,this paper gradually expands the negative initial impact and shadow banking system correlation network,measures the systemic risk of shadow banking and obtains the corresponding transmission path.Since accurately identifying the important transmission path of systemic risk is an important prerequisite for preventing systemic risk,this paper combines the spatial dimension of systematic risk transmission path with the measurement conclusion of temporal dimension of systematic risk,and makes in-depth recommendations on the prevention of systemic risk of shadow banking.The third chapter sets negative impact as exogenous variable and studies shadow banking institution network systemic risk in two sections.The first section of this chapter studies the time dimension systemic risk of shadow banking based on representative institutions.The main contents of this section are as follows: this chapter USES the idea of Duarte and Eisenach(2015)for reference,builds the virtual institution balance sheet with microscopic business data of trust business,and improves the asset price contagion network model to measure the systemic risk of shadow banking represented by trust industry.The main innovation of this section is to introduce how to adjust micro business data,refine each business data into standard balance sheet data,and then measure the systemic risk of shadow banking.The first part focuses on how to adjust the microtransaction data to the underlying data suitable for the asset price contagion model.The second part,on the basis of the first part,constructs the virtual balance sheet with the extracted basic data,improves the asset price contagion network model,and constructs the shadow banking system risk indicators.Since the construction of virtual balance sheet is a key link in the measurement of systemic risk,this part also summarizes the general idea of using micro business data to build virtual balance sheet.In addition,according to the analysis results of the shadow banking system risk transmission mechanism,it is concluded that rigid payment is an important source of the shadow banking system risk.The third part draws the empirical results of shadow banking with high level of systemic risk and violent fluctuations,and analyzes the factors affecting the systemic risk,and concludes that leverage is the main influencing factor compared with the scale factor.The fourth part summarizes this section and puts forward the following Suggestions to prevent systemic risks:(1)strengthen the supervision of shadow banking business;(2)strengthen the supervision of rigid payment;(3)improve the systematic risk monitoring indicators;(4)regulatory policy should be long-term planning and continuity,to avoid short-term vision and camera choice.In addition,this section also discusses the idea of setting up representative institutions,rationality demonstration and robustness test.At the same time,in order to ensure the prudence of the research,the second section of this chapter and the next chapter will continue to compare and verify the robustness of the empirical results.On the basis of the first section,the second section of the third chapter makes it clear that the negative impact comes from the real estate industry of the real economy.On the other hand,it expands the institutional network of the trust industry and studies the impact of external negative impact on the systemic risk of shadow banking through mutual amplification and contagion mechanism of the trust institution network.The main contents of the second section of this chapter are as follows: this chapter uses the idea of Greenwood et al.(2015)for reference,USES the business data of the annual report of sample trust companies to build the virtual balance sheet,and combines the asset price contagion network model to study the systemic risks of shadow banking caused by the real economy real estate industry.The first part of this section consists of three parts: construction of virtual balance sheet,construction of systemic risk indicators,selection of model data and descriptive statistics.In terms of the construction of the virtual balance sheet,under the background that the expansion of the number of sample trust institutions leads to the change of data from individual business data to annual business data,this part re-constructs the virtual balance sheet according to the change of sample data.In terms of the construction of systemic risk indicators,this part firstly introduces the background of the model setting.While using the model assumptions in the first section,the specific reasons are discussed.Secondly,the reason of choosing real estate industry as exogenous impact variable is discussed.In the last part,the index of systemic risk of shadow banking is constructed and its influencing factors are decomposed,so as to prepare for the subsequent analysis of important transmission paths of systemic risk and risk prevention suggestions.The second part of this section makes an empirical analysis of the systemic risk of shadow banking,and draws conclusions from three aspects: the time dimension,the space dimension and the important transmission path of the systemic risk.In terms of time dimension systemic risk,shadow banking systemic risk fluctuates violently and its trend is upward.At the same time,the robustness test shows that in the same sample interval,the time-varying characteristics of the empirical results in this section and the previous section are relatively consistent,which mutually verifies the robustness of the conclusions in both sections.In terms of the spatial dimension of systemic risk,according to the empirical results,systemically important,system vulnerability and systemically important relays are summarized and their characteristics are concluded.Compared with the whole sample institutions,the systemically important institutions and the systemically fragile institutions are highly correlated and highly leveraged.Compared with the institution of system vulnerability,the institution of system importance has higher relevance and higher asset scale.Compared with the systemically important institution,the system vulnerability institution is more highly leveraged.For the systemically important relay mechanism,which is both an important institution and a system vulnerability institution,it has the characteristics of a system vulnerability institution due to its prominent characteristics of high leverage.In the aspect of the conduction path of shadow banking systemic risk,the spatial dimension index of systemic risk is used to analyze the conduction mechanism,and the important conduction path of systemic risk in each period is constructed.The third part summarizes this section and puts forward the following Suggestions to prevent the systemic risk:(1)It is necessary to pay attention to systemically important institutions,system vulnerability institutions and systemically important relay institutions,so as to curb the generation and spread of shadow banking systemic risks;(2)should be targeted according to the characteristics of the specific regulatory approach,and then improve the effectiveness of regulatory policy.So far,the third chapter has completed the systematic risk measurement and prevention analysis of shadow banking represented by trust industry from the time dimension and space dimension.In the fourth chapter,on the one hand,expand the industry network of shadow banking and introduce banking industry,insurance industry and securities industry engaged in shadow banking;On the other hand,on the basis of setting the influence of real estate industry on shadow banking in the previous chapter,the influence of real estate industry on shadow banking is further internalized.In this way,by building the trust industry,banking industry,insurance industry,securities industry representatives of the shadow banking industry and the real economy by a representative of the real estate industry to form five industry association network shadow banking system,research of shadow Banks and the real economy interrelated and influence each other,and then from the Angle of the system,the dynamic study of shadow banking systemic risk.In addition,this chapter further conducts the robustness test through the empirical result and the third chapter two subsections.Based on the above logic,this chapter uses the ideas of Diebold and Yilmaz(2012)for reference,uses stock market indexes of various industries to depict the risk correlation between endogenous variables through overflow index model,and then studies the systemic risk of shadow banking.The first part of this chapter introduces the construction of spillover index of systemic risk.This part firstly introduces the empirical methods of the spillover index model,constructs the spillover index at the macro level and micro level,and then provides the foundation for the empirical results of the shadow banking system risk.On the macro level,this part constructs the total overflow index and directional overflow index.Where,the total overflow index represents the total overflow degree,while the directional overflow index represents the directional overflow degree between the individual and the whole.In terms of micro-level spillover index,this part constructs relative spillover index,net relative spillover index and total relative spillover index.Where,the relative spillover index represents the degree of spillover between individuals,and the net relative spillover index reflects the degree of spillover between two individuals,and the total relative spillover index reflects the sum of the degree of spillover between individuals.Then,the empirical data of the spillover index model are introduced.Given the sample of this chapter relates to the real economy is different from the shadow banking industry at the same time,the use of the risk of business data depicting industries is ideal,but because the data are difficult to obtain,and the data of the statistical principle is not unified,not clear,so this chapter selected industries in the stock market data as sample data,and analyses the specific selection criteria.On this basis,this paper uses the volatility measurement method in Diebold and Yilmaz(2009)to construct risk indicators of various industries.The second part makes empirical analysis and draws the research conclusion of time dimension,space dimension and important transmission path of systemic risk of shadow banking based on spillover index model.From the perspective of time dimension,the systemic risk of shadow banking depicted by the total volatility spillover table is generally high,but as time goes by,the systemic risk of shadow banking gradually decreases.In particular,during the same sample period,although the data base is different from the empirical method,the time-varying characteristics of the shadow banking systemic risk demonstrated by the empirical results in the two sections of this chapter and the previous chapter are highly consistent,so the robustness of the results is confirmed by each other again.For spatial dimensions,in terms of orientation,and during most of the samples,as the shadow banking business of real estate industry source for overflow,the shadow banking system to keep positive net risk in the early stage of the samples at the same time,as the shadow banking liquidity source of bank industry has the shadow banking system to keep positive net risk overflow,but late in the sample,the securities industry to become the shadow banking system is net risk overflow industry;In terms of degree of overflow,in the early stage of the sample,the real estate industry and banking industry net spillover index is larger,showed a greater degree of risk of overflow,and late in the sample,although the securities industry to become the largest contribution to the overflow of system risk industry,but net spillover index is small,and with the same period of the trust industry value,therefore did not show the absolute leading overflow.In terms of the important transmission path of shadow banking systemic risk,this part analyzes the transmission mechanism on the basis of empirical results,and constructs the important transmission path of systemic risk in each period through the net spillover index and the net relative spillover index.In addition,through further analysis of the systemic risk transmission network,this part also draws two empirical conclusions: the gradual decline in the overall correlation of the shadow banking system risk transmission network and the gradual decline in the importance of the source industry of the systemic risk transmission mechanism in the risk transmission network.The third part summarizes this chapter and puts forward the following Suggestions to prevent systemic risks:(1)improve the frequency of identifying the risk transmission mechanism of shadow banking in different periods,identify the important source industries of systemic risks,and strengthen risk supervision to prevent the outbreak of systemic risks from the source;(2)strengthen the risk transmission mechanism in the frequent and weak ability to resist the risk of industry regulation.At this point,through the gradual expansion of shadow banking association network,chapter 3 and chapter 4 not only realize the research on the risk amplification mechanism of shadow banking systemic risk,but also draw useful conclusions on the measurement and risk prevention of shadow banking systemic risk.As for another important element of shadow banking systemic risk: negative initial impact,chapter 5 of this paper will further expand to the whole real economy.In order to reflect the mutual connection and influence between the risks of shadow banking and the real economy,and to study the impact of the systemic risks of the real economy as the source of negative impact on the shadow banking,chapter 5 uses trust loans as the research carrier connecting the shadow banking and the real economy.In chapter 5,trust loans from the trust industry with the most characteristics of shadow banking to various sectors of the real economy are taken as the bridge connecting the real economy and shadow banking,and the month-on-month changes in various sectors of the real economy are taken as model sample variables to study the systemic risks of the real economy.At the same time,this chapter innovatively introduces policy factors,constructs policy latent variables,improves Diebold and Yilmaz(2012)overflow index model,and studies the effect of policies on preventing systemic risks.In the first part of this chapter,we introduce policy latent variables,improve the overflow index model,and explain the model data.As for the introduction of potential policy variables,this chapter uses the Qual VAR model adopted by jing zhongbo and fang yi(2018)for reference to transform discrete regulatory policies into continuous potential regulatory policy variables,and explains them in detail in the part of empirical data processing.In terms of improving the spillover index model,this chapter builds the spillover index model by combining the endogenous variables of month-on-month change of trust investment in the real economy with the endogenous variables of policy,but innovatively considers the spillover effect and policy spillover effect between industries separately.At the same time,on the basis of the spillover index in chapter 4,we construct the policy targeting spillover index,policy effectiveness spillover index and policy coordination spillover index.The second part makes an empirical analysis and draws a conclusion on the systemic risk of the real economy,the effect of policies to prevent the systemic risk of the real economy and the important transmission path of the systemic risk of the real economy.As for the systemic risk of the real economy,the real economy systemic risk characterized by the total spillover index shows a stable trend in the early stage and a drastic fluctuation in the later stage.In terms of the mutual influence of risks between various industries and the overall risk of the real economy,from a long-term perspective,the mining industry,the production and supply of electricity,gas and water and other basic industries have the greatest impact on the systemic risk of the real economy.Therefore,we need to pay attention to the systemic risks in this field from the strategic level,so as to avoid the resonance between the real economy and shadow banking,and thus generate a wider range of systemic risks.It is worth noting that the financial sector net overflow in the end,on the index shows that in the long run,should not only emphasize the financial sector to the real economy the main contribution of systemic risk,should stand in the real economy as a whole network,the associated system importance of specific industries and pinpoint their plays a main role in the process of systemic risk conduction;From a short-term perspective,manufacturing,information transmission computer services and other industries are more sensitive to risk changes.Therefore,it is necessary to pay attention to it and the industries involved in the transmission path of systemic importance to prevent it from becoming the source of negative impact of shadow banking systemic risk.In terms of the effect of policies on preventing systemic risks in the real economy,coordination between policies is very important.It can not only avoid the externalities caused by individual policies,but also improve the effectiveness and sustainability of policies.In terms of the important transmission path of systemic risk in the real economy,the transmission mechanism is analyzed on the basis of empirical results,and the important transmission path of systemic risk is obtained according to the degree of influence of the risk source.The third part summarizes this chapter and puts forward the following Suggestions to prevent systemic risk:(1)policy targeting and effectiveness should be integrated into the unified framework of comprehensive consideration,improve the implementation effect of policy tools;(2)strengthen the policy coordination of various regulatory departments,improve the ability to deal with systemic risks from different dimensions at the same time. |
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