Research On The Systemic Risk Contribution Of The China’s Shadow Banking System

After the outbreak of the 2008 financial crisis, the concept of shadow banking went into people’s vision. However, the finance concept of shadow banking still lacks unified definition. Our country shadow banking and foreign shadow banking have a very significant difference according to the definition of foreign shadow banking and combine to the features of the china shadow banking,Now making the following definition and classification:alienation from outside the traditional commercial banking system through high leverage, maturity mismatch and liquidity transformation, instead of the traditional commercial banking and financing services to exercise credit intermediation functions, but not be able to circumvent the regulation or supervision of financial entities, regulatory authorities, product or market, including:bank financial, entrusted loans, bank acceptance bills are not discounted as the representative of the bank balance sheet business;non-deposit-taking financial institutions, including trust companies, investment banks (in china securities companies), an independent financial finance companies, private equity funds;The small Loan companies, security companies, pawn shops, financial supermarkets as the representative of the folk lending. Because of high leverage, maturity mismatch, liquidity and regulatory imperfect conversion characteristics, the shadow banking system fragility has internal and external instability.This paper measured the systemic risk contribution of china’s shadow banking system by an empirical study of constructing the shadow-banking financial institutions and market yields DCC-GARCH model and stochastic simulation method, the results showed that:when the market is subject to external crisis, risk tolerance of the shadow banking system ability is far weaker than the commercial banking system, and the impact of the financial market reaction to the outside world more strongly; shadow banking system and the dynamics of market correlations remain at about 0.6, when the market systemic crisis take out, the shadow banking financial institutions is difficult to separate their outside; predictive value of joint-stock commercial banks MES 60 is greater than the state-owned commercial banks, and 60 MES predictive value of the shadow banking financial institutions, and a forecast of MES were higher than the commercial banking system. Overall systemic risk contribution of the shadow banking system in the first quarter of 2011, reaching the highest 10.20 percent, then there has been a slight decline, and maintains a relatively stable level of contribution systemic risk.The empirical study successfully measured the systemic risk contribution of china’s shadow banking system and the importance ranking of shadow banking institutions.This paper proposed a new scientific and quantifiable method to measure the systemic risk contribution of china’s shadow banking system for the regulatory authorities’macro-prudential supervision, and also proposed some specific regulatory proposals.