Study Of The Effects And Routes Of The Scale Of Shadow Banking On Bank Systemic Risk In China

After the 2008 global financial crisis, the bank systemic risk has become a hot topic in academic circles at home and abroad. In the financial crisis, the instability of the shadow banking system has played an important role in the financial Instability. In recent years, the scale of China’s shadow banking system grows rapidly, playing an important role in supporting the financing of small and medium-sized enterprises. But our shadow banking supervision is relatively weak, and the shadow banking risk forms and spread, becoming a big threat to the traditional banking system. Therefore, studying the impact of the scale of shadow banking on China’s banking systemic risk and its path has great theoretical and practical significance to reduce bank systemic risk and safeguard China’s financial stability.Firstly, it analyzes related theories of shadow banking and bank systemic risk, defines the concept of shadow banking and bank systemic risk, and generalizes the mechanisms of shadow banking effects bank systemic risk. Based on the definition and scope of shadow banking, it estimates the scale of China’s shadow banking system. Based on the definition of bank systemic risk and the analysis of its causes, it selects index variable method and use factor analysis to measure China’s bank systemic risk.On the basis of the measurement of shadow banking size and bank systemic risk, it does an empirical research on the impact of the scale of shadow banking on the bank’s systemic risk with the VAR model and state space model, using data from 1994 to 2012. It comes to the results: the scale of shadow banking has a positive impact on bank systemic risk, and this effect has strong continuity; the impact of the scale of shadow banking on the bank systemic risk is relatively high during the global financial crisis and low during the non-crisis periods.On the basis of the analysis of mechanisms of the scale of shadow banking effects bank systemic risk, it does an empirical analysis of the path in which China’s the scale of shadow banking effects bank systemic risk with the data from 1994-2012 considering intersecting effect and not considering intersecting effect respectively. It comes to the results: in short terms, the increasing of the scale of shadow banking does not increases bank systemic risk by improving the liquidity of commercial banks, increasing asset price volatility, or increasing the rate of non-performing loans; in long terms, it increases bank systemic risk by improving the liquidity of commercial banks, increasing asset price volatility, and increasing the rate of non-performing loans; the scale of shadow banking increases bank systemic risk through its interaction with asset price volatility.Finally, policy recommendations are given based on the empirical results and the actual situation in China: improving shadow banking supervision system; establishing an unified bank systemic risk monitoring system; promoting interest rate liberalization; controlling shadow banking capital flows and guiding the development of the shadow banking; establishing firewall mechanisms between shadow banking and traditional banks to prevent the transformation of risks.