The Risk Spillover Of The Shadow Banking System

After the 2008 financial crisis,the shadow banking had a rapidly development.Not only showed a continued expansion in scale,but also played a significant role in traditional finance.But at the same time,the risk of shadow banking which have affected the traditional finance is also continued to enlarge.Study on the relationship between the two sides should based on the correlation analysis.Therefore,the article started from shadow banking system in our country,studied the relationship about guide and risk which between the shadow banking system and the traditional financial system.The article through the VAR model,Granger test and impulse response to analysis the guide relationship.Then found that since 2008,there was a guide relationship among the traditional financial system,and it is also a obvious guide relationship between banking and shadow banking system.In the study of the risk relationship,the paper based on Co VaR method,combined Copula function and established GARCH-Copula-CoVaR model,using two groups of empirical analysis,the results showed that different types of shadow banking system had different risk spillover effect.Securities which had the most strongly impact effect to traditional financial system had a significant positive risk spillover effects;the trust business which had a more strongly impact to traditional financial system had a stable and positive risk spillover effects;the financial leasing industry which had a time lag impact effect had the weakest risk spillover effect;investment industry which had a not obvious impact effect on the financial system had a positive risk spillover effect.While among the traditional financial system,banking system had the most obvious risk spillover effect by the shadow banking system especially in short-term.The ability of resisting risk from the shadow banking system was strong in the insurance industry.