Research On The Impact Of Shadow Banking Scale Fluctuation On Financial Market

As a financial innovation under the environment of financial repression,shadow banking has become an important part of China's financial market.Shadow banking has the function of liquidity transformation,maturity transformation and credit trandformation,its rapid development,has positive effect to solve the financing difficulties of small and micro enterprises,to ease the supply and demand of funds or local imbalance,improve the efficiency of capital allocation.However,the financial crisis sweeping the globe in 2008 caused the academic circles to pay more attention to the risks.China's shadow banking system is significant difference to the market dominant country,so based on China's national conditions to investigate the shadow banking is particularly important.China's financial system to commercial banks as the center,in recent years,the bond market,the stock market gradually highlights importance of the development of the capital market,so has very strong realistic meanings to study the impact of shadow banking scale fluctuations in the interbank market,bond market,stock market.Based on the analysis of operation process of the shadow banking for monetary market and capital market,established asymmetric autoregressive distributed lag(NARDL)model to conduct the inspection in accordance with the impact from January 2006 to November 2016 Chinese relevant economic data of the shadow banking fluctuations.Results:the size of the shadow banking expansion in the long and short term will make the interbank interest rates increase,and the short-term fluctuations of shadow banking impact is asymmetric,positive volatility will bring interest rates increase significantly,while the negative volatility do not have a significant effect;the effect of shadow banking on the bond market in the long and short term is asymmetric,in the long term,the scale of shadow banking growth will increase the bond yields,shrinking the size of the shadow banking will reduce the bond yield to maturity in a greater extent.In the short term,the shadow banking positive impact and negative shocks will rise bond yields,and the negative influence in yields is larger;the paper can not prove that the volatility of shadow banking on stock market has asymmetric effect,but the results of empirical analysis found that the size of the shadow banking boost the stock market,reducing the size of the shadow banking will accelerate the decline in the stock market.Based on this,the paper pointed out that should regulate the shadow banking effectively,pay attention to the shadow banking system capital flows,the time lag of shadow banking volatility spillover effect,pay attention to differences in the effect of shadow banking on different financial markets and the asymmetric,keep a lookout of risks spread to the entire financial system,improve the pertinence and effectiveness of policy making.