| According to the latest data released by Moody's Investors Service,China's board shadow banking assets amounted to 64.7 trillion yuan in the first half of 2017,accounting for more than 80%of GDP.In the large sacle of shadow banking system,financial products accounted for 43%of the total,with a scale of 28.4 trillion yuan.The size of entrusted loans and trust loans were 13.79 trillion yuan and 7.59 trillion yuan respectively.Taking the high-speed development of the P2P platform as an example,there were 2,118 operating platforms in China in the first half of 2017.The balance of P2P loans was 1045 billion yuan,an increase of 28%compared with 816.2 billion yuan at the end of 2016.The complicated shadow banking business and the rapidly expanding shadow banking scale have had a negative impact on the effectiveness of China's quantitative monetary policy operation framework and on financial stability and security.The shadow banking in our country exists in the shadow of commercial banks.Its pro-cyclical behavior amplifies the volatility of financial markets and reduces the efficiency of financial support for real economic growth.Differing from the existing research,this paper analyzes the theoretical basis of pro-cyclical behavior in shadow banking from the perspective of operating mechanism,and analyzes whether there is pro-cyclical behavior,whether there is a specific delay in procyclical behavior and the time-varying characteristic.In general,this paper analyzes the pro-cyclical nature of China's shadow banking in more detail.Although there are many different kinds of shadow banking,China's shadow banking can be divided into three categories,namely,shadow banking which is dominated by off-balance-sheet operations of commercial banks,non-bank financial institutions that provide financing services and private finance.Based on the research results of existing literature,this paper puts forward three research hypotheses on the basis of in-depth analysis of the operation mechanism of shadow banking.Research hypothesis 1:From a general view,the shadow banking owns the feature of pro-cyclicality corresponding to the fluctuation of economy development.Research hypothesis 2:because of the time it takes for capital to flow between different markets,shadow banking's pro-cyclicality is time-lagged.Research hypothesis 3:Shadow banking's pro-cyclicality is time-varying due to the change of supply and demand of money market and financial regulation.This paper tests the characteristics of shadow banking's pro-cyclicality using the data ranging from January,2006 to November,2016 using the TVP-VAR model.The TVP-VAR model overcomes the shortcomings of the traditional VAR model.The coefficients and matrix have variability,and can effectively capture the structural changes and other possible nonlinear features in the system.Therefore,the TVP-VAR model can precisely characterize the cyclic behavior of shadow banking's feature.The test comes to three conclusions.The empirical results show that the three research hypotheses are established.After conducting empirical tests on the three research hypotheses,a robustness test was conducted to further ensure the correctness of the conclusions.The robustness test is divided into two aspects:the robustness test of entrusted loans and the robustness test of change variables.The robustness test shows that the result is robust.Therefore,we should pay attention to the shadow bank's pro-cyclical behavior characteristics,strengthen the penetration of regulation in order to improve its efficiency in supporting economic growth.Financial institutions should standardize product design innovation and pay attention to cross-risk risks.Regulatory agencies should improve the shadow banking supervision system and weaken the pro-cyclicality of shadow banking.Monetary authorities should shift monetary policy from quantitative-type operation frameworks to price-based operation frameworks and clarify the time delay of the shadow banking to improve the effectiveness of monetary policy. |
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