Research On The Risk Spillover Effect Of China's Shadow Banking System To Commercial Banks

Shadow Banking System,broadly speaking,refers to the sum of organizations and businesses which play and even extend the functions of traditional commercial banks,but with regulation in the grey zone.With the rapid implementation of financial globalization and liberalization,Shadow Banking System,as a new model of China's financial industry,becomes the important supplement to the financing channels of traditional commercial banks,and to a certain extent,has reformed China's financial system structure.But in recent years,Shadow Banking System credit business and non-standard securitization business has expanded dramatically.The instability brought about has threatened the stability of the financial market.In addition,Shadow Banking System is generally regarded as the chief culprit of the financial system risk and monetary policy failure.With the correlation between Shadow Banking System and commercial banking system gradually enhancing,and business cooperation getting increasingly close,coupled with the highly infectious character of its risk,once the risk spillover occurs,it will quickly spread to commercial banks,and even spread to non-financial areas,causing risk resonance,resulting in a great threat to the financial system and economic activities.Therefore,it is imperative to strengthen the supervision of Shadow Banking Systems and to predict its risks.At present,countries and all walks of life have began to pay attention to the potential risks of Shadow Banking System,and to study the system method to strengthen its supervision and management.The thesis will make a comprehensive risk analysis of Shadow Banking System,by focusing on Shadow Banking System's risk spillover to commercial banks,based on the related theory and research results,combining with the risk causes,risk characteristics,risk transmission path as well as the risk spillover effect of the Shadow Banking System.Based on this,the thesis will use GARCH-Copula-CoVaR model in Skewed-t distribution to dynamically measure the degree of risk spillover to different types of commercial banks and the degree of risk spillover from various types of Shadow Banking Systems to the commercial banking system,and use the BP neural network model to establish Shadow Banking System risk early warning mechanism,so as to supervise the systemic risk spillover of Shadow Banking System,providing an objective solid evidence for improving the antirisk ability of commercial banks in China.The results show that when bad news or systemic risk occurs in Shadow Banking System,the stockholding banks will be influenced with a high degree by risk spillover.In contrast,the nationalized banks will be influenced with a low degree by risk spillover.In terms of Shadow Banking System,trust banks shows the highest degree of risk spillover to commercial banks,followed by securities,and the private lending with lowest risk spillover.The BP neural network risk early warning model constructed for Shadow Banking System shows that the overall correct rate is about 85%,with excellent effect,maintaining the accurate prediction accuracy,which will provide the risk warning signal for the supervisory authority.