Research On The Systemic Risk Of My Country's Listed Commercial Banks Engaging In Shadow Banking Business

The shadow banking in China is dominated by commercial banks as "similar loan" business in essence,which is a product of financial innovation and regulatory arbitrage.Shadow banking system is mainly divided into two parts: internal and external shadow banking,the former is shadow banking business carried out by commercial banks in various types of shadow banking business,the latter is carried out by the trust,brokerage,insurance companies and other types of non-banking financial institutions in shadow banking business.Consequently,there is direct or indirect inherent relationship between shadow banking system and commercial banks,the risk of shadow banking can be transferred to commercial bank system by external shocks and internal shocks.At present,there is no listing literature about banks' systematic risk directly from the scale of commercial banks' In-Balance-Sheet and Off-Balance-Sheet shadow banking business.Based on above,this paper innovatively takes 14 listed commercial banks from 2009 to 2016 as a sample,using CoVaR(conditional value at risk)method to measure the systematic risk of every single bank,and studies the relationship between the scale of commercial banks' In-Balance-Sheet and Off-Balance-Sheet shadow banking business and systematic risk from three aspects: the current effect,the lag effect,the feedback effect.Using total assets of shadow banking business related to balance sheet to approximately represent the In-Balance-Sheet shadow banking scale,and that of off-balance credit business to approximately represent the Off-Balance-Sheet shadow banking scale.The empirical result shows that if the scale of the shadow banking does not expand to some extent,banks can increase the income and reduce the systemic risk.Moreover,the effect of shadow banking on systemic risk does have some relationship with the total assets,when the scale of total assets is smaller,the impact of shadow banking on systemic risk is smaller,when the scale of total asset size is larger,the impact of shadow banking on systemic risk becomes greater.In addition,the smaller the shadow banking business scale becomes,the systemic risks will limit the development of shadow banking.The other control variables can influence the shadow banking scale in varying degree.Although banks' engagement in shadow banking in China has not led to great influence on systemic risk,and is less likely to cause large-scale systemic risk.in order to make our financial system development healthy and stable,it requires regulatory balance of advantage and disadvantage,improvement of the shadow banking supervision and risk prevention,correctly guides the shadow banking deep into all areas of real economy,and promotes the development of Chinese financial sector and real economy.