Research On The Risk Spillover Effects Of My Country's Shadow Banking On Commercial Banks

Chinese shadow banking has experienced an inflationary development since 2008.After decades of development,it has become a "gray rhino" in Chinese financial system.On the one hand,the credit creation function of shadow banks injects a lot of liquidity into the market,and the monetary creativity of shadow banks' financial instruments increases the difficulty of macro-control of monetary authorities;on the other hand,the high-leveraged capital operation and term mismatch of shadow banks aggravate the vulnerability of the financial system.In recent years,more complex "structured"shadow credit intermediaries have emerged and developed rapidly,especially new forms related to bank receivables.Banks reclassify assets into accounts receivable investments,making the relationship between the formal banking sector and shadow banking entities closer,more complex and opaque.Extensive and close interbank financial transactions increase the possibility of spillover and contagion of systemic risks between shadow banks and commercial banks.According to the spirit of the report of the Nineteenth National Congress and the deployment of the Fifth National Conference on Finance,an important policy trend affecting Chinese financial market in the next stage is to strengthen the effective supervision of shadow banks and promote financial system deleveraging.In this context,it is of great theoretical and practical significance to study the Risk Spillover Effect of shadow banking on the commercial bank system in China.Firstly,this paper clarifies the background and significance of the topic;on the basis of defining and analyzing the scope of shadow banking,it divides shadow banking into shadow banking dominated by non-bank financial institutions participating in off-balance-sheet banking and shadow banking dominated by non-bank financial institutions;secondly,it introduces the changes of the size of the shadow banking system,the evolution mechanism of business model and its dynamics.In the third part,we first introduce the theoretical basis of spillover effect based on correlation,and then analyze the risk spillover mechanism of shadow banks from macro and micro perspectives.On this basis,this paper establishes a DCC-GARCH model and a CoVaR model which include four types of shadow banks:securities,trust,investment and private lending.The dynamic correlation coefficients and risk contribution between different shadow banks and commercial bank systems are calculated respectively to verify the Risk Spillover Effects of the four types of shadow banks on Chinese commercial bank system.Based on the empirical analysis of DCC-GARCH model and CoVaR model,this paper draws the following conclusions:(1)Four types of shadow banks have different degrees of risk contagion effects on the commercial bank system,among which securities shadow institutions have the greatest risk spillover effect on commercial banks,followed by trust shadow banks,and finally investment companies and private lending institutions.(2)The dynamic time-varying correlation coefficients between shadow banks and commercial banks coincide well with the fluctuations of macro-economy and regulatory changes.This paper takes dynamic correlation coefficients and risk contribution as the measurement factors of monitoring and early warning shadow banks.Finally,this paper argues that the risk of shadow banking lies in the inherent mismatch of time limit and the nature of high leverage capital operation.Therefore,in order to promote the "sunshine" development of shadow banking business,we should actively regulate and guide it from the aspects of strengthening functional financial supervision,establishing laws and regulations;at the same time,the regulatory authorities should delay the grace period of the new regulations and limit the shadow.The assets and liabilities of sub-banks should be broken,and the "term mismatch" of financial management should be cleared.