Research On Systemic Risk Spillover Effect Of China's Shadow Bank

According to the definition given by the FSB in 2011,Shadow Banking mainly refers to the unregulated or lack of regulated credit intermediary.Shadow Banking has developed rapidly in China in recent years.On the one hand,Shadow Banking can promote and stimulate financial market to innovate.On the other hand,it has become the main carrier of financial leverage,which threats the financial stability.The event of Money Shortage that broke out in June 2013,was the result of Traditional Bankings increased financial leverage blindly through various Shadow Banking businesses.Since the policy of financial de-leverage was implemented from 2016,the size of the Shadow Banking has been shank a lot.However,the development of Shadow Banking in the future is still unknowable.Therefore,exploring the systemic risk spillover effect of China's Shadow Banking is of great significance to the financial supervision and financial market development.Firstly,this paper divided the Shadow Banking System into three types of financial institutions: Securities companies,Trust companies and Private lending.Then,two models of CoVaR and CoES were used respectively to explore the contributed degree of Shadow Banking risk from both static and dynamic perspectives in the two dimensions of the Financial System and the Shadow Banking System.Finally,we explored how to more accurately study the systemic risk spillover effects of Shadow Banking by improving the CoVaR model and used the financial institution's own characteristic variables.There are several conclusions from above research: Firstly,Shadow banking has the most obvious asymmetrical two-way risk spillover effect among financial institutions,which threats the safe of Financial System;Secondly,in the shadow banking system,the risk spillover of trust-based shadow banking institutions is stronger than the risk they bear.Securities shadow banking has the highest risk spillover.And in private lending shadow banking,private institutions have greater risk contribution.Thirdly,the VaR,size,navps of Financial Institutions and growth rate of GDP are obviously relevant with the degree of systemic risk contribution.All in all,this paper suggests that the Regulatory Authority should clarify the definition of Shadow Banking,improve the Shadow Banking supervision system and framework,and establish a more accurate risk measurement,early warning and disposal mechanism for Shadow Banking as soon as possible.What's more,different regulatory objects should be regulated in differentstrengthening.Some with high risk should be focused on.At the same time,the economic cycle should be fully considered in the process of supervision to adopt appropriate counter-cyclical control strategies.The innovation of this paper : firstly,research perspective is no longer limited to clarify the systemic risk spillover of Bank and Insurance System,but has expanded to Shadow Banking.Secondly,more research methods are used to state the Shadow Banking systemic risk contribution in multi-angle,more comprehensive and objective way.At the same time,considering the conclusions inaccuracy and regulatory periodicity that may result from the direct use of high-frequency data to calculate the risk contribution,the CoVaR model is further improved,which is predictable and can provide more reliable supervision suggestions for the Regulatory Authority.