Research On The Relationship Between Local Government Debt In China And Shadow Banking Based On Empirical Analysis Of TVP-VAR Model

As the CBRC continues to strengthen the supervision of bank credit funds in local government debt sources,coupled with the increasing restrictions on commercial banks' local loan conditions,this has led to a decline in the proportion of bank loans in local government debt sources.Because of the need of infrastructure construction and regional economic development,local governments began to use trust and other channels to finance,which also led to shadow banking as a new source of local government debt.Similarly,shadow banking often regards projects with implicit guarantees from local governments as its investment targets.With the boom of infrastructure,real estate and other projects,more and more shadow banking funds have entered them,which promotes the expansion of local government debt.Therefore,it is necessary to discuss shadow banking in the study of local government debt in China.After studying the existing literature on shadow banking and local government debt,this paper firstly defines the concepts of shadow banking and local government debt,and summarizes the development process and risk characteristics of shadow banking and local government debt.Then,in order to obtain the relationship between shadow banking and local government debt,this paper use qualitative analysis and empirical test.Qualitatively,this paper studies the actual relationship between local government debt and shadow banking by analyzing the source structure of local government debt and the shadow banking related to local government debt.In terms of empirical test,this article selects the monthly data of wealth management products,trust products,financial leasing products and local government debt from 2012 to 2018,and uses the TVP-VAR model with the help of EViews 10 and Matlab 2016a.and the data stationarity test,granger causality test and impulse response analysis,and get different impact point impulse response diagram and the lead time an exogenous shock pulse response figure,and draw conclusions on"China's local government debt and the shadow banking relationship":Local government debt is an important supporting force for the development of shadow banking,and shadow banking is an important channel for local government debt financing.Local government debt has a positive impact on shadow banking business,and the impact range will change with time.In the shadow banking business,only the wealth management products of Banks have an impact on local government debt,which is positive and changes with time.Therefore,this paper proposes to strengthen the supervision of shadow banking from the perspective of supervision principles and the establishment of shadow banking risk identification and early warning system.Strengthen the supervision of local government debt from three aspects:issuing management and credit rating system of local government bonds,local government debt information disclosure system,risk warning and emergency disposal mechanism.Strengthen the cross-supervision of local government debt and shadow banking,and establish a firewall and a risk warning mechanism between them.