An Empirical Study On The Contagion Of Shadow Banking System Risk To Chinese Financial Market

The shadow banking system is is mainly engaged in cooperation with traditional commercial Banks business and free from the banking supervision system.Because the shadow banking system is characterised by an escape from regulation and high leverage,there are hidden risks which are easy to spread among financial markets,lead to the accumulation of financial market risks and finally cause a huge impact on the financial market with the continuous progress of the integration of financial markets and the mixed operation and separate supervision of financial institutions.Therefore,it is of great significance to study the unregulated shadow banking system and its systemic risk's contagion effect on the financial market.In view of this,first of all,the Internet financial is regarded as part of the shadow banking entities,Internet financial borrowing is seen as a part of shadow banking capital scale and the shadow banking system related concepts were introduced in detail.Then the academic paper research hypothesis is proposed after the analysis of the systemic risk contagion pathway of shadow banking.Furthermore,the measurement of shadow banking capital scale and risk contagion effect are empirically tested based on the theoretical analysis.To be specific,firstly,on the basis of dividing shadow banking business into in-system shadow banking and out-of-system shadow banking business,this paper uses theta method,capital flow accounting method and national economic accounting method to calculate the overall scale of external shadow banking business systematically.Secondly,by using the Chinese financial market data from 2008 to 2018,this paper constructs the dynamic Copula-CoVaR model to study the risk spillover effect of shadow banking in China.The empirical results show that:in terms of capital scale,the total scale of internal shadow Banks was close to RMB 38 trillion by the end of 2017,and the shadow banking business was mainly bank-trust cooperation business.The size of external shadow Banks is estimated to be as high as RMB 30 trillion in 2017 based on theta method.By the end of 2016,the size of external shadow Banks was 43 trillion yuan based on the measurement of capital flow accounting method.Based on the measurement of the size of external shadow Banks in the national economic accounting method.By the end of 2015,the size of external shadow Banks was nearly 38 trillion yuan generally consistenting with the former two.In terms of risk contagion effect,there is a bidirectional risk spillover between shadow banking and financial market,with the time going by,this kind of risk spillover effect gradually increases.Meanwhile,extreme risk spillover is asymmetric,and the shadow banking has stronger extreme risk contagion to traditional financial market,and this effect is accompanied by the lag effect.Finally,the paper puts forward Suggestions on standardizing the development of shadow banking in China in the new era,such as standardizing cooperative business,clarifying regulatory subjects,clarifying regulatory priorities,strengthening information disclosure and improving regulatory system.