Research On The Impact Of Asset?Management Rules On The Shadow Bank Effect

With the acceleration of the pace of financial globalization,China's financial system gradually has simplified versions of various financial instruments and activities of foreign shadow banking systems.The shadow banking system is still dominated by banking wealth management.The bank's original business had an impact,which in turn changed the original structure of China's financial system to a considerable extent.In recent years,the size of China's shadow banking has continued to increase,and the increasingly connected shadow banking has increasingly affected and transmitted the credit and systemic risks of China's traditional banks.In 2017,Asset-Management Rules were introduced.New changes have also taken place in the integration of banks.Focusing on this change has important practical significance for China's current financial stability and macro-prudential supervision.This article focuses on the changes in the impact of two types of connections between shadow banks and traditional banks before and after Asset-Management Rules.First,shadow banks can improve the efficiency of financial market financing,broaden the boundaries of financial markets,and form a complementary and complementary effect with traditional bank credit.Whether there will be mutual inhibition or positive effects;the second is that shadow banking expansion during the economic transition period may have a certain risk transmission to traditional banks,and whether Asset-Management Rules have effectively reduced the degree of risk transmission.First,from the perspective of the function of shadow banking to the real economy,we try to find the “supplement” relationship between shadow banking and traditional bank credit.By establishing a vector autoregressive(VAR)model between the growth rate of shadow banking and traditional bank credit,we draw the conclusion: Before 2017,the growth of bank credit had a positive effect on the growth of shadow banking,and shadow banking played a role of supplementing traditional credit to a certain degree;after 2017,the supplementary role of shadow banking on traditional bank credit has declined,indicating that The Asset-Management Rules playa role in regulating the development of shadow banking.Secondly,from the perspective of the risk spillover of shadow banking,this paper analyzes the risk contagion of shadow banks to traditional banks.From the perspective of the bank's individual perspective,we establish a regression model to study the relationship between the scale of shadow banking business and the soundness of banks' operations,and add new policy variable to examine changes in the relationship between the two before and after the Asset-Management Rules.The results show that banks' shadow banking business will have a negative impact on the soundness of bank operations,and the operating risks of shadow banking are mainly caused by the increase of the volatility of banks' return of asset.The Asset-Management Rules will help mitigate the negative effects of shadow banking on bank operations.We further measure the risk contagion between banks and shadow banking from the perspective of asset price spillover.We establish weekly stock market index yield of A-share listed shadow banks and commercial banks to measure the contagion.Then,we stablish a vector autoregressive(VAR)model of the weekly return of the index to study the risk transfer mechanism between the two,and draw the conclusion: Before 2017,fluctuations in the yield of commercial banks had a positive contagious effect on the yields of shadow banks;however,the impact of fluctuations in yields of shadow banks on yields of commercial banks was volatile.After 2017,the positive contagion effect of commercial bank yields on shadow bank yields become weak;while the impact of shadow bank yields on commercial bank yields change from volatility to a small positive contagion,but the duration decreased.This shows that the introduction of Asset-Management Rules has partially reduced the risk contagion of the two,but there are still spillover effects.