Risk Spillover Effects Of Shadow Banking On My Country's Real Economy And Financial Market

In recent years,the development of economic has entered a new normal in China.Government reports have repeatedly pointed out the importance of financial security,and in socialist economic thoughts,preventing systemic financial risks is the focus of current economic work.The existence of shadow banking will increase the possibility of risks in the financial system.A large-scale unregulated shadow banking system will not only weaken the effectiveness of Chinese monetary policy,but also a major challenge for financial risk supervision.With the continuous expansion of the size of shadow banking,its impact on Chinese economic and financial system become deeper.As an important part of Chinese economic and financial system,the real economy and financial market sectors are increasingly connected with shadow banking.The risks accumulated by shadow banking are likely to spread to other sectors,which is a major hidden danger of systemic risks.Therefore,measuring the impact of shadow banking on the real economy and financial markets has three aspects of research significance.First,this article provides theoretical support for studying the risk transmission mechanism and preventing the occurrence of systemic risks.Second,this article studies the shadow banking The impact of the financial market is conducive to clarifying the main risk communication channels between the shadow bank and the financial market,and supervising them.Finally,this article uses the risk spillover index to quantify the risk spillover effects between various sectors.There's important meaning.If we can efficiently and timely measure the risk spillover changes of the shadow banking sector to the financial market and the real economy,we can,to a large extent,provide early warning of risks in the economic and financial system,thereby providing a tool for the monitoring of the shadow banking sector,Systematic risk control.In this context,the author first discusses the characteristics,development,and operating mechanism of shadow banking in China.And further elaborates the risk transmission mechanism between shadow banking and the real economy and financial markets.Based on the mixed-frequency vector autoregressive model and risk spillover index,the risk spillovers of shadow banking and real economy,financial market,monetary policy and other variables are modeled.The mixed-frequency vector autoregressive model incorporates data of different frequencies into the same model,which better solves the problem that different frequencies data cannot occur in the same vector autoregressive model which include low-frequency data of macroeconomics and high-frequency data of finance.The risk spillover index can analyze the risk spillover relationship of variables and determine the risk,source and center.In empirical research.The paper uses monthly shadow banking,stock market,bond market,monetary policy,real estate industry data and quarterly macroeconomic growth data from 2006 to 2019 to construct Bayesian mixed-frequency vector autoregressive model and calculates the risk spillover index.Combining static and dynamic analysis,the paper measures the risk spillovers of the shadow banking sector in China,and analyzes the overall risk spillover index,the shadow bank net spillover index,and the matching net spillover index between the shadow bank and various variables.At the same time,the above methods are based on the analysis in the time domain,which can test the dynamic change of the risk spillover relationship between different variables.The empirical results show that there is a clear relationship of cross-risk transferring between shadow banking,the real economy,and the real estate market.The risk output and input index of the three are also much higher than those of other sectors,while the input index of shadow banking and the real economy is significantly higher than other sectors.This shows that they are most vulnerable to risk shocks from other sectors.Among them,the risk spillover index between the shadow bank and the real estate market fluctuates greatly.And the risk spillover degree of the shadow bank on the real economy has increased in recent years.The stock market has no obvious risk contagion relationship with the shadow bank in most periods,but shadow banking will also be affected by stock market risks at the time of the stock market disaster.Due to Chinese relatively stable monetary policy,it will rarely affect shadow banking during the review period,but the impact of changes in monetary policy on shadow banking should not be ignored.There is no obvious risk spillover relationship between bond markets and shadow banking.The expansion of shadow banking in recent years makes it gradually change from the receiver of risk to the exporter of risk,which further confirms that the role of shadow banking in China's economic and financial system is important.After the introduction of the macro-prudential assessment system,the risks of shadow banking have been suppressed to a certain extent,but due to its evasion of supervision and the nature of chasing profits,its accumulated risks are still worth vigilance and attention.Based on the results of empirical research,the author believes that shadow banking,as a supplement to commercial bank,has a important role in promoting economic development.It is necessary to strengthen the supervision of shadow banking,and to standardize and innovate its development model while guiding the reasonable and appropriate development of shadow banking.Attach importance to its links with various economic sectors,and in particular need to guard against hidden risks of risk contagion with the real estate market and the real economy.The innovation of the paper is mainly in two aspects.One is the first use of MFVAR and the risk spillover index method to measure the risk spillover effect of shadow banking on financial markets and the real economy;Through a rolling window,the shadow banking sector's risk spillovers of financial markets and the real economy are analyzed dynamically,and combined with actual economic events.