摘要
影子银行资金投向复杂,防范风险跨行业交叉传染成为当前规范影子银行发展的重点。本文以资金信托行业投向作为影子银行的代理变量,采用△Co Va R模型,利用来自19个行业的资金信托投向数据测算尾部风险指标,分析以信托业为代表的影子银行部门系统性风险的生成机理和风险传导路径。研究发现,由本文模型测算的以信托业为代表的影子银行部门系统性风险主要由行业间关联性驱动,时间维度上具有顺周期性;通过构建指标识别出系统重要性行业和系统脆弱性行业,对前者的溢出效应和后者的吸收效应采取必要的风险隔离措施。因此,在经济上行周期,应通过完善监测系统来捕捉影子银行可能出现的风险,对与影子银行相关的行业采取重点监管措施,防范在下行周期风险出现跨行业扩散,减轻实体经济受到的影响。
The investment of shadow banking funds is complicated,and preventing cross-industry risk contagion has become the focus of regulating shadow banking.This paper takes the industry loan investment of trust fund as the proxy variable of shadow banking,and uses△Co VaR model to measure the tail risk index of industry loan investment of fund trust from 19industries,analyzing the generation mechanism and risk transmission path of systemic risk of shadow banking represented by the trust industry.On the one hand,the systemic risk of shadow banking represented by the trust industry calculated by the model is mainly driven by inter-industry correlation,and it is procyclical in time dimension.On the other hand,the industries of systemic importance and systemic vulnerability can be identified by constructing the index,with necessary risk isolation measures taken for the spillover effect of the former and the absorption effect of the latter.Based on the above analysis,the possible marginal contribution of this paper includes the following two aspects.Firstly,compared with the existing research on measuring the systemic risk of shadow banking based on the tail dependency model,the systemic risk indicators constructed in this paper are more suitable to the characteristics of the trust industry,and can identify the systemic risk brought by shadow banking.Secondly,compared with the existing research on measuring systemic risk based on the network model of balance sheet,the systemic risk index of shadow banking constructed in this paper has the characteristics of being more frequent and more responsive to regulatory risk monitoring requirements.Therefore,in the economic upward cycle,we should improve the monitoring system to catch the potential risks of shadow banking,and take key regulatory measures for industries related to shadow banking to prevent risks from spreading among industries during the downward cycle and reduce the impact on the real economy.
作者
宋鹭
赵莹瑜
方意
Song Lu;Zhao Yingyu;Fang Yi(National Aeademy of Development and Strategy,Renmin University of China;School of Finance,Central University of Finance and Economics)
出处
《国际金融研究》
CSSCI
北大核心
2022年第6期64-74,共11页
Studies of International Finance
基金
国家社会科学基金项目“央行数字货币对货币政策实施和传导的影响机制研究”(21BJL031)
国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(20&ZD101)资助
国家自然科学基金面上项目“金融文本大数据与银行业系统性风险:指标构建、应用与评估整合”(72173144)
国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(71973162)
国家自然科学基金青年基金项目“基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究”(71801117)。
关键词
系统性风险
影子银行
信托业
关联网络
Systemic Risk
Shadow Banking
Trust Business
Associated Network
