摘要
本文基于微观业务数据,构建资产价格传染模型,提出了影子银行系统性风险度量的两步法:第一步,以微观业务数据为基础,构建虚拟机构资产负债表;第二步,将虚拟机构资产负债表与资产价格传染模型相结合,度量系统性风险。结果显示,样本期间影子银行系统性风险较高且波动剧烈。原因在于,样本区间的外部政策冲击变动导致微观业务规模及杠杆发生变动,进而驱动系统性风险的波动。为防范影子银行系统性风险,需要做好:第一,注重监测影子金融机构的业务层面风险;第二,打破影子机构的刚性兑付体制;第三,监管政策应有长期规划以及连续性。此外,与传统研究得出刚性兑付是隐藏风险、导致未来风险爆发不同的是,本文发现刚性兑付是引发风险的导火索。
This paper proposes the transmission mechanism of systemic risk in Chinese shadow banking and construct a price contagion model based on micro business data. This paper introduces two steps for measuring the systemic risk of shadow banking. The first step is forming a balance sheet of shadow banking based on micro business data. The second step is combining this balance sheet with our price contagion model to measure the systemic risk. Results show that the systemic risk in shadow banking is always high and volatile during the sample period. The high volatility is due to the changes of assets volume and leverage, which are driven by external policy shocks. Moreover, this paper offers three suggestions for policy implications. The first one is that we should focus on the risk of business structure in the shadow banking. The second one is that we should abolish the 'Rigid repayment' rule to weaken the fragility in the shadow banking. The third one is that regulatory policies should be long-term planning and continuity. Finally, this paper proposes that the 'Rigid repayment' rule can trigger the systemic risk timely, rather than postpone the systemic risk which is a traditional view.
作者
方意
韩业
荆中博
Fang Yi;Han Ye;Jing Zhongbo
出处
《国际金融研究》
CSSCI
北大核心
2019年第1期57-66,共10页
Studies of International Finance
基金
国家自然科学基金青年项目"货币政策
房地产价格与金融稳定"(71503290)和"风险承担
负面冲击与银行信贷风险:基于我国信贷大数据的实证研究"(71703182)资助
