中国影子银行顺周期性的结构性特征分析——基于交叉谱的实证  

Structural Characteristics Analysis on Procyclical Characteristics of Shadow Banks in China——Based on Cross-spectrum

作　　者：李鹏[1] LI Peng

机构地区：[1]郑州航空工业管理学院经济学院

出　　处：《金融发展评论》2019年第8期91-105,共15页Financial Development Review

基　　金：国家社会科学基金项目《互联网金融引致我国系统性金融风险的演化机理及综合管控研究》(项目编号:16BJY179)

摘　　要：影子银行顺周期性是金融危机爆发的重要原因。资本监管、内部评级和会计准则是影子银行顺周期性产生的主要机制。资产价格螺旋和流动性螺旋是系统性风险生成的主要路径。在对中国影子银行顺周期性经验判断的基础上,本文运用交叉谱分析方法,证实了中国影子银行具有明显的顺周期性特性;进一步研究发现,短期内宏观经济对影子银行波动的增益贡献较小,而长期内波动的增益贡献较大。央行应在逆周期资本缓冲、动态拨备、宏观审慎评估等方面继续强化对影子银行的逆周期监管;同时,遏制系统性风险和维护金融体系稳定还需要完善公允价值计价原则。Shadow banking procyclicality is one of the important causes of financial crisis.The pro-cyclicality of shadow banking in China is mainly formed through capital supervision,internal rating and accounting principles which may generate systemic risks through asset price spiral and liquidity spiral to threaten financial stability.By using the crossspectrum analysis method,this paper confirms the procyclicality really exists.Further research shows that the fluctuation of economic boom degree contributes less to the fluctuation of shadow banking in the short term,but more to the fluctuation in the long term.The central bank should continue to strengthen the counter-cyclical supervision of shadow banking in the aspects of counter-cyclical capital buffer mechanism,dynamic provision system,macro-prudential assessment system and perfect fair value principle to curb the formation of systemic risks and maintain the stability of the financial system.

关 键 词：影子银行 顺周期性 系统性金融风险 交叉谱分析 

分 类 号：F832.3[经济管理—金融学]