影子银行对商业银行稳健性和经济增长的影响--基于面板VAR模型的动态分析  

The Impacts of Shadow Banking System on the Commercial Banking Stability and Economic Growth:Based on Dynamic Analysis of Panel VAR Model

作　　者：张亦春[1,2] 彭江[1] 

机构地区：[1]厦门大学经济学院金融系 [2]厦门大学金融研究所

出　　处：《投资研究》2014年第5期22-33,共12页Review of Investment Studies

摘　　要：本文首先构建我国商业银行稳健性指数,测度了我国A股市场上市的14家商业银行的稳健性水平,然后进行面板Granger因果检验,并利用面板VAR模型,实证研究了影子银行体系对商业银行稳健性和经济增长的影响。主要结论表明:影子银行的发展会增强商业银行的稳健性,但影响程度较小,且不具长期效应;影子银行的发展对经济增长有积极的促进作用,并且影子银行规模的变化将对经济增长的波动产生一定的影响。This paper firstly constructs the Commercial Banking Stability Index, which measures the stability of the listed 14 commercial Banks on Chinese A-share market. The paper then tests the Panel Granger Causality and studies empirically the im- pacts of shadow banking system on the commercial banking stability and economic growth using panel VAR model. Main con- clusions indicate that the development of the shadow banking weakens the stability of commercial Banks, but the impact is small with no long-term effects. The development of shadow banking promotes economic growth, and the change of the scale of shadow banking affects the volatility of the economic growth.

关 键 词：影子银行 面板VAR 银行稳健性 经济增长 

分 类 号：F832.33[经济管理—金融学]