我国影子银行风险助推了地方政府债务风险吗?——风险的传导机制及溢出效应  

Has the Shadow Banking Risk Prompted the Growth of Local Government Debt Risk? The Transmission Mechanism and Spillover Effect

作　　者：张平[1] ZHANG Ping

机构地区：[1]天津财经大学经济学院

出　　处：《中央财经大学学报》2017年第4期3-13,共11页Journal of Central University of Finance & Economics

基　　金：国家社会科学青年基金"我国‘影子银行’风险和地方政府财政风险间的交叉传染机制及其监控政策研究"(项目编号:14CJY063)

摘　　要：笔者基于防范系统性风险的宏观审慎监管原则,提出我国与地方政府债务关联的影子银行业务应归纳为受"三会"、受各部委和地方政府监管以及受到交叉监管的业务。笔者分析了这些影子银行业务的风险特征,研究了影子银行风险向地方政府债务风险传导的载体和路径,同时利用GARCH-Co VaR模型实证分析风险溢出效应。研究发现,我国影子银行业务以信托产品、融资租赁业务、银行理财产品和城投债为载体向地方政府债务传导风险,影子银行对地方政府债务有正的风险溢出效应。其中,证券公司和信托公司产品对地方政府债务风险溢出效应最大,综合类金融业务对地方政府债务风险影响居中,地方政府债务受到融资租赁行业的风险溢出影响较大,受民间资本风险影响开始显现。城投债由于有地方政府信用背书,对地方政府债务风险溢出程度较低。构建统一监管模式、防控影子银行风险传导和限制地方政府影子银行融资有助于阻止影子银行风险向地方政府债务风险的传导和溢出。This article concludes shadow banking related to local government debt as which is supervised by ＂three departments＂, by various ministries and local governments and those are under the crossed supervi- sion based on the macro prudent financial supervision principles which focuse on preventing systemmatic risk as the main goal. This article then analyzes the characteristics of shadow banking risk, studies the risk trans- mission carrier and path between shadow banking risk and local government debt risk, and establishes an em- pirical analysis by using GARCH-CoVaR model to evaluate spillover effect. The study finds that China＇s shadow banking transmits risk to local government debt through trust products, financing lease business, bank finan- cial products and urban construction investment bonds. The shadow banking risk has positive spillover effect on local government debt risk. Among them, the products of security companies and trust companies have the lar- gest spillover effect. The comprehensive financial business has median impacts on local government debt risk. The financial leasing industry has higher spillover effect on local government debt risk, while the civil capital risk has become and urban construction investment bonds have been endorsed with local government credit, so their overflow risk is low. Building a unified regulatory mode, preventing shadow banking risk trans- mission and controlling local governments＇ shadow banking financing models can help to prevent shadow overflow risk conducting to locaJ government debt risk. banking

关 键 词：影子银行 地方政府债务 基建信托 城投债 

分 类 号：F812.7[经济管理—财政学]