多层次银行体系的类信贷影子银行活动的表内溢出风险  

The Spillover Risks of Quasi-credit Shadow Banking Activities to On-balance-sheet in Multi-level Banking System

作　　者：许友传[1] XU Youchuan(Fudan University,200433)

机构地区：[1]复旦大学经济学院

出　　处：《财贸经济》2019年第12期79-95,共17页Finance & Trade Economics

基　　金：国家自然科学基金面上项目“结构视角的金融体系脆弱性及其系统性风险”(71673049);国家自然科学基金面上项目“中国地方政府融资平台债务重构及其风险缓释”(71473041)

摘　　要：中国式影子银行本质上是银行发起或主导的类信贷活动。银行是相关活动的资金提供者和风险承担者。当类信贷影子银行活动的底层资产风险暴露时,其将侵蚀银行的利润基础或资产价值,进而影响或改变银行的风险状态及其违约预期。在银行同时从事传统银行活动和类信贷影子银行活动,以及后者不确定触发风险和引致表内损失的情形下,本文模型刻画了两类活动对银行总体风险状态的结构性影响,以及类信贷影子银行活动的表内溢出风险状况。本文还经验估计和简洁呈现了中国多层次银行体系的类信贷影子银行活动的表内溢出风险图景及其结构差异。读者能从中管窥传统银行活动和类信贷影子银行活动对银行总体风险状态的结构性影响及其变动趋势,多层次银行体系的类信贷影子银行活动的相对规模与其表内溢出风险之间的定量关系及其相对趋势。The banking financial institutions are the initiators, fund providers and risk undertakers of Chinese style shadow banking which belongs to the quasi-credit activities of banking system The quasi credit shadow banking activities will erode banks operating profit or asset value when relevant risks are exposed, thereby affecting or altering their risk status and default expectation Under the condition that the quasi credit shadow banking activities may trigger risks or losses, the paper models the structural effects of traditional banking activities and quasi credit shadow banking activities on the overall risk status of banks, as well as the spillover risks of quasi-credit shadow banking activities to the on balance sheet of banking system We also empirically estimate the spillover risks of the quasi credit shadow banking activities to on-balance-sheets of state owned banks, joint stock banks and city commercial banks It demonstrates the risk maps and the structural differences of quasi-credit shadow banking activities in the multi level banking system, and the quantitative relationships between the relative sizes of the quasi-credit shadow banking activities and their spillover risks.

关 键 词：影子银行 银信合作 同业业务 风险承担 风险溢出 

分 类 号：F832.51[经济管理—金融学] F224