影子银行对传统银行影响的实证分析基——于商业银行体制内影子银行系统视角  

An empirical analysis of the impact of shadow banking on traditional banks--Based on the perspective of the shadow banking system within the commercial banking system

作　　者：林木西[1] 刘理欧 LIN Muxi;LIU Liou(School of Economics, Liaoning University, Shenyang 110036, China)

机构地区：[1]辽宁大学经济学院,沈阳110036

出　　处：《沈阳师范大学学报（自然科学版）》2020年第4期304-308,共5页Journal of Shenyang Normal University:Natural Science Edition

基　　金：国家社会科学基金后期资助项目(19FJLB010)。

摘　　要：影子银行是2017年金融严监管初期的重点整治对象。3年以来,影子银行高风险资产压降逾15万亿,成效显著。未来监管机构将更加严厉地整治影子银行。以传统商业银行为基础,从监管的角度对影子银行进行类型划分,并测算出体制内影子银行规模。通过构建向量VAR模型,运用Granger因果检验和脉冲响应函数方法,采用2004年至2018年上半年相关数据,分析影子银行对传统银行的影响,实证结果显示,影子银行对传统银行的发展和稳定性存在因果关系,对传统银行稳定性的正向冲击很大,对传统银行发展情况冲击虽不明显,但二者之间既存在促进关系也存在竞争关系。最后,提出了应对影子银行发展的对策和建议。Shadow banking is a key rectification target in the early stage of strict financial supervision in 2017.Over the past three years,the shadow banking high-risk assets have fallen by more than 15 trillion yuan.In the future,regulators will continue to resolutely rectify shadow banking.Based on traditional commercial banks,the types of shadow banks are classified from the perspective of supervision,and the size of shadow banks in the system is calculated.By constructing a vector VAR model with relevant data from 2004 to the first half of 2018,and using granger causality test and impulse response function method used,empirical results show that shadow banking has a causal relationship with the development and stability of traditional banks,and the positive impact of shadow banking on the stability of traditional banks is large.Although the impact on the development of traditional banks is not obvious,there is both a promotion relationship and a competition relationship between the two.Finally,countermeasures and suggestions for the development of shadow banking are proposed.

关 键 词：影子银行 传统银行 VAR模型 格兰杰因果检验 脉冲响应 

分 类 号：F832.1[经济管理—金融学]