中国影子银行的成因、结构及系统性风险  

The Cause, Structure and Systemic Risk of Shadow Banking in China

作　　者：周上尧 王胜[1] ZHOU Shangyao;WANG Sheng(Economics and Management School,Wuhan University;Economics School,Zhongnan University of Economics and Law)

机构地区：[1]武汉大学经济与管理学院,430072 [2]中南财经政法大学经济学院,430073

出　　处：《经济研究》2021年第7期78-95,共18页Economic Research Journal

基　　金：国家自然科学基金面上项目(71773085);国家社会科学基金重大研究专项项目(19VMG022)的资助。

摘　　要：2008年金融危机爆发之前,美国经历了一段影子银行迅速发展的时期,而中国影子银行的融资规模在近十年内也增长了接近十倍,这是否暗示着中国影子银行发展背后可能隐藏着足以引致危机的系统性金融风险?为理解与测算上述风险,本文构建了可以刻画中国影子银行结构与挤兑危机事件的DSGE模型。基于估计后的理论模型,本文运用冲击历史方差分解方法考察了影子银行发展的主要驱动因素,同时结合非线性的银行危机模拟方法测算了系统性金融风险水平,以及检验影子银行监管政策的风险防控效果。研究结果表明:银行部门间的金融创新冲击是导致影子银行迅猛发展与系统性金融风险积聚的根本原因;在上述冲击驱动下,中国从2007年开始出现系统性金融风险,并于2011年与2013年到达峰值,分别对应了两次"钱荒"事件。随着2014年影子银行监管的不断加强,系统性金融风险迅速下降,并在2017年降至较低水平。本文反事实的政策模拟分析进一步验证了影子银行监管在风险管控方面的效力,但监管政策的实施会导致资源错配、降低长期产出水平。本文基于实际数据的反事实测算结果显示,在上述历史峰值时点,监管政策每降低10%的系统性金融风险将导致长期产出减少0.18%左右。Since the outbreak of the financial crisis in the United States in 2008, China’s shadow banking scale has increased about eight times in the past decade, which is similar to the rapid development of shadow banking in the United States from 2004 to 2007. However, unlike the United States, in the rapid growth of China’s shadow banking, the cooperation between the commercial bank and the shadow banking institutions such as trusts and securities fund companies has produced a unique banking structure in China, namely, the so-called the shadow of banks. Against such background, it is still an open question whether China’s shadow banking has implicit systemic financial risks that may lead to the financial crisis and how the outbreak of financial risks will affect the banking system and the real economy in China. To answer these questions, we construct a DSGE model that can simultaneously capture the self-fulfilling bank run and China’s shadow banking structure. For the sake of characterizing the discrepancy in the credit risk of banks’ balance sheets and the feature of maturity mismatch, we incorporate two types of entrepreneurs who issue the long-term defaultable debt but with different profiles of heterogeneous risks. Under the above settings, it can be proved that when banks are subject to asymmetric supervision, shadow banks will only lend to entrepreneurs with high risk and expected return, while traditional commercial banks only lend to entrepreneurs with low risk, and lend the funds to the shadow banking sector.Based on the estimated model, we first use historical and variance decomposition to investigate the main driving factors leading to the rapid growth of China’s shadow banking. Our results show that the financial innovation shock between banking sectors may be the driving force to the development of the shadow banking system. Moreover, from the analysis of impulse responses, we find that such a positive shock will only exert a relatively weak stimulating effect on the real economy and lead to su

关 键 词：影子银行 系统性金融风险 银行挤兑 

分 类 号：F832[经济管理—金融学]