房地产信托冲击与中国影子银行系统性风险  

The shock of real estate trust assets and China’s shadow banking systemic risk

作　　者：荆中博[1] 方意[2] 曾艳琪 韩业 JING Zhongbo;FANG Yi;ZENG Yanqi;HAN Ye(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China;School of Finance,Central University of Finance and Economics,Beijing 100081,China;Shenwan Hongyuan Financing Services Co.,Ltd.,Beijing 100033,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081 [2]中央财经大学金融学院,北京100081 [3]申万宏源证券承销保荐有限责任公司,北京100033

出　　处：《系统工程理论与实践》2021年第12期3101-3114,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71703182,71973162,71850008);中央财经大学一流学科建设项目。

摘　　要：以信托机构为例,将主动管理类信托资产纳入到资产负债表中建立模型探究中国影子银行系统性风险生成机理.理论分析发现,资产规模、杠杆、关联性和外部冲击是关键风险驱动因素.实证结果发现:样本期间,中国影子银行系统性风险呈现先上升、后下降的波动变化趋势.系统重要性机构分布较稳定,其关键因素为资产规模、杠杆和关联性.系统脆弱性机构分布较分散,其关键因素为杠杆.机构间风险传染存在关键路径数量较多、路径较短的特征.其中,杠杆和规模是机构间风险传染的关键因素.资产间风险传染具有明显的聚类特征.其中,资产间关联性具有更加重要的风险驱动作用.本文为解决中国影子银行系统性风险提供理论基础和经验证据.This paper taken trust institutions as an example,included actively manage trust assets into the balance sheet to establish a model to investigate the formation of China’s shadow banking systemic risk.Asset size,leverage,asset relevance,and external shocks are the key factors driving systemic risk.Empirical results are as follows.In the whole sample,China’s shadow banking systemic risk shows a trend of fluctuation of rising first and then decreasing.Systemically important institutions have relatively stable distribution,and their main risk drivers are asset size,leverage,and asset relevance.The distribution of system vulnerability mechanism is relatively scattered,and the key factor is leverage.For the inter-agency risk contagion,there are several critical paths and short path length in China’s shadow banking systemic risk.Moreover,leverage and asset size are key factors in risk contagion among institutions.The assetsrelated risk contagion has obvious clustering characteristics.From the perspective of factor decomposition,the correlation between assets has a more important risk driven role.This paper provides important political implications for solving China’s shadow banking systemic risk.

关 键 词：影子银行 系统性风险 机构间风险传染 资产间风险传染 

分 类 号：F830.8[经济管理—金融学]