中国的“影子保险”:来自监管自然实验的证据  

Shadow Insurance in China:Evidence from a Natural Experiment in Regulation

作　　者：王永钦[1] 段白鸽[1] 钱佳辉 WANG Yongqin;DUAN Baige;QIAN Jiahui(School of Economics,Fudan University)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《金融研究》2022年第4期18-38,共21页Journal of Financial Research

基　　金：国家社科基金重大项目“新阶段、新理念、新格局下我国金融结构优化与高质量发展研究”、国家自然科学基金项目(72073034);国家自科基金创新研究群体项目(72121002)中国经济发展规律与治理机制研究;教育部社科规划基金(21YJA790014);上海市社科规划课题(2019BJB008);上海高校智库(RICE)的资助。

摘　　要：影子保险在金融稳定中扮演着重要角色,但现有文献较多关注影子银行,对影子保险关注不足。“影子保险”即保险公司通过再保险方式将保险业务转移给不受监管或者受监管较弱的关联企业的活动,这会推高其真实的杠杆水平,增加金融体系脆弱性。然而,由于影子保险的不透明性和缺少自然实验,现有研究仅基于有限数据或模型给出简单的特征事实或结构性估计,很少能从因果关系上清楚地识别影子保险活动及其机制。本文利用中国加强对中资保险公司(处理组)再保险关联交易监管的政策冲击这一自然实验,使用微观数据和双重差分方法,识别了中国金融体系中的影子保险活动。研究发现,相关监管有效降低了影子保险活动,这一效应对集团公司的影响尤为显著;在机制方面,相关监管通过影响中资保险公司资产负债表两端的结构性调整进而降低了其风险承担行为,提高了经营稳定性。本文方法对识别金融机构的监管套利和防范系统性金融风险具有一定参考意义。Despite the essential role of shadow insurance in financial stability,it has received much less attention than shadow banking.Shadow insurance is the transfer of insurance by insurers to unregulated or less-regulated affiliated insurers via reinsurance,effectively increasing leverage in the insurance sector and the fragility of the whole financial system.As the 2008 global financial crisis showed,excessive risk-taking by insurers can have destabilizing effects.However,due to the opacity of shadow insurance and the lack of appropriate natural experiments,the literature only presents some simple stylized facts or structural estimates based on limited data,while few studies seek to causally identify shadow insurance activities and their underlying risk-taking mechanisms.China's strengthening of the regulation surrounding the disclosure of affiliated reinsurance by Chinese insurers(treatment group)constitutes an ideal natural experiment to address this open question,given that the regulation policy changes mainly apply to Chinese insurers.Foreign insurers in China are the natural control group.The paper uses the micro-data of insurance companies from 2010 to 2019 and a difference-in-differences(DID)methodology to identify shadow insurance activities in China,providing more convincing empirical evidence for the risk-taking behavior and operational stability of insurance companies.The results show that the regulation reduces the shadow insurance activities of Chinese insurers by reducing reinsurance.Chinese insurers'leverage and return on equity decrease significantly by 0.035 and 0.319 respectively,and their operational stability improves significantly.The parallel trend test ensures the validity of our DID identification strategy,and the placebo test with counterfactual analysis corroborates the results.The paper further identifies how shadow insurance activities affect insurance companies'risk-taking behavior.First,due to the stark differences between the liability structures of life insurers and property insurers,l

关 键 词：影子保险 监管套利 杠杆 风险承担行为 系统性风险 

分 类 号：F842[经济管理—保险]