非金融企业影子银行化的风险承担效应:内在机制与经验证据  

Risk-taking Effects of Shadow Banking by Non-financial Firms:Internal Mechanisms and Empirical Evidence

作　　者：吴安兵 龚星宇 陈创练[1] 黄寰[4] WU An-bing;GONG Xing-yu;CHEN Chuang-lian;HUANG Huan(School of Economics,Jinan University;Postdoctoral Station,China Guangfa Bank;School of Economics,Southwest University of Finance and Economics;School of Business,Chengdu University of Technology)

机构地区：[1]暨南大学经济学院 [2]广发银行 [3]西南财经大学经济学院 [4]成都理工大学商学院

出　　处：《中国工业经济》2023年第4期174-192,共19页China Industrial Economics

基　　金：国家社会科学基金重大项目“防范化解经济金融领域风险的宏观调控治理体系研究”(批准号22ZDA050)。

摘　　要：本文构建了一个包含异质性企业从事影子银行活动的分析框架,以此为基础,利用2006—2020年中国非金融上市公司数据,实证检验非金融企业影子银行化的风险承担效应及其影响机制。研究结果表明,非金融企业开展影子银行业务会显著提高其风险承担水平,这一结论在利用“资管新规”政策构建工具变量回归等一系列检验后仍然成立。异质性分析显示,相较于信用链条类影子银行,信用中介类影子银行对企业风险承担水平的提升效应在非国有企业、高融资约束企业和市场化程度较低地区的企业更强。机制检验表明,信用中介类影子银行和信用链条类影子银行分别通过会计账户关联机制和金融风险传染机制影响企业风险承担水平。进一步分析发现,中央银行实施扩张性货币政策会削弱非金融企业影子银行化的风险承担效应,且价格型货币政策更有利于缓解信用中介类影子银行的风险承担效应,数量型货币政策则有利于缓解信用链条类影子银行的风险承担效应。本文为中央银行合理运用货币政策工具以应对非金融企业影子银行化带来的风险提供了政策启示。Recently,risks arising from non-financial firms’shadow banking business have attracted the attention of the industry and academia.Existing literature mainly discusses how the shadow banking system acts as a financial intermediary and its role in the financial market.Few scholars pay attention to the lending behavior of non-financial firms,and even consider differences in risk-taking caused by firms’participation in shadow banking of different business models.In addition,few scholars have explored inherent relations among monetary policy,shadow banking,and corporate risk-taking based on a combination of theoretical deduction and empirical testing.The main contributions of this article are mainly in the following aspects.Firstly,the causal effect of non-financial firms’shadow banking on the risk-taking was accurately identified.Through the quasi-natural experiment constructed by the exogenous impact of the new asset management regulations,useful references were provided to solve the endogeneity problem of non-financial firms’shadow banking.Secondly,an in-depth analysis was conducted of the inherent logic of the impact of heterogeneous shadow banking activities on the risk-taking through the accounting account correlation mechanism and financial risk contagion mechanism.Finally,the impact of exogenous shocks of quantity-based and price-based monetary policies on the risk-taking effect of shadow banking by non-financial firms is further compared and analyzed from a micro perspective to test whether expansionary monetary policy weakens the risky consequences of shadow banking by non-financial firms.The results show that non-financial firms’shadow banking business significantly improves their risk-taking level.This conclusion is still valid after a series of robustness tests such as using the new asset management regulations to construct instrumental variable for regression.Heterogeneity analysis shows that compared with credit chain shadow banks,credit intermediary shadow banks have a stronger effect of enha

关 键 词：影子银行 企业风险承担 会计账户关联 金融风险传染 货币政策冲击 

分 类 号：F272[经济管理—企业管理]