影子银行业务扩张、经营绩效与风险承担  

Shadow Business Expansion,Operating Performance and Risk-taking of Commercial Banks

作　　者：杨源源 贾鹏飞 王建君 YANG Yuanyuan;JIA Pengfei;WANG Jianjun

机构地区：[1]南京审计大学金融学院 [2]南京大学经济学院

出　　处：《中央财经大学学报》2025年第4期112-128,共17页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金项目“低利率边界约束下财政货币政策有效性检验及协调机制研究”(项目编号:24CJL045);国家社会科学基金项目“金融风险演化与‘稳金融’宏观调控研究”(项目编号:20FJYB042);国家自然科学基金项目“宏观审慎政策的理论依据与最优政策设计”(项目编号:72104101);江苏省决策咨询研究基地项目“‘数实融合’推进新型工业化研究”(项目编号:24SSL001)。

摘　　要：本文构建三期动态理论模型和面板分析模型以探究商业银行影子银行业务扩张对经营绩效和风险承担的影响。理论研究发现,商业银行从事影子银行业务有利于促进经营绩效提升,但会产生过度风险承担。实证结果表明:商业银行影子业务资产扩张有助于促进经营绩效提升,并推高风险承担水平,且这两种影响均表现为倒U型的非线性特征;分样本回归结果表明影子业务资产扩张对商业银行影响的非线性效应存在明显异质性,城市商业银行非线性效应的拐点值最大,全国性股份制商业银行居中,国有大型商业银行最小。本文认为须辩证认识商业银行影子银行业务,影子银行业务并非“百害而无一利”;监管部门应探索建立宏微观审慎相结合的影子银行业务监管体系,引导影子银行业务合规可持续演进,促进影子银行体系更好服务实体经济发展;影子银行业务监管应遵循分类和差异化监管原则,须重点加强对城市商业银行的影子银行业务风险监测以及合规监管。By constructing a three-period dynamic theoretical model and panel models,we explores how shadow banking activities affect banks'operating performance and risk-taking.Theoretical research finds that the shadow banking activities of banks are conducive to the improvement of operating performance,but will lead to excessive risk-taking.The empirical results show that the expansion of banks'shadow business can promote the improvement of business performance and aggravate risk taking,and both effects are characterized by an“inverted U-shape”.The sub-sample regression results show that the impacts of shadow business expansion on banks have obvious heterogeneity.The inflection point value of the nonlinear effect of urban banks is the largest,the national joint-stock banks are in the middle,and the large state-owned banks are the smallest.In view of this,we believes that shadow banking activities of banks should be recognized dialectically,and shadow banking activities are not“all harms and no benefits”.Regulatory authorities should explore the establishment of a shadow banking supervision system that combines macro-prudence and micro-prudence,guide the sustainable evolution of shadow banking compliance,and promote the shadow banking system to better serve the development of the real economy.In addition,shadow banking supervision should follow the principle of classified and differentiated supervision,especially focusing on strengthening shadow banking risk monitoring and compliance supervision of urban banks.

关 键 词：影子银行业务 经营绩效 风险承担 非线性效应 

分 类 号：F832[经济管理—金融学]