影子银行对银行体系稳定性影响的实证研究

文章以委托贷款、信托贷款和未贴现银行汇票作为影子银行规模的代理变量,用资本充足率、不良贷款率和流动比率构建银行体系稳定性指数,基于2009年一季度至2017年四季度共36个数据,采用VAR模型,实证分析影子银行规模的发展对银行体系稳定性的影响。结果显示,影子银行对银行体系稳定有负向冲击,且影响越来越大。基于研究结论,文章提出政府应加强对影子银行业务的监管,银行应创新进行表内业务创新,规避影子银行对银行体系稳定性的消极影响。

An Empirical Study on the Effect of Shadow Banking on the Stability of Banking System

This paper uses entrusted loans, trust loans, and undiscounted bank drafts as proxy variables for the size of shadow banking, and constructs a banking system stability index using capital adequacy ratio, non-performing loan ratio, and current ratio, based on the first quarter of 2009 to the fourth quarter of 2017 with the VAR model, empirically analyzes the impact of the development of shadow banking on the stability of the banking system. The results show that shadow banking has a negative impact on the stability of the banking system, and the impact is increasing. Based on the research conclusions, this paper proposes that the government should strengthen the supervision of shadow banking business. Banks should innovate on-table business innovation and avoid shadow banking''s negative impact on the stability of the banking system.