【作者】 张莹；

【导师】 孙少岩；

【作者基本信息】 吉林大学 ， 金融（专业学位）， 2021， 硕士

【摘要】 2008年金融危机之后,全球经济整体下滑导致外需不足,国内利率市场化程度低,经济发展不稳定,因此在资产保值、逃离监管以及为中小企业补充融资等需求地促进下,影子银行进行了快速的规模扩张,促进了市场流动性的增强,但也给金融市场带来了风险。经历了长达8年得快速增长之后,2017年对影子银行监管开始加强,这使得影子银行发展增速变慢。2017年至2019年,影子银行的规模有所减少,但仍然占据我国金融体系重要的位置,与此同时,金融工具的不断创新以及监管政策的实施,也使得影子银行在不断创新和发展。随着宏观审慎监管逐渐被重视,意味着影子银行进入全新的监管时期。基于此本篇论文从宏观审慎监管的角度出发,研究影子银行与商业银行间的动态相关性,以及前者对后者的风险溢出,接下来通过借鉴一些国外影子银行的监管历程,根据其与我国影子银行相同点和不同点,并结合实证结果选择我国的影子银行的监管途径,对维持我国金融整体性稳定,促进金融改革具有重要意义。通过本文的研究,得出如下结论:四类影子银行与商业银行均存在动态相关性,动态相关性变化与监管政策时变性大致符合,并且四类影子银行均对商业银行存在风险溢出效应,溢出效应的时变性也符合经济发展和监管政策的时变性,从整体来看证券类公司对影子银行的风险溢出效应最大,其次是信托类公司,第三是投资类公司,风险溢出效应最小的是典当行,并且根据实证结果所得图片可看出,影子银行对商业银行风险溢出效益在2016年达到至高点,2017年至2019年相比于2016年底,风险溢出效应有了大幅度的减少,但近两年有渐渐增强的趋势,因此目前针对影子银行的监管仍然不能放松,接下来本文通过分析国外影子银行监管历程,并根据其与我国影子银行地异同得到启示,最后结合文章实证结果得出政策建议:首先进行差异化监管,改善宏观审慎监管框架,时间维度上采用逆周期资本缓冲、动态拨备等工具对我国影子银行当前发展风险进行一定程度地抑制,空间维度上适度增加系统重要性机构的覆盖范围,避免产生空白监管行为,降低共同风险产生的概率;其次应将宏微观审慎相结合,宏观角度应坚持由政府主导,致力于从机构监管转向为功能监管,微观角度应着眼于复杂的交叉性业务,具体问题具体分析等。更多还原

【Abstract】 After the 2008 financial crisis,the overall global economic downturn led to insufficient external demand,low domestic interest rate,and unstable economic development.Therefore,driven by the demand for asset preservation,escape from supervision,and supplementary financing for small and medium-sized enterprises,shadow banking has carried out rapidly.The expansion of the scale has promoted the enhancement of market liquidity,but also brought risks to the financial market After 8years of rapid growth,the supervision of shadow banking began to be strengthened in2017,and the scale of shadow banking development began to slow down and entered a period of low growth.This also enabled commercial banks,which are the ultimate investors of shadow banking business,to obtain credit.The scale has slowed down.From 2017 to 2019,the scale of shadow banking has decreased,but it still occupies an important position in our country’s financial system and has closed business ties with commercial banks.At the same time,with the continuous innovation of financial instruments and the implementation of regulatory policies,shadow banking is also constantly innovating and developing.With the gradual attention paid to macro prudential supervision,it means that shadow banking has entered a new period of supervision.This paper qualitatively and quantitatively studies the dynamic correlation between different types of shadow banks and commercial banks,as well as the dynamic risk spillover of the former to the latter,and then draws lessons from some foreign shadow banks.The process of supervision,based on the similarities and differences with our country’s shadow banking,draws inspiration from it,and combines the empirical results to choose our country’s shadow banking supervision approach,which is of great significance to maintain the overall stability of our country’s finance and promoting financial reform.Through the research of this paper,the following conclusions are drawn: the four types of shadow banks and commercial banks all have dynamic correlations,and the dynamic correlations are roughly in line with the time-varying regulatory policies,and the four types of shadow banks all have risk spillover effects on commercial banks.The time-varying nature of the effect is also in line with the time-varying nature of economic development and regulatory policies.Securities companies have the largest risk spillover effect,followed by trust companies,investment companies third,and pawn shops have the smallest risk spillover effect.And according to the empirical pictures,the risk spillover reached its peak in 2016.From 2017 to 2019,compared with the end of 2016,the risk spillover effect has been greatly reduced.However,according to the empirical results,there has been a gradual increase in the past two years.Therefore,the relevant departments cannot take lightly,Next,this paper analyzes the history of shadow banking supervision in the United States,the United Kingdom and the European Union,and draws inspiration from the similarities and differences between the three shadow banks and Chinese shadow banks.Finally,based on the conclusions of the paper,the following policy recommendations are drawn: First,carry out differentiated regulation,improve the macro prudential regulatory framework,in the time dimension,counter-cyclical capital buffer and dynamic provision are used to restrain the development risk of shadow banking in China to a certain extent,and in the space dimension,the coverage of systemically important institutions is moderately increased,secondly,we should combine macro and micro prudence,and from the macro-perspective,we should insist on the government’s leading,and devote ourselves to the transition from institutional supervision to functional supervision,micro perspective should focus on the complex cross-cutting business,specific analysis of specific issues.更多还原