摘要
本文基于我国16家上市银行2006—2014年的数据,通过采用随机效应面板模型,得出影子银行和商业银行破产风险之间存在阈值效应,当影子银行规模超过33.7万亿元时,影子银行将会增加商业银行的破产风险。将破产风险细分为资产组合风险和杠杆风险,发现影子银行和银行资产组合风险之间同样存在阈值效应,而与杠杆风险之间存在正向关系。
According to the data of 16 listed banks in China from 2006 to 2014 and by using the random effect pan- el model, we conclude that there is a threshold effect between shadow banking and the bankruptcy risk of commercial banks. When the size of the shadow banking exceeds 33.7 trillion yuan, the shadow banking will increase the bankrupt- cy risk of commercial banks.After we divide the bankruptcy risk into the asset portfolio risk and the leverage risk, we find that there is a threshold effect between shadow banking and asset portfolio risk.We also find that there is a positive relationship between shadow banking and leverage risk.
出处
《金融发展研究》
北大核心
2016年第6期3-10,共8页
Journal Of Financial Development Research
基金
国家社会科学基金项目"影子银行业务的风险传染与审计治理机制研究"(15BGL045)
南京审计学院硕士研究生科研及实践创新计划项目"中国影子银行业务对商业银行经营稳定性影响的实证研究"(MG2015008)
关键词
影子银行
破产风险
随机效应模型
政府审计
shadow banking, bankruptcy risk, random effectmodel, government audits
