摘要
近年来,我国影子银行发展较快,其潜藏的风险不容忽视。影子银行所具备的高杠杆性、复杂性和不透明性,会使其积聚的风险在爆发时传染至商业银行,最终可能引发系统性金融风险。银行稳健性的影响机制较为复杂,影子银行、资本监管压力可能均对银行稳健性存在影响。本文将影子银行、资本监管及银行稳健性置于同一分析框架中,选取2004—2017年我国126家商业银行非平衡面板数据作为研究样本,基于一步系统GMM估计方法,实证分析影子银行、资本监管压力对银行稳健性的影响。研究结果表明:影子银行规模的扩大会降低银行的稳健性水平,且对股份制银行和城商行稳健性水平的削弱作用更为明显;资本监管压力的增强会提高银行的稳健性水平,且对系统重要性银行具有更强的提升效应;而当资本充足率低于监管要求时,资本监管压力则可增强影子银行对银行稳健性的削弱作用。鉴此,本文提出规范商业银行与影子银行之间的业务往来、持续完善差异化监管及强化金融监管部门的协调与配合等政策建议。
In recent years, China's shadow banking has developed rapidly, and the hidden risks behind it can't be ignored. Because shadow banking is characterized by high leverage, complexity and opacity, the risk of its accumulation will be transmitted to commercial banks once it breaks out, which may eventually lead to systemic financial risks. Since the impact mechanism of bank stability is complicated, the shadow banking and capital regulation pressure may play the important role. In this paper, shadow banking, capital regulation and bank stability are placed in one framework. Based on the unbalanced panel data of 126 commercial banks in China from 2004 to 2017, this paper empirically analyzes how shadow banking and capital regulation pressure influences bank stability by using the one-step system GMM estimation method. The empirical results show that the expansion of shadow banking will weaken the stability of banks, where joint-stock banks and city commercial banks are more impacted. The strengthening of capital regulation pressure will improve the bank's stability, where the positive effect on systemically important banks are more obvious. When the capital adequacy ratio is below the regulatory requirements, capital regulation pressure may enhance the shadow banking and weaken the bank's stability. Finally, this paper proposes some policy recommendations for regulating commercial banks and shadow banking,.
出处
《金融监管研究》
CSSCI
北大核心
2019年第1期31-52,共22页
Financial Regulation Research
关键词
影子银行
资本监管压力
银行稳健性
GMM估计
Shadow Banking
Capital Regulation Pressure
the Stability of Banks
GMM Estimation
