影子银行会加剧银行破产风险吗？--基于我国上市银行的实证分析

摘要

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.%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。