中国影子银行对银行风险承担阈值效应的实证研究

摘要

By studying the dual functions of shadow banks on bank risk taking,this paper proves the theoretical possibility of the existence of threshold effect between them and validates the threshold effect by utilizing the dynamic nonlinear panel model.The conclusions are as follows:There is a U-shaped relationship and a threshold effect between the total size of shadow banks and the banks' risk taking.The estimated threshold point of China's shadow banking scale was in 2013. The relationship between the development of China's shadow banks and bank risk taking depends on banks' capital level,operating efficiency and asset size.The relationship between the bank risk taking and the internal and external shadow bank scale is located in the first half and the second half of the U curve.In other words,the cur-rent development of internal shadow banks help to reduce the bank risk taking while the development of external shad-ow banks tend to improve banks' risk.%本文以影子银行对银行风险承担的双重作用为出发点,在理论证明影子银行对银行风险承担可能存在阈值效应的基础上,进一步构建动态非线性面板模型进行实证检验.结果表明:我国影子银行的发展与银行风险承担之间呈U形关系,存在阈值效应,阈值点出现在2013年左右;我国影子银行的发展对银行风险承担的影响程度依赖于银行资本情况、经营效率与资产规模;银行风险承担与内、外部影子银行规模之间均呈U形关系,但分别位于U形曲线的前半段与后半段,即目前内部影子银行发展有助于降低银行风险承担,而外部影子银行发展则倾向于提高银行风险承担.