An Empirical Study On Risk Early Warning Of Commercial Banks Based On The Perspective Of Shadow Banking

Since 2014,regulators have gradually strengthened the supervision of shadow banks,according to the People's Bank of China in 2014 monetary policy report shows that the overall scale of China's shadow banking slowdown.However,the scale of commercial banks' shadow banking business,represented by the sale of buying back the sale of financial assets and receivable investments,has increased significantly.Due to the basic attributes of shadow banking,such as maturity mismatch,liquidity conversion and credit conversion,the risk of shadow banking business is highly contagious.The risk of the shadow banking will lead to the risk of the banking industry,which will affect the macroeconomic situation of our country.So it is necessary for the commercial banks to carry out early warning and precaution against the hidden risks of the shadow banking business.Firstly,this paper reviews and summarizes the research results of domestic and foreign scholars on the definition of shadow banking,the risk of shadow banking and the risk early-warning model of commercial banks,and then forms the preliminary design of this paper,which is an empirical study on risk early warning of commercial banks based on the perspective of shadow banking.Secondly,this paper analyzes the shadow banking business from three aspects:cause,composition and risk,then determines the proxy variable of the shadow banking business of commercial bank according to the research content of this paper,and measures the risk of China's commercial banks.Based on the above research,this paper,based on the shadow banking perspective,takes 40 representative commercial banks 2008-2015 data as the research samples,which includes large commercial banks,joint-stock commercial banks,urban commercial banks and rural commercial banks.From the micro-level of commercial banks,the shadow banking of commercial banks is deeply analyzed,and the panel logit model is established to carry out the empirical research on the risk of Chinese commercial banks.From the micro-level of commercial banks,deeply analyze the shadow banking of commercial bank,and establish the panel logit model to carry out the empirical research on the risk early warning of Chinese commercial banks.The empirical results show that:First,as the embodiment of the shadow banking business on the commercial bank's balance sheet,each 1 percent additional of buying back the sale of financial assets and receivable investments will increase the probability of occurrence of commercial banks risk by 6.65%and 4.89%respectively.Second,the assets scale and the risk of commercial banks are negative correlation,1 percent additional of the assets scale will decrease the probability of occurrence of commercial banks risk by 19.65%,that is,the larger assets of the bank,with strong risk prevention capabilities.Third,the growth rate of GDP is negatively correlated with the probability of occurrence of commercial bank risk,the growth rate of GDP increases by 1%,the risk of commercial banks will reduce the probability of 3.87%,that is,the risk of commercial banks has a strong pro-cyclical,in the case of the decline of macroeconomic growth,commercial banks shadow banking business may become a commercial bank risk of the incentives.Fourth,the deposit-loan ratio of commercial banks is negatively correlated with the probability of occurrence of risks,deposit-loan ratio increases by 1%,the risk of commercial banks will reduce the probability of 0.86%,that is,compared to commercial banks engaged in "lending"business of shadow banks,the traditional loans due to more stringent regulation,the increase in size to a certain extent can reduce the risk of commercial banks the probability of occurrence.According to the empirical results,the empirical model can provide a risk early warning model for commercial banks to take into account the multiple factors such as shadow banking,business and size differences between different banks,macroeconomic environment and so on.Finally,based on the results of empirical research and the actual situation of China,this paper puts forward some advices on commercial bank's shadow banking business risk pre-warning from two aspects:commercial banks and regulators,so as to play a guiding significance to the sound development of the shadow banking business and healthy operation of commercial banks.The innovation of this paper is to consider the operation mode of shadow banking from the micro level,focuses on the operation mode of the shadow banking business of commercial banks represented by the buying back the sale of financial assets and receivable investments.The second is based on the shadow banking perspective,carry out the empirical research on the risk early warning of commercial banks,the empirical results are valuable for the early warning and prevention of the shadow banking business risks in commercial banks.