The Impacts On The Banking Systemic Risk Of The China's Shadow Banking

Shadow banking played an important role in the sub prime mortgage crisis in 2007,which caused a great damage to the entire financial system and caused widespread concern of domestic and foreign regulatory authorities and scholars.According to this paper,the scale of China's shadow banking in 2011 was 16 trillion and 860 billion yuan,but in 2016 it reached 66 trillion and 200 billion yuan which expand to the original four times in 5 years.Shadow banking in China is rooted in the commercial banking system,which make credit assets out of the balance sheet through the inter-bank business and financial products,the cooperation of bank-trust and other forms.So it provide a choice to some fields which can not have an access to commercial bank loans through the normal channels,such as real estate enterprise.These field contains a very high risk that has the characteristics of long term investment and poor liquidity.The sharp drop in house prices will cause the rupture of capital chain of shadow banking.Due to the close connection between shadow banking and commercial bank,the risk of shadow banking will further spread to the commercial bank system and format the systemic risk of entire banking sector.Therefore,studying the impacts on the banking systemic risk of China's shadow banking has an important theoretical and practical significance.First,this paper makes the definition of shadow banking,estimates the size of the shadow banking,describes the operation mode of China's shadow banking and analyzes the influence mechanism of systemic risk of shadow banking,which include direct channel,financing channel and indirect channel;second,the paper will establish a DSGE model that has economic main body of multi-sector including household,manufacturers of consumer goods(producers of final goods and producers of intermediate goods),developer of real estate,shadow banking,commercial bank and central bank as the foundation of analysis that shadow banking analysis have an influence on banking system risk;thirdly,the paper will use the quarterly data from the first quarter of 2011 to fourth quarter of 2016 to comparatively analyze the graph of impulse response when the output of real estate developers,the financing scale of shadow banking,the financing interest rate of shadow banking,the interest rate of loan for commercial banks,the scale of loan for commercial banks,the leverage ratio of shadow banking,and the leverage ratio of commercial banks face the impact of the spread of the shadow bank financing,the impact of the real estate preference and the impact of monetary policy.The results show that:the financing behavior of real estate developers drive the development of the shadow banking business of commercial bank,assets transfer behavior of commercial bank promote the risk of transmission between shadow banking and commercial bank,and the development of shadow banking increase the systemic risk in banking sector.Finally,the results are analyzed according to simulation,and this paper will put forward the corresponding policy suggestions on the basis of the main conclusions,such as perfecting for China's macro prudential supervision system,establishing the firewall between shadow banking and commercial bank,strengthening the information disclosure of the shadow banking and improving the laws and regulations of shadow banking.