The Network Correlation And Risk Spillover Effect Of China's Shadow Banking

Since the financial crisis of 2008,China's shadow banking has continued to expand.As a beneficial supplement to the traditional commercial bank,its risk spillover effect is attracting more and more attention from academia and regulatory authorities.In the context of financial innovation and the increasingly close linkage of institutional business,the systemic risk of shadow banking spreads through the financial network,while commercial banks,as key members in the financial network,are likely to become undertakers of related risks,which may lead to systemic risk.Therefore,the relationship between traditional commercial bank and shadow banking system in financial network structure is studied based on the correlation of the overall network structure of the shadow banking system,and the risk transmission mechanism of the complex network structure is revealed through the measure of risk spillover effect.In terms of correlation research,this paper constructs an associated network between the shadow banking system from 2007 to 2017 and analyzes the overall relevance of the shadow banking system and the correlation characteristics of various departments within the system through the network analysis method.The research has revealed that the shadow banking's risky network has significant spillover effect during the financial crisis,and has obvious time-varying characteristics.There are significant differences in interdepartmental relationships in the system,and during the financial crisis,there was a significant correlation between the private lending and other departments.But as it entered the post-crisis period,the trust sector and the security sector became the center of the spillover risk network.It shows that under the new normal and financial innovation background,the association of traditional financial sector is increasingly close.It also will challenge the separated supervision pattern and regulators begin to seek new solutions.In terms of the spillover risk,this paper conducts an empirical analysis of the shadow banking system and traditional commercial banks through the overall risk spillover index and net risk spillover index.The results showed that different departments within the shadow banking system have obvious differences in risk spillover effect,especially the private lending has a positive net risk spillover effect.And as a commercial bank,the shareholding bank also has a positive effect.In particular,the stock market disaster in 2015 contributed significantly to the risk spillover of the securities department.The risk spillover effect of trust sector is consistent with the conclusion of relevant literature.And the private lending represented by P2P exists significantly time-varying characteristics in the risk spillover with the impact of the extreme incident.It also makes the risk of P2P caused the attention of the authority.Within the commercial bank,the large state-owned commercial bank accepts the minimum level of risk spillover,and the shareholding bank is the biggest contributor to risk spillover effect.It is inseparable for commercial banks in small and medium size with the rapid expansion of the shadow banking business in and regulatory authorities need pay attention to the risk.