Research On The Impact Of Commercial Bank's Shadow Banking Business On Its Asset-liability Correlation

The correlation between assets and liabilities is an indicator to measure the level of asset and liability management of commercial banks.The higher correlation of assets and liabilities means that the bank's asset business is more dependent on its liability business.Conversely,a lower correlation of assets and liabilities indicates that the bank's liability business has less impact on its asset business.Therefore,the research on the correlation and impact of commercial banks' assets and liabilities is an important channel to explore their asset and liability management model.Proper correlation of assets and liabilities not only helps banks make reasonable investment and financing decisions,but also enhances the efficiency of their assets and liabilities,and helps to expand the space for risk and return of commercial banks,thereby reducing interest rate risk and liquidity risk.The deposit and loan business of commercial banks is an important asset and liability business.In theory,the growth rate of bank loans and deposit growth generally have a strong correlation.The two need to maintain a stable structure and in most cases maintain the same direction.However,data have shown that since 2013,the gap between China's commercial banks' deposits and loans has continued to widen,with the phenomenon of stable loans and declining deposits:In 2014,the local government financing platform's bond issue restrictions affected deposit derivation;The rapid rise of money funds and the demand for interbank deposit certificates have caused the scale of deposits to shrink passively and the growth rate of deposits to decline;Since the money fund led to the diversion of deposits,the bank began to vigorously develop its wealth management business after 2010.At the end of 2013,the scale of wealth management products exceeded 10 trillion RMB,which corresponds to the year-on-year growth rate of deposits.Therefore,since 2013,the trend of the two has deviated,the growth rate of loans has remained stable,and the growth rate of deposits has been declining,and the correlation between assets and liabilities has decreased significantly.The deviation between loan and deposit growth is essentially due to the interbank and off-balance sheet wealth management business of banks and non-banks,namely the shadow banking business as defined in this paper.That is to say,the rapid development of shadow banking has changed the business model of commercial banking business.Commercial banks have relied on the issuance of wealth management products to broaden the sources of bank funds,greatly reducing the dependence of bank assets on their liabilities,and making commercial banks.The efficiency of asset and liability operations has improved.From the existing research on the impact of shadow banking,scholars are paying more attention to the risks and negative effects of shadow banking,and there is less concern about the changes in the business model of commercial banks' assets and liabilities brought by shadow banking and the positive impact of this change on the correlation of commercial banks' assets and liabilities.This paper mainly analyzes the two contents:The first is to analyze the changes in the correlation between the assets and liabilities of China's commercial banks in 2007-2018,the second is to explore the impact of commercial banks' shadow banking business on the asset-liability correlation.This paper is divided into five parts:The first part mainly introduces the research background and significance of this paper,the research content and methods,innovation and deficiencies.And sort out relevant literature on asset-liability correlation and shadow banking business;The second part analyzes the connotation of bank asset and liability management and the new situation facing the current situation.Give a definition of the correlation of assets and liabilities,and analyze the factors affecting the correlation between assets and liabilities of commercial banks.According to Memmel and Schertler's method,set three indicators to measure the correlation between assets and liabilities;The third part is to sort out the relevant theories of shadow banking.Firstly,it gives the definition of shadow banking,and explains the specific operation mode,characteristics and motivation of commercial bank's shadow banking business.And theoretically analyze the impact of commercial bank's shadow banking business on its asset-liability correlation.The fourth part selects the relevant data of the balance sheet of China's commercial banks in 2007-2018,first analyzes the structure of assets and liabilities.Grouping to observe the characteristics of the correlation between high and low assets and liabilities used by shadow banking,And explain the correlation results of assets and liabilities and the reasons for the changes;Then use the VAR model to test the impact of commercial bank's shadow banking business on its asset-liability correlation.The last part is the conclusion and research outlook,puts forward the policy recommendations combined with the actual situation.This paper draws the following conclusions:(1)The correlation of assets and liabilities of commercial banks in China fluctuated in stages from 2007 to 2018.Especially after 2012,the shadow banking has expanded rapidly,and the correlation between bank assets and liabilities has been declining.At the same time,the asset-liability correlation of small and medium-sized banks is less than that of large-scale banks,indicating that small and medium-sized banks are more flexible in their use of assets and liabilities;(2)Compared with the traditional debt business to enhance the correlation between assets and liabilities,commercial banks engaged in shadow banking can reduce the correlation between assets and liabilities.And the correlation between assets and liabilities of small and medium-sized banks is affected by shadow banking business is greater than that of large-scale banks;(3)From the impact of the shadow banking business structure on the correlation of assets and liabilities,Interbank liabilities and off-balance sheet business are the reasons for changes in the relationship between assets and liabilities.Interbank assets,interbank liabilities and off-balance sheet business will all reduce the correlation between bank assets and liabilities in the short term.While interbank liabilities have the greatest contribution to the asset-liability correlation.The significance of this paper is that the current research on shadow banking pays more attention to risk shocks,and the research on the correlation of assets and liabilities mostly focuses on analyzing its changing characteristics.This paper studies the impact of shadow banking on asset-liability correlation from a micro perspective,and can provide recommendations for commercial banks to manage their assets and liabilities and engage in shadow banking:(1)Establish a system of asset and liability management and build a scientific indicator system;(2)Improve the active liability mechanism and balance and match the balance sheet;(3)Commercial banks should strengthen their own internal control and effectively play the positive role of shadow banking.