Research On The Risk Contagion And Diversification Effects Of China’s Shadow Banking System On Commercial Banks

In recent years,with the continuous evolution of the financial market and the substantial growth of the financing demand of the whole society,China’s shadow bank,as the product of financial innovation,has developed rapidly,its scale has been expanding,and its importance in the financial market is also increasing.Because of the close relationship between shadow banking activities and commercial banks,its internal vulnerability and lack of external supervision make the risk easily spread to commercial banks,and our financial market is dominated by banking industry,so it is very important to prevent the Risk Spillover of shadow banking.China’s financial stability report(2019)pointed out that “2020 is the end year of the battle to prevent and resolve major financial risks,and strive to gradually complete the transition from the basic risk governance to the fundamental governance.” In this context,it is of great theoretical and practical significance to accurately measure the development scale of China’s shadow banking system,analyze the risk contagion effect of China’s shadow banking system on commercial banks,and explore the effect of shadow banking scale on risk dispersion of commercial banks.Most existing studies have not considered whether different types of shadow banks have non-linear risk contagion paths and shadow banking risk diversification effects under different factors.Firstly,this paper analyzes the risks of formal financial activities in the shadow banking system briefly,and uses Random Forest to analyze the risk factors of informal financial activities of shadow banks represented by P2 P lending industry.secondly,VAR model is used to analyze the risk contagion effect of various parts of shadow banking system on banking industry,and on the basis of this model,impulse response function and the linear and nonlinear Granger causality are used to further analyzes the relationship between the shadow banking system and the traditional banking industry.Finally,the paper calculates and analyzes the scale of shadow banks in 2010-2019 in China from two parts of formal finance and informal finance,and constructs the stability index of commercial banks in 2010-2019 by using factor analysis method,then polynomial regression model was used to analyzes the impact of the change of the scale of shadow banks on the stability of commercial banks and calculates the risk dispersion threshold.It is found that the trust and securities markets in the shadow banking system have significant positive risk contagion effect.The results of non-linear Granger causality test show that the risk contagion path of the insurance and P2 P lending markets in the shadow banking system to the banking industry is non-linear.The scale of shadow banking can improve the stability of commercial banks in a certain range,and continued growth will reduce the stability.But this inverted “U” shaped trends can be intervened by introducing relevant factors,and then realize the dispersion effect of the shadow banking scale fluctuation on the risk of the commercial banks,so that the stability of the commercial banks presents a “N” shaped trends.Financial supervision departments can pay attention to the internal and external factors that affect the stability of commercial banks,such as “cost-income ratio” and “regulatory policy” to adjust the scale of formal finance and informal finance in shadow banking system,so as to realize the risk dispersion effect on commercial banks.