首页>详情页

The Spillover Risks of Quasi-credit Shadow Banking Activities to On-balance-sheet in Multi-level Banking System

【Authors】
XU Youchuan
【WorkUnit】
Fudan University, 200433.
【Abstract】

The banking financial institutions are the initiators, fund providers and risk undertakers of Chinese-style shadow banking which belongs to the quasi-credit activities of banking system. The quasi-credit shadow banking activities will erode banks' operating profit or asset value when relevant risks are exposed, thereby affecting or altering their risk status and default expectation. Under the condition that the quasi-credit shadow banking activities may trigger risks or losses, the paper models the structural effects of traditional banking activities and quasi-credit shadow banking activities on the overall risk status of banks, as well as the spillover risks of quasi-credit shadow banking activities to the on-balance-sheet of banking system. We also empirically estimate the spillover risks of the quasi-credit shadow banking activities to on-balance-sheets of state-owned banks, joint-stock banks and city commercial banks. It demonstrates the risk maps and the structural differences of quasi-credit shadow banking activities in the multi-level banking system, and the quantitative relationships between the relative sizes of the quasi-credit shadow banking activities and their spillover risks.


JEL:G21, G32


【KeyWords】
Shadow Banking, Bank-Trust Cooperation, Interbank Business, Risk Taking, Risk Spillover