Systemic Risk in Chinese Shadow Banking Sector:Risk Contagion Mechanism,Influence and ControlChinese Full Text
李建军薛莹
中央财经大学金融学院
Abstract: The paper studies the risk contagion mechanism and influence of systemic risk in Chinese shadow banking sector.We argue that risk contagion is a Markov process and then use I-O analysis to the study of dynamic ongoing process of risk transfer.We examine the systemic risk in Chinese shadow banking system with relevant transaction data from 2007 to 2012.Empirical results show that within the observation period,trust companies are the most powerful engines for systemic risk and banks suffer the most from negative externalities.Systemic risk as a whole in shadow banking system shows an uptrend.Isolation of risk,proper regulation on capital adequacy ratios,information disclosure,Macro-prudential supervision and emergency package are needed to control systemic risk.
- DOI：
10.13653/j.cnki.jqte.2014.08.008
- Series：
- Subject：
- Classification Code：
F832.39
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