中國大陸商業銀行影子銀行業務之影響因素：以買入返售金融資產為例

Shadow Banking Activities for Commercial Banks in Mainland China: An example about Financial Assets Purchased under Resale Agreements

鄭磊(Lei Zheng)

指導教授 ： 陳業寧

國立臺灣大學/管理學院/財務金融學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202200090

摘要

本論文以中國大陸商業銀行2008年至2016年的資料為樣本，探討銀行利用買入返售金融資產項目進行影子銀行活動與銀行特性之間的關係，以及監管政策對於此類活動的影響。本論文的實證結果發現：存放比增加的銀行有較少的買入返售金融資產項目；與四大國有銀行和區域性商業銀行相比，全國性商業銀行在買入返售金融資產項目上更加積極；監管政策為寬鬆或縮緊對於銀行買入返售金融資產項目的行為也有影響。此外，在監管政策寬鬆期間，資本適足率下降的銀行傾向有較多的買入返售金融資產項目。這些發現再次強調了針對影子銀行活動監管所需堅持的“穿透至底層資產”原則的必要性。

關鍵字

中國影子銀行 ； 銀行的影子 ； 買入返售金融資產 ； 商業銀行

並列摘要

Using the data of commercial banks in Mainland China between 2008 and 2016 as the sample, this thesis examines how the account balance of a bank’s Financial Assets Purchased under Resale Agreements (FAPRA) is affected by bank characteristics and bank regulation. During the sample period, using FAPRA to provide loans to non-financial corporates is a common practice for banks in Mainland China, which is considered a shadow banking activity. The empirical results show that banks with higher increases in loan-to-deposit ratio have lower FAPRA account balances. Also, compared with Big-Four banks and regional banks, nationwide banks have more FAPRA. In addition, banks have more FAPRA when regulatory monitoring is loosened, and have less FAPRA when regulatory monitoring is tightened. Finally, banks with high decreases in capital adequacy ratio have more FAPRA during the period of loosened regulatory monitoring. These findings suggest that it is important for regulators to look through banking arrangements and focus on the natures of financial transactions when monitoring shadow banking activities.

並列關鍵字

Shadow Banking in China ； Banks’ Shadow ； Financial Assets Purchased under Resale Agreements ； Commercial Banks

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