高师理科学刊2025，Vol.45Issue(11)：40-50,11.DOI:10.3969/j.issn.1007-9831.2025.11.008
基于ΔCoVaR方法的资管新规对银行系统性风险的影响研究
Study on the impact of the new asset management regulations on bank systemic risk based on the ΔCoVaR method
摘要
Abstract
The rapid expansion of shadow banking has not only increased the systemic risk levels of banks but also intensified volatility in the macroeconomy and financial system.Utilizing quarterly data of 16 listed banks between 2011 and 2023,bank systemic risk is measured with the ΔCoVaR method.Through the lens of shadow banking scale expansion and the implementation of the asset management new regulations(AMNR),a difference-in-differences(DID)model is employed to investigate the AMNR's impact on shadow banking and bank systemic risk,as well as its underlying mechanisms.The research finds that the AMNR constrains shadow banking development by limiting banks' issuance scale of wealth management products at the fund-raising stage;the implementation of AMNR effectively reduces shadow banking scale,thereby mitigating bank systemic risk.The heterogeneity analysis demonstrates that the policy exerts more pronounced effects on non-state-owned banks and banks with higher liquidity levels.关键词
资管新规/影子银行/银行系统性风险Key words
asset management new regulations/shadow banking/bank systemic risk分类
管理科学引用本文复制引用
朱晗雨,董佳艳,熊美懿..基于ΔCoVaR方法的资管新规对银行系统性风险的影响研究[J].高师理科学刊,2025,45(11):40-50,11.基金项目
安徽省高校科研重点项目(2022AH053059)——杠杆率、房地产价格与金融稳定关系研究 （2022AH053059）
