"Dual-Pillar"Regulatory Framework and Shadow Banking Risk Spillover:Inhibition or Aggravation
Perfecting the"dual-pillar"regulatory framework composed of monetary policy and mac-roprudential policy to prevent and resolve the major risks is an important task in China.Based on the data from listed banks in China,this paper adopts the CoVaR method to measure the systemic risk of banks caused by the shadow banking,and systematically examines the impact of the"dual-pillar"regulatory framework on the spillover of shadow banking risks.The results show that,mac-roprudential policy tools targeting borrowers and bank credit,in coordination with monetary policy,have a significant"inhibition"effect on the spillover of shadow banking risks;The scale of shadow banking is the key channel of the effect of"aggravation"or"inhibition",and the stratification of liquidity is the channel of and"inhibition"effect.The heterogeneity analysis results based on the characteristics of banks,real estate cycle and economic cycle show that the effectiveness of the"du-al-pillar"regulatory framework in controlling the spillover of shadow banking risks varies across different scenarios.The current findings have certain implications for the improvement of the"dual-pillar"regulatory framework under the goal of"risk prevention".
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