中國影子銀行—同業業務發展及與商銀信用評等之關聯性

Abstract

本文前半部主要探討中國與美國之影子銀行業務發展差異，並試圖梳理近年來中國式影子銀行的市場規模、發展狀況、影子銀行商品種類、操作手法以及政策監管內容。廣義中國式影子銀行業務主要包含以商銀為主體與獨立於商銀之外的其他信用中介機構兩種運作模式，本文主要探討前者，即以「商銀」為核心而衍生的「同業業務」，此類為中國式影子銀行最主流之發展，也是中國式影子銀行異於歐美各國之處。此外，在同業業務的部分，除了納入官方定義的「同業拆借」、「同業存款」以及「買入返售金融資產」三項資產類科目以外，亦進一步考慮官方尚未定義但本質上具備影子銀行性質的「可供出售」以及「應收帳款類投資」兩項，力求分析之完善。 本文後半部則試圖探討影子銀行業務對於銀行信評之影響，並採用同業貸款與零售貸款之比率做為影子銀行的代理變數。實證結果顯示，中國銀行業「同業貸款比率」對於「信用評等」具有顯著的解釋力，而且中、美兩國之同業貸款比率對於信用評等的影響亦具顯著差異。平均而言，以中國銀行業來說，同業貸款做的越多的銀行，信評表現較差；然而，美國則呈相反現象，即同業貸款做得越多的銀行，信評表現較好。

The first half of the paper analyzes the difference of shadow banking(SB) between China and US. The market size, development, related products, activities and law of China’s SB are introduced as well. Generally, China’s SB is classified into two parts, SB “inside” and “outside” of the system. The former is the main part of China’s SB and is the most different part comparing to US. Therefore, SB “inside” is discussed through the whole paper. Besides, not only the definition of “interbank asset” said by China government, but also “financial asset available-for-sale” and “investment securities— receivables” in our analysis, which are not yet regulated but generally viewed as a new SB activity have been considered for more integrity on the research. The last half of the paper investigates how the SB activity affects the bank’s credit rating using Chinese and US commercial banking data. Interbank loan ratio is used as a proxy variable for SB activity. The evidence shows that the interbank loan ratio is a significant explanatory to credit rating in China. Besides, the effect of interbank loan ratio on credit rating between China and US are significantly different. On average, in China, the more interbank loan bank do, the worse bank’s rating is. However, in US, the more interbank loan bank do, the better bank’s rating is.