关键词: 影子银行 , 金融资产 , 溢出效应 , TVPVAR模型

Abstract: On the one hand, the development of shadow banking can improve the efficiency of resource allocation in financial market. On the other hand, plenty of money flows into the shadow banking system, triggering the turbulence of financial asset prices. Based on the constructed TVPVAR model, this paper examines the spillover effects of the scale change of shadow banking on financial asset prices, using the data from January 2006 to November 2016. The result shows that the increase of the shadow banking has positive impact on the Libor, the real estate price, the stock market yield and the RMB real exchange rate index. The structural change of the economic system leads to the timevarying nature of the impact of shadow bankings scale change on financial asset prices. Because the information transmission takes time, the spillover effect of shadow bankings scale change has time lag. To this end, we should regulate and guide the development of shadow banking to play its role in allocating financial resources. At the same time, we should improve the efficiency of resource allocation and promote the healthy development of the real economy.

Key words: shadow banking , financial asset , spillover effect , TVPVAR model