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| Study on the Pro-cyclical Behavior of the Credit-type Shadow Banking |
| FANG Xianming, QUAN Wei
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| Business School, Nanjing University |
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Abstract Along with the reform of financial system, the credit-type shadow banking’s pro-cyclical feature has generated a negative impact on the security and stability of the financial system. Based on the TVP-VAR model, this paper tests the characteristics of credit-type shadow banking’s pro-cyclicality using the data ranging from January,2006 to November, 2016.The test comes to three conclusions. First, from a general view, the credit-type shadow banking owns the feature of pro-cyclicality corresponding to the fluctuation of economy development. Second, because of the time it takes for capital to flow between different markets, its pro-cyclicality is time-lagged. Third, its pro-cyclicality is time-varying due to the change of supply and demand of money market and financial regulation. Therefore, we should pay attention to the credit-type shadow banking’s pro-cyclical behavior characteristic, strengthen the penetration of regulation in order to improve its efficiency in supporting economic growth.
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Received: 12 September 2016
Published: 18 January 2018
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