中国的“影子保险”:来自监管自然实验的证据

影子保险在金融稳定中扮演着重要角色,但现有文献较多关注影子银行,对影子保险关注不足。“影子保险”即保险公司通过再保险方式将保险业务转移给不受监管或者受监管较弱的关联企业的活动,这会推高其真实的杠杆水平,增加金融体系脆弱性。然而,由于影子保险的不透明性和缺少自然实验,现有研究仅基于有限数据或模型给出简单的特征事实或结构性估计,很少能从因果关系上清楚地识别影子保险活动及其机制。本文利用中国加强对中资保险公司(处理组)再保险关联交易监管的政策冲击这一自然实验,使用微观数据和双重差分方法,识别了中国金融体系中的影子保险活动。研究发现,相关监管有效降低了影子保险活动,这一效应对集团公司的影响尤为显著;在机制方面,相关监管通过影响中资保险公司资产负债表两端的结构性调整进而降低了其风险承担行为,提高了经营稳定性。本文方法对识别金融机构的监管套利和防范系统性金融风险具有一定参考意义。

Shadow Insurance in China: Evidence from a Natural Experiment in Regulation

Despite the essential role of shadow insurance in financial stability, it has received much less attention than shadow banking. Shadow insurance is the transfer of insurance by insurers to unregulated or less-regulated affiliated insurers via reinsurance, effectively increasing leverage in the insurance sector and the fragility of the whole financial system. As the 2008 global financial crisis showed, excessive risk-taking by insurers can have destabilizing effects. However, due to the opacity of shadow insurance and the lack of appropriate natural experiments, the literature only presents some simple stylized facts or structural estimates based on limited data, while few studies seek to causally identify shadow insurance activities and their underlying risk-taking mechanisms.
China's strengthening of the regulation surrounding the disclosure of affiliated reinsurance by Chinese insurers (treatment group) constitutes an ideal natural experiment to address this open question, given that the regulation policy changes mainly apply to Chinese insurers. Foreign insurers in China are the natural control group. The paper uses the micro-data of insurance companies from 2010 to 2019 and a difference-in-differences (DID) methodology to identify shadow insurance activities in China, providing more convincing empirical evidence for the risk-taking behavior and operational stability of insurance companies. The results show that the regulation reduces the shadow insurance activities of Chinese insurers by reducing reinsurance. Chinese insurers' leverage and return on equity decrease significantly by 0.035 and 0.319 respectively, and their operational stability improves significantly. The parallel trend test ensures the validity of our DID identification strategy, and the placebo test with counterfactual analysis corroborates the results.
The paper further identifies how shadow insurance activities affect insurance companies' risk-taking behavior. First, due to the stark differences between the liability structures of life insurers and property insurers, life insurers carry out more shadow insurance activities motivated by capital management than property insurers. Therefore, strengthening the capital supervision of affiliated reinsurance has a significant impact on Chinese life insurers but not on Chinese property insurers. Second, shadow insurance increases life insurers' risk-taking behavior not only on the liability side by relaxing capital requirements but also on the asset side, amplifying the overall risk mismatch of the balance sheets. Strengthening the regulation of affiliated reinsurance can undermine this mechanism, improving the operational stability of the insurance industry and reducing the likelihood of systemic risk. Third, the heterogeneity analysis shows that the effects are greater for group insurers, meaning that strengthening the regulation of affiliated reinsurance has a greater impact on group insurers. The leverage of group insurers decreases and their operational stability improves more than those of non-group insurers, reducing the overall systemic risk of the financial market.
This paper has important policy implications. First, the results of the paper shed light on the insurance sector's systemic importance in the financial system. To reduce the likelihood of contagious systemic risk, regulators need to pay more attention to the increasingly systemically important insurance sector, promote its high-quality development, and reduce its operational risks. By deepening the reform of the financial system, China can effectively prevent the build-up of systemic financial risks. Second, the paper shows that financial innovation (including innovation in insurance) is a double-edged sword and must be balanced against prudential regulations. Therefore, financial regulators can pay attention to the extent and scope of financial innovation. Third, because financial institutions spread systemic financial risks through balance sheet expansion, the paper's findings and methodology can shed light on the identification and regulation of shadow financial activities by financial institutions through (less-regulated) subsidiaries, especially systemically important financial institutions and holding companies. Shadow financial activities have already blurred the boundaries of financial institutions through various financial innovations, and a macro-prudential regulatory framework for financial activities will be more efficient. The paper also provides a solid academic foundation for designing a more holistic macro-prudential regulatory system.