中国影子银行与股票市场的动态结构相关性——基于小波分析法的实证分析及金融风险防控启示

次贷危机爆发后，影子银行对金融体系和宏观经济的影响备受关注。全样本格兰杰因果关系检验证明中国的影子银行规模变动与A股市场波动存在相关性，残差Bootstrap窗口滚动检验发现其相关性存在结构突变，进一步利用小波相关系数和相位差进行修正，结果表明：影子银行规模变动与A股市场波动的相关性主要体现在中短期，二者变动具有同向性，主要表现在2003—2008年和2008—2011年两个时期的同时扩张，并存在彼此领先对方的情况，说明资金的成本性决定了其逐利性。在当前全球流动性收紧的大背景下，中国应对货币政策进行边际放松以对冲金融压力和风险，并对影子银行进行宏观审慎管理以在繁荣经济的同时有效防控金融风险。

The Dynamic Structure of Shadow Banking and Stock Market in China: Based on Bootstrap Wavelet Analysis

After the subprime mortgage crisis, many overseas scholars believe that shadow banks have a great impact on the stock market. therefore, what is the relationship between China''s shadow bank and A-share market? This paper proved Granger causality test of shadow banking system and A-share market, and found that there is structured change of time-frequency dimension for those two variables by residual bootstrap window scroll analysis. Then, wavelet analysis is used to further improve the bootstrap analysis, there is positive correlation, which reflect two periods from 2003 to 2008 and from 2008 to 2011 between shadow banking system and A-share market. Also, there is leading each other'' s situation between two variables, which indicates that the cost of capital determines its profit-driven, and the relationship between them is more short-term, and long-term becomes weakened. Under the big background of global tight liquidity, China should conduct marginal easing of monetary policy to hedge financial pressure and risk, and should implement macro-prudence management on shadow banks to effectively prevent financial risk while prospering the economy.