影子银行的流动性创造及其影响的实证研究

发布时间：2018-04-23 23:39

本文选题：影子银行 + 流动性创造　；参考：《东北财经大学》2013年硕士论文

【摘要】：随着金融创新和“金融脱媒”的迅速发展,金融市场体系呈现出多元化的发展趋势。2007年金融危机之后,影子银行获得迅速发展,成为中国金融业的一个新的市场模式,它是一种行使传统银行功能,运作模式却完全不同于传统银行的融资方式,其发展是金融机构和政府部门不断博弈的结果。随着影子银行规模的日益扩张,其对经济的影响越来越明显,甚至会威胁到中国金融体系的稳定,因此对影子银行的研究刻不容缓。但是从国内外文献来看,它们更多的是关注影子银行的界定及对其风险,强调加强对影子银行的监管,而对于具有中国特色的影子银行,影子银行的流动性创造机制及其流动性水平对宏观经济的影响则缺乏较为系统的研究。因此本文分析了影子银行的流动性创造机制,从实证的角度研究其对我国经济的影响,并给出了相应的结论及建议。本论文共分四大部分：第一章阐述了本文的选题背景,分析总结了关于影子银行的相关国内外文献,最后对文章结构及研究方法,可能的创新及不足之处作了说明。第二章主要分析了影子银行的发展过程,流动性创造的一般机制,并与商业银行的流动性创造机制做出比较。商业银行通过自身的资产负债表的运作创造流动性,将具有较高流动性的负债转换为缺乏流动性的资产,从而向社会公众提供信贷支持。而影子银行则是通过资产证券化把市场的流动性转化为银行的流动性,它是在短期货币市场发行各种证券化产品、商业票据融来资金,然后在长期欠流动性的市场买入资产。最后针对中美两国影子银行的流动性创造进行对比分析。鉴于金融市场环境及发展阶段的差异,中美两国之间流动性创造机制存在较大的差异。针对具有中国特色的影子银行,我们更要从其流动性创造机制中把握住其本质。第三章重点分析了影子银行的流动性对经济增长的影响,本论文选取2007年1月到2012年12月的月度数据,以影子银行的流动性、银行的表内信贷和经济增长为指标变量,利用向量自回归(VAR)模型和脉冲响应函数等计量分析手段,实证分析影子银行的流动性水平对宏观经济的影响,并与银行表内信贷进行了对比分析。第四章是全文的结论及相应的建议。结论认为自2007年以来,影子银行的流动性创造对我国经济增长发挥了一定的积极作用；在短期内影子银行创造的流动性波动较大,对经济增长具有一定的负面效应,但是从长期看将趋于稳定。因此提出以下建议：正确认识影子银行,发挥出影子银行的积极作用；增强防范流动性风险的意识,加强流动性管理；减缓影子银行顺周期性的影响；适度加强对影子银行的监控。从而在积极引导影子银行发展,发挥出对宏观经济的正面影响的同时,也加强对其流动性风险的管理。
[Abstract]:With the rapid development of financial innovation and "financial disintermediation", the financial market system shows a diversified development trend. After the financial crisis in 2007, shadow banking developed rapidly and became a new market model of Chinese financial industry. It is a kind of traditional bank function, but its mode of operation is completely different from the traditional bank's financing mode, and its development is the result of continuous game between financial institutions and government departments. With the increasing expansion of the scale of shadow banking, its impact on the economy is becoming more and more obvious, even threatening the stability of China's financial system, so it is urgent to study shadow banking. However, from the domestic and foreign literature, they pay more attention to the definition of shadow banking and its risks, and emphasize strengthening the supervision of shadow banks, while for shadow banks with Chinese characteristics, The mechanism of liquidity creation in shadow banks and the effect of liquidity level on macro economy are lack of systematic research. Therefore, this paper analyzes the liquidity creation mechanism of shadow banking, studies its impact on China's economy from the perspective of empirical analysis, and gives corresponding conclusions and suggestions. This thesis is divided into four parts: The first chapter describes the background of this paper, analyzes and summarizes the relevant domestic and foreign literature on shadow banking, and finally explains the structure of the article and research methods, possible innovations and shortcomings. The second chapter mainly analyzes the development process of shadow banking, the general mechanism of liquidity creation, and makes a comparison with the liquidity creation mechanism of commercial banks. Commercial banks create liquidity through the operation of their own balance sheets and convert highly liquid liabilities into illiquid assets, thus providing credit support to the public. Shadow banking, on the other hand, converts market liquidity into bank liquidity through asset securitization. It issues various securitization products in the short-term money market, which is financed by commercial paper, and then buys assets in long-time illiquid markets. Finally, the paper makes a comparative analysis of the liquidity creation of shadow banks in China and the United States. In view of the differences of financial market environment and development stage, there are great differences in liquidity creation mechanism between China and the United States. In view of shadow banking with Chinese characteristics, we should grasp its essence from its liquidity creation mechanism. The third chapter focuses on the impact of shadow banking liquidity on economic growth. This paper selects monthly data from January 2007 to December 2012, taking the liquidity of shadow banks, bank credit and economic growth as indicators variables. By means of vector autoregressive (VAR) model and impulse response function, this paper empirically analyzes the influence of the liquidity level of shadow banks on the macro economy, and makes a comparative analysis with the credit in the bank table. The fourth chapter is the full text of the conclusions and corresponding recommendations. The conclusion is that the liquidity creation of shadow banks has played a positive role in China's economic growth since 2007, and the liquidity created by shadow banks has fluctuated greatly in the short term, which has a certain negative effect on economic growth. But in the long run it will be stable. Therefore, the following suggestions are put forward: to correctly understand shadow banking, to play a positive role in shadow banking; to strengthen the awareness of preventing liquidity risk, to strengthen liquidity management, to mitigate the influence of shadow banking on the procyclicality of shadow banking; Appropriately strengthen the monitoring of shadow banks. Therefore, while actively guiding the development of shadow banking and exerting its positive influence on the macro economy, it also strengthens the management of its liquidity risk.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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