后危机时代金融脱媒对我国货币政策传导机制的影响

发布时间：2018-05-30 16:06

本文选题：金融脱媒 + 货币政策　；参考：《江西财经大学》2014年硕士论文

【摘要】：金融脱媒的相关研究起源于20世纪60年代,尽管国外的脱媒理论较为成熟,但中国不能照搬国外经验。根据中国的金融市场发展程度,我国的金融脱媒实际上是指银行脱媒,并且是对银行传统存贷业务的脱媒。监管不到位是次贷危机爆发的重要原因,后危机时代里的金融监管愈加严格,为了规避监管而产生的影子银行体系是近年来的热门话题,也是我国脱媒的最新表现形式。本文在脱媒的定义、测度和实证研究上都纳入了影子银行的内容。与发达国家相比,我国的直接融资市场还不够丰富和成熟,次贷危机爆发之前,我国的金融脱媒主要是指由股票融资和债券融资等传统的直接融资手段形成的脱媒。但步入后危机时代,随着影子银行体系逐步发展和壮大,金融脱媒的定义和成因也发生了巨大的变化。研究后危机时代的金融脱媒,有助于我们重新认识新形势下的金融脱媒,也有助于金融脱媒理论的进一步丰富和完善,这使本文的研究具有一定的理论意义。金融脱媒对商业银行的传统经营方式造成了巨大挑战,研究后危机时代的金融脱媒有助于我国商业银行制定更具针对性的转型战略。影子银行作为金融脱媒的最新表现形式,其规模正在逐步壮大,并且是一种缺乏监管的金融体系,研究新形势下的金融脱媒有助于监管机构制定有效的监管方针,引导金融脱媒健康发展。由于我国目前的货币政策工具仍然以数量型为主,金融脱媒的出现必然会影响其政策的传导效果,对当前金融脱媒的重新审视有利于货币当局进一步完善货币政策,提高货币政策有效性。综上所述,本文的研究将具有一定的实践指导意义。本文理论部分从我国金融脱媒的定义出发,从理论上定性分析了金融脱媒对货币政策各传导渠道的影响。金融脱媒推动了两个趋势：利率市场化和资产多元化,而货币政策传导机制有两个核心渠道：利率渠道和银行信贷渠道。利率市场化是对利率体系的改革,资产多元化是对银行信贷在资产地位中的挑战。金融脱媒对传导机制的影响必然体现在两个趋势对两个核心渠道的影响上。本文的理论结果是：金融脱媒促进了利率渠道并削弱了信贷渠道。随后,本文对我国金融脱媒在后危机时代的现状进行了描述,并在此基础上探讨了我国金融脱媒的度量问题。我国金融脱媒在后危机时代的表现有：传统脱媒规模增长缓慢、影子银行规模迅速增长和互联网金融掀起技术脱媒浪潮等。基于现状分析和国内外金融脱媒度量经验的基础上,本文构建了涵盖影子银行规模的金融脱媒度量指标。本文的实证部分建立两个向量自回归(VAR)模型。第一个VAR模型加入的内生变量有金融脱媒指标、广义的货币供应量、国内生产总值、贷款余额和利率第二个VAR模型包含除去金融脱媒指标以外的其他变量,所有变量均为2009-2013年的月度数据。通过对这两个模型所得的脉冲响应图进行比较来分析金融脱媒对利率渠道和银行贷款渠道的影响；并对包含金融脱媒指标的模型进行方差分解,将利率渠道和银行贷款渠道对GDP的贡献度进行比较。实证结论是：金融脱媒促进了利率渠道并削弱了信贷渠道,与理论结果一致；并且利率渠道对GDP的贡献度已经超过了银行贷款渠道对GDP的贡献度。最后本文在结合理论和实证结果的基础上,给出了进一步完善利率渠道、疏通汇率渠道传导效果和规范影子银行体系等政策建议。本文的主要创新点在于：(1)在金融脱媒指标中加入了影子银行规模,进一步完善了金融脱媒指标的构建；(2)在VAR模型中同时研究了利率渠道和信贷渠道,并进行二者的对比分析。由于笔者能力有限,本文还有一些不足之处：(1)由于保险公司赔偿和保险公司投资性房产数据难以获得且相对规模较小,没有加入到脱媒指标的统计范围,这样难免会影响指标的全面性；(2)本文实证分析只从利率渠道和银行贷款渠道两个路径进行研究。一方面,利率渠道和银行贷款渠道最具有代表性,资产价格渠道、汇率渠道和资产负债表渠道是利率渠道和银行贷款渠道的补充和延伸；另一方面,因为金融脱媒对其他渠道的影响较小且难以量化分析,其他渠道未尽详述,难免会使研究结论缺乏全面性。
[Abstract]:The related research of financial disintermediation originated in the 1960s , although the foreign catalyst theory is more mature , China can ' t carry out foreign experience . According to China ' s financial market development degree , China ' s financial deregulation actually refers to the bank ' s disintermediation , and it is the disintermediation of the traditional bank lending business . The shadow banking system in the post - crisis era is the hot topic in recent years , and it is the latest manifestation of our country ' s disintermediation . In this paper , the definition , measure and demonstration research of the catalyst are incorporated into the contents of the shadow bank .

Compared with developed countries , our country ' s direct financing market is not rich and mature , and before the sub - loan crisis , our country ' s financial intermediation mainly refers to the traditional direct financing means such as stock financing and bond financing . But in the post - crisis era , as the shadow banking system gradually develops and grows , the definition and cause of the financial disintermediation has changed greatly .

As the current monetary policy tool of our country is still taking the majority form , the appearance of financial disintermediation can help the supervising agency to set up an effective supervision policy and guide the development of financial intermediation . As the current monetary policy tool in China is still in the majority form , the re - examination of the current financial intermediation can help the monetary authorities to further improve the monetary policy and improve the effectiveness of monetary policy .

Based on the definition of financial disintermediation in China , the paper theoretically qualitatively analyzes the influence of financial intermediation on the transmission channels of monetary policy . The financial disintermediation promotes two trends : interest rate liberalization and diversification of assets , and the mechanism of monetary policy transmission has two core channels : interest rate channel and bank credit channel . Interest rate liberalization is the challenge to the interest rate system .

Then , this paper describes the present situation of China ' s financial intermediation in the post - crisis era . On the basis of this , the paper discusses the measurement of China ' s financial intermediation .

The empirical part of this paper sets up two VAR models . The endogenous variables added by the first VAR model include financial intermediation index , broad money supply , gross domestic product ( GDP ) , loan balance and interest rate . The second VAR model includes other variables other than financial intermediation indexes . All the variables are the monthly data of 2009 - 2013 . By comparing the impulse response graphs obtained from these two models , this paper analyzes the effect of the financial disintermediation on interest rate channel and bank loan channel .
The empirical conclusion is that the financial disintermediation promotes the interest rate channel and weakens the credit channel , which is consistent with the theoretical results ;
And the contribution of interest rate channel to GDP has exceeded the contribution of bank loan channel to GDP .

Finally , on the basis of combining theory and empirical results , this paper gives some suggestions on further improving interest rate channel , dredging exchange rate channel conduction effect and regulating shadow banking system .

The main innovation points in this paper lie in : ( 1 ) the scale of shadow banking is added to the index of financial intermediation , further improving the construction of financial intermediation index ;
( 2 ) In VAR model , both the interest rate channel and the credit channel are studied , and the comparative analysis between them is carried out .
( 2 ) The empirical analysis of this paper studies only two paths of interest rate channel and bank loan channel . On one hand , interest rate channel and bank loan channel are most representative , asset price channel , exchange rate channel and balance sheet channel are supplementary and extension of interest rate channel and bank loan channel ;
On the other hand , because of the small impact of financial intermediation on other channels and the difficulty of quantitative analysis , other channels are not fully detailed , and it is difficult to make the conclusion of the study lack of comprehensive .
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.2

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