影子银行与传统体系双重结构下我国货币政策工具研究

发布时间：2018-06-23 03:58

本文选题：DSGE模型 + 货币政策　；参考：《天津财经大学》2014年硕士论文

【摘要】：2008年以来,中国的影子银行规模迅速膨胀,形成了影子银行系统与传统银行体系的双重运行结构,对金融市场和实体经济运行产生了越来越深刻的影响。尽管我国的影子银行体系与发达国家相比存在较大差异,但它的产生模糊了中央银行货币政策的窗口指导口径,放大了市场的货币供给量或改变了货币供给渠道,影响了货币政策的实施效果。在双重金融结构下如何完善货币政策操作目标体系和优化各种货币政策工具,使得包含影子银行在内的社会融资总量和结构处于合理水平,有效引导其流量和方向与货币政策目标一致,切实推动经济结构的战略性调整和经济增长方式的转变,自然成为当前迫切需要解决的问题。文章的研究主要分为两部分。其一,对影子银行与传统银行体系双重结构下价格型与数量型货币政策工具的实施效果进行比较分析。文章将影子银行体系纳入经济运行系统中,构建了包含家庭、商业银行、影子银行、厂商、中央银行的完整DSGE模型,并依据2010-2012年的数据,比较分析了影子银行贷款额、影子银行贷款利率、国内产出、通货膨胀对价格型货币政策工具与数量型货币政策工具的冲击响应；其二,对双重金融结构与利率市场化下价格型货币政策工具的实施效果进行比较分析。在该部分的研究中,文章对模型进行了扩展,将厂商部门分解为中间厂商、最终厂商及资本生产商,比较分析了双重金融结构与利率市场化下产出、消费、资本累积、通胀对价格型货币政策工具的冲击响应。研究结果表明,对于价格型货币政策工具,其对影子银行贷款额的影响最大,对其他变量的影响程度依次是通货膨胀、影子银行贷款利率和国内产出；对于数量型货币政策工具,其对影子银行贷款额的影响最大,对其他变量的影响程度依次是影子银行贷款利率、国内产出和通货膨胀。就数量型与价格型货币政策工具比较而言,数量型货币政策工具对产出和影子银行贷款额的冲击强于价格型,对影子银行贷款利率的冲击弱于价格型,二者对通货膨胀的冲击基本相同。双重金融结构下的主要经济变量如产出、消费、通胀、资本累积等对价格型货币政策冲击具有与利率市场下相似的响应模式,但响应幅度弱于后者。双重金融结构下的价格型货币政策冲击响应在一定程度上被削弱。
[Abstract]:Since 2008, the size of the shadow banking in China has expanded rapidly, forming the dual operation structure of the shadow banking system and the traditional banking system, which has produced more and more profound influence on the financial market and the real economy. Although the shadow banking system in China has a large difference compared with the developed country, its production blurs the central part. The window guidance of bank monetary policy amplifies the supply of money in the market or changes the channel of money supply, which affects the effect of monetary policy implementation. Under the dual financial structure, how to improve the target system of monetary policy and optimize various monetary policy tools and make the total amount of social financing including the shadow Bank and the sum of the social financing. The research on the dual structure of the shadow bank and the traditional banking system is mainly divided into two parts: the rational level, the effective guidance of its flow and direction and the monetary policy objectives, the practical promotion of the strategic adjustment of the economic structure and the transformation of the mode of economic growth. A comparative analysis is made between the implementation effect of the monetary policy tool and the quantitative monetary policy tool. The article puts the shadow banking system into the economic operation system, and constructs a complete DSGE model including the family, commercial bank, shadow bank, manufacturer and central bank. Based on the data of 2010-2012 years, the shadow bank loan amount and the shadow bank loan are compared and analyzed. The impact of interest rate, domestic output, inflation on the price type monetary policy tool and the quantitative monetary policy tool; secondly, to compare the implementation effect of the dual financial structure and the price type monetary policy tool under the interest rate marketization. In this part, the article expands the model and decomposes the manufacturer's Department. For intermediate manufacturers, final manufacturers and capital producers, the impact of dual financial structure and interest rate marketization on output, consumption, capital accumulation and inflation to price monetary policy tools is compared. The results show that the price type monetary policy tools have the greatest impact on the amount of the shadow bank loans and the shadow of other variables. The degree of ringing is in turn inflation, the interest rate of the shadow bank and the domestic output; for the quantitative monetary policy tool, it has the greatest impact on the amount of the shadow bank loan, and the degree of influence on the other variables is the shadow bank loan interest rate, the domestic output and the inflation. The impact of quantitative monetary policy tools on output and shadow bank loans is stronger than the price type. The impact on the loan interest rate of shadow bank is weaker than the price type. The impact of the two parties on inflation is basically the same. The main economic variables under the dual financial structure, such as output, consumption, inflation and capital accumulation, have the impact on the price type monetary policy. The response model is similar to the interest rate market, but the response amplitude is weaker than the latter. The impact response of the price monetary policy under the dual financial structure is weakened to a certain extent.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3;F822.0

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