“商业银行核心”的影子银行与中国宏观经济稳定

发布时间：2018-06-19 06:10

本文选题：DSGE模型 + 影子银行　；参考：《华中师范大学》2017年硕士论文

【摘要】：2008年金融危机爆发以后,影子银行的概念被提出并被广泛使用,影子银行问题也成为世界关注的焦点。近几年来,影子银行在我国发展迅猛,成为我国金融系统的重要组成部分。由于我国经济和金融体系的发展程度与发达国家相比有较大差距,我国的影子银行主要存在两个特点,一是高度依赖商业银行发挥信用中介功能,这使得它呈现显著的“商业银行核心”特征,是商业银行系统的“影子”;二是由于产品结构相对简单,且在设计和承销过程中有商业银行的参与,投资者认为这些产品是安全的,但事实上影子银行规模的持续膨胀抬升了经济整体杠杆率,加大了金融体系的风险和宏观经济的不稳定性。目前大多数学者在研究金融中介机构在信贷供给机制所扮演的角色时仅仅用银行部门来代表整个金融系统,忽略了影子银行的作用(如 Gertler Kioytachi(2011)、Gerali(2010)和 Dib(2010)),开展实证检验的研究更是少之又少。基于上述背景,本文在总结2006-2016年间中国影子银行体系发展阶段及特征的基础上,研究了中国“商业银行核心”的影子银行。文章从商业银行从事影子银行业务以规避资产规模约束和进行监管套利的假设出发,在DSGE模型的基础上建立了以商业银行、影子银行、家庭、中间品生产商和资本生产商为主体的影子银行体系,并基于此对商业银行与影子银行间的互动机制及其经济后果进行了剖析。模型的模拟结果显示,道德风险和信息不对称促使商业银行和影子银行合作,商业银行通过影子银行将部分资产转移到表外,降低了自身风险资产的比重,放松了存贷比等指标造成的流动性约束,增强其自身继续发放贷款的能力,进而产生了监管套利(Regulatory Arbitrage)现象。在宏观经济周期运行与货币政策的双重驱动下,本文所述机制与危机时期的市场表现拟合较好,为中国影子银行2010-2013年间的爆炸式增长和2014年-2015年的收缩和2016年以来的反弹提供了解释,研究同时显示,尽管影子银行有助于弥补经济波动时期的融资供需缺口,但它也部分对冲了货币政策和审慎性监管的有效性,引致金融体系风险聚集。
[Abstract]:After the financial crisis broke out in 2008, the concept of shadow banking was put forward and widely used. In recent years, shadow banking has developed rapidly in China and become an important part of our financial system. As the development of our country's economic and financial system is far from that of developed countries, there are two main characteristics of shadow banking in our country. One is that commercial banks are highly dependent on commercial banks to play the role of credit intermediary. This makes it show significant "commercial bank core" characteristics, is the "shadow" of the commercial banking system; second, because the product structure is relatively simple, and in the design and underwriting process with the participation of commercial banks, Investors believe these products are safe, but in fact the continued expansion of shadow banking has boosted the overall leverage of the economy, increased the risks to the financial system and increased macroeconomic instability. At present, when most scholars study the role of financial intermediaries in the credit supply mechanism, they only use the banking sector to represent the entire financial system. The role of shadow banks (such as Gertler Kioytachin 2011 / 2010) and Dibheng 2010 are ignored, and the research on empirical testing is even less. Based on the above background, based on the summary of the development stage and characteristics of China's shadow banking system from 2006 to 2016, this paper studies the shadow banking in the core of China's commercial banks. Based on the assumption that commercial banks engage in shadow banking in order to circumvent the constraint of asset size and carry out regulatory arbitrage, the paper establishes commercial banks, shadow banks and families on the basis of DSGE model. This paper analyzes the interaction mechanism and economic consequences between commercial banks and shadow banks based on the shadow banking system in which intermediate product producers and capital producers are the main body. The simulation results of the model show that moral hazard and information asymmetry urge commercial banks to cooperate with shadow banks, and commercial banks transfer some assets to off-balance sheet through shadow banks, thus reducing the proportion of their own risky assets. The liquidity constraints caused by such indicators as deposit to loan ratio are relaxed, and the ability of its own to continue to make loans is enhanced, which leads to the phenomenon of regulatory arbitrage. Driven by both the macroeconomic cycle and monetary policy, the mechanism described in this paper fits well with the market performance during the crisis. While providing an explanation for the explosive growth of China's shadow banks between 2010-2013 and the contraction of 2014-2015 and the rebound since 2016, the study also shows that while shadow banking has helped to bridge the gap between supply and demand for financing during periods of economic volatility, But it also partly hedges the effectiveness of monetary policy and prudential regulation, leading to a build-up of risks in the financial system.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.3;F124

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