影子银行与流动性“水床效应”分析

发布时间：2019-03-14 09:22

【摘要】：影子银行这一概念自提出以来越来越受到全世界的关注,尤其在2008年美国次贷危机爆发后,影子银行已成为研究学者重点关注的主题。伴随着我国影子银行的飞速发展,政府在利用货币政策进行宏观调控时出现了困难。为此研究货币政策是否会引起影子银行规模变化和影子银行对货币政策到底有何影响,以及传统信贷规模与影子银行之间的关系显得尤为重要,本文主要讨论了货币政策对影子银行规模与传统信贷的影响,以及在此影响下,影子银行规模和传统信贷规模之间形成的类似于水床的此消彼长的状态,经济学中我们把这一现象称之为流动性“水床效应”。除了简要介绍“水床效应”、影子银行的定义与构成外,还分析了在货币政策的影响下,近年来影子银行规模和传统信贷规模的变化。本文选取了货币政策工具、传统信贷规模、影子银行规模三个指标,具体而言选择了具有代表性的人民币存款准备金率、人民币贷款以及信托贷款委托贷款之和3个变量,基于2007年1月至2016年12月的月度数据,在VAR模型的基础上,建立SVAR模型,通过脉冲响应、方差分解等分析方法证明了货币政策在限制传统信贷规模的同时促进了影子银行规模的扩张,两者之间呈现出此消彼长的趋势,即“水床效应”,并且这一效应在货币政策紧缩时更加明显。基于研究结论,本文还提出了管理部门要加大对影子银行的监管力度以及要合理地运用货币政策调整社会融资规模与结构;提出要完善我国的货币监测体系去实时研究影子银行与货币政策之间的相互影响关系,使得政府在运用宏观调控时发挥的作用更加具有可预测性和有效性,降低其对货币政策削弱的力度等政策等一系列政策建议。
[Abstract]:The concept of shadow banking has attracted more and more attention from all over the world since it was put forward, especially in 2008, when the subprime mortgage crisis broke out in the United States, shadow banking has become the focus of research scholars. With the rapid development of shadow banking in China, it is difficult for the government to make use of monetary policy for macro-control. Therefore, it is particularly important to study whether monetary policy will lead to changes in the size of shadow banking and how shadow banking will affect monetary policy, and the relationship between traditional credit scale and shadow banking. This paper mainly discusses the influence of monetary policy on the size of shadow banking and traditional credit, and under this influence, the dynamic state of shadow banking scale and traditional credit scale is similar to that of water bed. In economics, we call this phenomenon liquidity "water bed effect". Besides the brief introduction of "Waterbed effect" and the definition and composition of shadow banking, this paper also analyzes the changes of shadow banking scale and traditional credit scale in recent years under the influence of monetary policy. This paper selects the monetary policy tool, the traditional credit scale, the shadow bank scale three indicators, specifically has chosen the representative RMB deposit reserve ratio, the RMB loan and the trust loan entrustment loan sum 3 variables, Based on the monthly data from January 2007 to December 2016, the SVAR model is established on the basis of the VAR model. Analysis methods such as variance decomposition prove that monetary policy not only limits the scale of traditional credit but also promotes the expansion of shadow banking scale, showing the trend of "water-bed effect" between the two. And this effect is even more pronounced when monetary policy is tightening. Based on the research conclusion, this paper also puts forward that the management department should strengthen the supervision of shadow banks and adjust the scale and structure of social financing by using monetary policy reasonably. It is proposed that the monetary monitoring system of our country should be perfected to study the interaction between shadow banking and monetary policy in real time, so that the role played by the government in the application of macro-control is more predictable and effective. Reduce its weakening of monetary policy and other policies such as a series of policy recommendations.
【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

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