影子银行体系与货币政策调控研究——基于DCC-MVGARCH模型的分析

Research on Shadow Bank System and Monetary Policy Control : Based on DCC-MVGARCH Model

影子银行体系的发展与货币政策调控效果密切相关。本文基于DCC-MVGARCH模型的实证分析结果表明,与价格型工具相比,数量型工具与影子银行的动态条件相关系数的绝对值更大;货币政策工具与影子银行业务关系并非恒定不变,主要看当时市场资金的松紧程度。当市场资金紧张时,提高市场利率,影子银行业务增加,替代信贷业务;增加基础货币,影子银行业务减少,被信贷业务替代。因此,应协调运用数量型工具和价格型工具对影子银行体系进行调节,稳步推进利率市场化改革,坚持价格型调控改革方向,尽快建立影子银行体系监测统计制度,加快影子银行体系监管立法。

The Shadow Bank System has close links to the monetary policy. Based on DCC-MVGARCH Model, the empirical results show that compared with the price instruments, the absolute value of the dynamic condition correlation coefficient of quantitative instruments and the shadow banking is larger; the relationship of monetary policy instruments and Shadow Bank business is not constant, and it relies on the amount of market money. When the market money is tight, the shadow bank and market interest rates are related, and alternative the credit business; When the base money increased, the shadow Bank is negatively related to it, and replaced by credit business. Therefore, we should coordinate the use of quantitative and the price instruments to adjust the shadow bank system, to promote market-oriented interest rate reform, adhere to the price regulation reform direction, to build monitoring statistics system, and to speed up the legislation regulation of the shadow Bank system.