影子银行与货币政策传导

Shadow Banking and Monetary Policy Transmission

本文在DNK-DSGE框架下引入了包含影子银行的金融中介部门,将影子银行视为商业银行信贷投放体系在高风险领域的延伸,并探究了该中介体系对于货币政策传导有效性的影响。本文的研究发现,正向的利率冲击虽然抑制了商业银行信贷并降低了低风险企业的杠杆,却引起影子银行体系的扩张以及高风险企业的加杠杆行为,负向的利率冲击则恰好相反。影子银行呈现明显的逆周期特征,在对传统间接融资体系形成有益补充的同时,也削弱了货币政策的有效性。此外,影子银行经营者的风险偏好以及经营者、所有者之间的代理问题会对影子银行利率和宏观经济变量产生明显的影响。

This paper incorporates a shadow banking sector, which plays an essential role in high risk credit market, in a DNK-DSGE framework. We argue that Chinese shadow banking system is just an extension of conventional commercial banking system, and study how such financial system affects the effectiveness of monetary policy transmission. We find that after a positive interest rate shock, commercial banking system is depressed and low risk firms reduce their leverage ratios. Nevertheless, shadow banks expand their credit to high risk firms under such contraction environment. After a negative interest rate shock, the opposite is just true. Although shadow banking system plays a complementary role in financial intermediaries sector, its countercyclical behavior means that it may weaken the effectiveness of monetary policy. In addition, risk appetites of shadow bankers and agency problem will affect shadow bank interest rate and other macrovariables significantly.