影子银行、宏观审慎政策和金融监管

Shadow Banking,Macroprudential Policy,and Financial Regulation

基于2008～2017年中国宏观季度数据,建立同时包含商业银行和影子银行的DSGE模型,通过脉冲响应和福利损失函数分布分析不同宏观审慎监管的政策效力。研究发现,盯住信贷增速和资产价格时,宏观审慎政策最大程度熨平了经济波动,福利损失最低,是较为理想的宏观审慎政策盯住目标;在盯住目标中纳入影子银行规模时,监管强度提升进而引致信贷不足,反而增加了福利损失。因此,宏观审慎监管应和影子银行监管同时进行,推进整体监管和协调监管。

This study establishes a DSGE model that includes both commercial banks and shadow banks using quarterly Chinese macroeconomic data from 2008 to 2017,and uses the distribution of impulse response and loss of welfare functions in order to analyze the effectiveness of different macroprudential regulatory policies.The study found that macroprudential policies are most effective at smoothing out economic fluctuations and welfare losses are minimized. Welfare losses are the lowest when policies are pegged to credit growth and asset prices,meaning that these are ideal macroprudential policy pegging targets.When the size of shadow banks is included in the pegging target,the increase in regulatory intensity leads to insufficient credit,which in turn causes increased welfare losses.Therefore,macro-prudential regulation should be executed along with shadow banking regulation in order to promote comprehensive and coordinated regulation.