中国影子银行与货币政策调控——基于时变Copula动态相关性分析

China's Shadow Banking and Monetary Policy Regulation:Based on Dynamic Copula Correlation Analysis

影子银行的发展与货币政策调控有密切关系。本文基于时变Copula理论模型详尽地探讨了中国影子银行与货币政策调控的动态相关性,结果显示:影子银行具有经济发展顺周期特征,能够促进经济平稳发展并且不会显著影响物价、房价水平;影子银行的调控逆周期特性削弱了紧盯货币供应量的数量型货币政策调控效果,而与市场利率的联动作用则能够提高价格型货币政策调控有效性;当前应协调运用公开市场操作以及市场利率等数量型和价格型调节工具对中国影子银行进行动态有效监管。

Shadow banking has close relationship with monetary policy regulation. Based on the theoretical model of T-DCC-Copula, this paper discusses the dynamic relationship between China＇s shadow banking and monetary policy regulation in detail. The results show that the shadow banking has pro economic cyclical characteristics, it can promote the steady development of economy and has no significant impact on price level; The Countering cyclical characteristics of regulation weaks the effect of monetary policy regulation on the shadow banking, and the linkage with the market interest rate can improve the effectiveness of monetary policy; For dynamic effective regulation of the shadow banking in our country, open market operation tools and market interest rates regulation tools should be used coordinatedly.