我国影子银行的非对称性宏观经济效应研究

Asymmetric Effect of Shadow Banking System on Chinese Macro-Economy

文章使用了马尔科夫机制转换回归模型和向量自回归模型(MSIH(2)-VAR(2)),考察了影子银行的非对称性宏观经济效应。实证结果表明:影子银行在"经济下行"区制比"经济上行"区制更明显地正向影响经济增长;影子银行的外生冲击对经济增长的短期影响比长期影响大;在不同区制和面临影子银行的外生冲击时,影子银行都正向影响货币供应量,且都不显著影响物价水平;在宏观经济不同区制转换的过程中,影子银行波动可以作为宏观经济波动的先行指标。

The present paper uses Markov Regime Switching Model and Vector Auto-regression Model to observe and study the asymmetric macro-economy effects of the shadow banking system. The empirical analysis result is shown as follows： the shad- ow banking system is more positively influential for economic growth during ＂economic downturn＂ than ＂economic boom＂; its ex- ogenous shock to economic development is bigger in the short term than in the long term; the shadow banking shows positive influ- ence on currency supply when in different districts and facing the exogenous shocks, but produces little influence on commodity prices; in the process of the macro-economy system transformation, fluctuation of the shadow banking system can be considered as a leading indicator of macro-economy.