货币政策、影子银行与银行流动性

Monetary Policy,Shadow Banking and Bank Liquidity

构建VAR模型与VECM模型,探讨中国货币政策调控、影子银行与银行信贷规模的动态机制与互动关系。研究表明:(1)短期来看,货币政策调控对影子银行与银行信贷影响具有显著的非对称效应,扩张性货币政策实施增大了银行资金流动性而降低了影子银行体系规模;(2)长期而言,扩张性货币政策为影子银行发挥信用创造功能提供更多货币基础,对影子银行与银行信贷规模扩张均产生了正向促进作用;(3)影子银行在一定程度上放大了宽松货币政策实施效果,增加了政策调控与监管难度;(4)货币政策、影子银行与银行信贷的动态循环机制使得三者之间具有了自我强化的路径依赖特征。研究能够丰富货币政策、影子银行与银行信贷作用机理的经验证据,为货币政策制定与执行机构提供有益借鉴。

By establishing VAR model and VECM model,this paper empirically explores the dynamic mechanism and interactive relation among monetary policy,bank credit and shadow banking in China.The following conclusions are drawn：（1）In the short term,the influence of monetary policy regulation on shadow banking and bank credit has obvious asymmetric effect.The implementation of expansionary monetary policy increases the bank liquidity and reduces the size of shadow banking.（2）In the long term,expansionary monetary policy provides bigger monetary base for shadow banking to exert credit creation function,and it has a positive role in promoting the expansion of shadow banking and bank credit.（3）To some extent,shadow banking magnifies the effect of loose monetary policy,and increases the difficulty of policy regulation and supervision.（4）The dynamic circulation mechanism of monetary policy,bank credit and shadow banking allows the three variables to have a path dependence feature of self reinforcing.This research enriches the empirical evidence of monetary policy,bank credit and shadow banking,and provides a useful reference for the institution of formulation and implementation of monetary policy.