我国影子银行对银行业系统性风险影响研究--基于内生化房地产商的DSGE模型分析

A Research on China's shadow Banks impactto systemic risk in the banking industry:Based on theanalysis of DSGE model with endogenous real estate agents

近年来我国房价的持续上涨促使大量资金借道影子银行体系流向房地产市场,推动了金融体系内系统性风险的集聚。有鉴于此,文章构建了内生化房地产商的DSGE模型,以此探讨影子银行对银行业系统性风险的影响。实证结果表明,影子银行融资利差增大、房地产需求的扩张以及紧缩的货币政策冲击均会使商业银行资金向影子银行转移,促使融资杠杆率提升,加大银行业系统性风险;因此,目前我国稳健中性的货币政策,能够合理引导预期稳定房价,有利于防控系统性金融风险。然而,在紧缩性货币政策冲击下,商业银行贷款利率随着影子银行融资利率的下降而出现下降,说明影子银行的存在一定程度上造成了货币政策传导机制的失效。文章研究结论对引导我国影子银行健康发展、防范系统性金融风险具有重要政策启示。

In recent years,the continuous rise of housing prices in China and the tightening of traditional credit financing channels have caused a large amount of funds to flow through the shadow banking system to the real estate market. Real estate projects usually have a long operating cycle,there is a large amount of investment capital and lowliquidity. If house prices fall,it will lead to a sharp increase in the rate of credit default and increase the risk of shadowBanks. China ＇s shadow banking and commercial Banks are closely linked,and the risk of shadow banking will spread to the whole banking industry through transmission channels,promoting the accumulation of systemic risks in the financial system. In view of this,this paper constructs the DSGE model of the real estate agent of inner biochemistry,including the optimal decision-making behavior of each micro subject. Taking the financing behavior of the real estate sector as the starting point,this paper discusses the influence of shadow banking development on the systemic risk of the banking industry. The empirical results showthat the shadow banking financing spreads,widely the expansion of the real estate demand and tightening of monetary policy shocks will enable commercial banks to transfer funds to shadowbanks in the form of financial products. Secondly,the transfer of assets from commercial banks to shadow banks provides a path for the transmission of risks from shadow banking to commercial banks. Shadow banking system gathered a lot of risk,through direct capital exchanges with commercial banks and information channels,risks are transmitted to the commercial banking system,providing a fuse for the formation of systemic risks in the banking industry. Finally,the existence of shadow banking also weakens the effectiveness of monetary policy. As a result,there is a large deviation between the policy expectation and the actual results,which makes it difficult for the central bank to achieve the goal of regulating the macro-economy through monetary policy,and the difficulty of the systematic risk control of the banking industry is increased. Therefore,in order to prevent and control the systemic risks of the banking industry,China must adhere to a prudent and neutral monetary policy and grasp the balance between stable growth and deleveraging. Put risk prevention and control in a more important position,and combine monetary policy with macro-prudential policy to establish a two-pillar regulatory framework. Based on the conclusions of this paper and the development status of China ＇s shadow banking,we propose the following policy suggestions to guide the reasonable and healthy development of shadow banking and prevent China＇s systemic financial risks： Firstly,we will improve China＇s macro-prudential supervision system and bring all shadow banking institutions into macro-prudential supervision. We will implement a unified macro-prudential supervision system and jointly monitor the sound development of shadow banking. Secondly,build a firewall between shadow banking and commercial banking. On the one hand,starting from the inside of commercial banks,the firewall between traditional business and shadow banking is established to prevent financial products from entering into areas strictly restricted by the state by means of channels. On the other hand,it is necessary to set up a firewall between commercial banks and shadowBanks to strengthen the examination of the qualification and capital investment of shadowBanks. Thirdly, we should strengthen information disclosure in shadow banking, improve laws and regulations on shadow banking,share information between regulatory authorities and protect investors ＇ legitimate rights and interests.