商业银行从事影子银行业务对银行信贷渠道的影响——基于商业银行微观数据

The Influence of Shadow Banking on Bank Credit Channels by Commercial Banks——Based on the Micro Data of Commercial Banks

近年来,为应对经营环境的不利变化,我国商业银行积极扩展影子银行业务,然而影子银行业务的迅速发展却为货币政策的有效实施带来巨大挑战。利用2011—2016年中国20家商业银行的微观数据,构建计量模型进行实证研究发现,在货币政策的冲击下,影子银行业务与传统信贷业务之间存在显著的替代效应,且该效应在非国有银行中表现得更为突出。此外,影子银行业务对货币政策通过银行信贷渠道传导的效果具有非对称性影响。影子银行业务对宽松性货币政策的抵消作用更强,对紧缩性货币政策的抵消作用较弱。在考虑商业银行从事影子银行业务的情况下,货币政策传导银行信贷渠道的有效性受到削弱。

In recent years,in order to cope with the adverse changes in the operating environment,the commercial banks in China actively expand the shadow banking business.However,the rapid development of the shadow banking business bring the challenge to the effective implementation of monetary policy.In this paper,through the establishment of econometric model,we use the micro data of 20 commercial banks in China from 2011 to 2016 for empirical study.We find that there is a significant substitution effect between the shadow banking business and the traditional credit business under the impact of monetary policy and this effect is more prominent in non-state-owned banks.Besides,via bank lending channel,the influence of shadow banking business on monetary policy transmission is asymmetric.The shadow banking business is more effective in offsetting monetary policy when monetary policy is expansionary,but less effective when monetary policy is tight.The effectiveness of monetary policy transmission bank lending channel is weaken when considering the commercial banks＇ engagement in shadow banking business.