中国影子银行的货币供给补充与替代效应——来自货币乘数的证据

The Complementary and Alternative Effects of the Money Supply of Chinese Shadow Banking——Evidences of Money Multiplier

本文将影子银行引入银行存款乘数模型,分析影子银行通过分流银行存款、扩大社会信用供给对于货币供给的补充与替代效应,运用向量误差修正模型和状态空间模型及2002~2013年的月度数据进行实证分析。结果表明,影子银行规模扩张总体上扩大了货币乘数,但因经济周期和货币政策立场不同而具有明显"非对称性";在社会总需求扩张阶段,影子银行可以有效补充银行信贷供给不足,而在货币政策紧缩时期,影子银行信用扩张对银行信贷形成替代;影子银行顺周期变化与货币政策逆周期调控之间的矛盾弱化了货币政策效果。

This paper introduces shadow banking as a factor into the model of bank deposit multiplier to analyze the complementary and alternative effects of shadow banking on money supply by absorbing bank deposits and expanding social credit supply, and uses vector error correction model, state-space model and the monthly data during 2002-2013 for empirical analysis.The results of the paper show that the expansion of shadow banking has generally result in the increase in money multiplier, but the both change asymmetrically due to the different economic cycles and monetary policy orientation; in the period of the expansion of aggregate social demand, shadow banking can be an effective supplement of the deficiency in bank credit supply, and in the period of tightening monetary policy, the expansion of shadow banking is an alternative to bank credit; the contradiction between the pro-cyclical variation of shadow banking and the reverse cycle regulation of monetary policy has weakened the effectiveness of monetary policy.