影子银行、刚性兑付与宏观审慎政策

Shadow Banking, Rigid Payment and Macro Prudential Policy

近年来,影子银行发展迅速,在满足居民财富管理需求、优化社会融资结构、支持实体经济发展的同时,也逐渐暴露出一些问题。本文分析影子银行对货币政策的影响和刚性兑付的风险机制,评估纳入表外资产的宏观审慎政策。研究发现:(1)紧缩货币政策降低信贷规模,却推动影子银行资产扩张,引发流动性"水床效应",削弱了货币政策有效性。(2)刚性兑付抬高无风险利率,扭曲市场定价机制,增加金融脆弱性和金融监管难度。(3)将表外资产纳入银行资本要求的宏观审慎政策,有效缓解了外部冲击造成的资产恐慌抛售压力,显著增强了逆周期调控效果。(4)仅有"逆风向而行"资本充足率调控还远不够,有序打破刚性兑付的重要性,并不亚于丰富和完善宏观审慎政策工具箱,这也应是构建宏观审慎政策框架的重要组成部分。

In recent years, shadow banking has been developing rapidly in China, and has played a positive role in meeting the demand of residents’ wealth management, optimizing the structure of social financing and supporting the real economy. But at the same time, some potential risks have exposed gradually. This paper discusses the impact of shadow banking on the monetary policy and the risk mechanism of rigid payment, and evaluates the macro prudential policy which includes off-balance-sheet assets. The findings are as below. Firstly, the tight monetary policy reduces the traditional credit scale but stimulates the growth of the shadow banking assets, which causes liquidity "waterbed effects" and weakens the effectiveness of monetary policy. Secondly, rigid payment pushes up the risk-free market interest rates, distorts financial market pricing mechanism, and increases the financial fragility and the difficulty of financial regulation. Thirdly, the macro-prudential policy that includes off-balance-sheet assets into the bank capital requirements significantly improves the counter-cyclical regulation effect, and effectively alleviates the asset panic selling pressure caused by external shocks. Fourthly, capital adequacy regulation that "leans against the wind" is far from enough and breaking rigid payment in an orderly manner is no less important than diversifying and perfecting the macro prudential policy toolbox and should be an important component of the macro prudential policy framework.