商业银行资产配置与影子银行周期波动

Asset Allocation of Commercial Banks and Periodic Fluctuation of Shadow Banking

与西方典型的影子银行不同,中国的影子银行与商业银行之间存在密切联系,这使其具有独特的运行机制。通过构建一个同时包含商业银行与影子银行的DSGE模型,刻画二者之间的动态关系,着重从商业银行资产配置的角度理解中国影子银行的周期波动。研究表明,中国影子银行的周期波动是商业银行动态最优化其资产配置的结果,主要表现在两个方面:一是商业银行受到的监管冲击是导致影子银行周期波动的主要驱动力,其作用显著超过货币政策冲击等传统影响因素;二是影子银行的周期波动在方向上与商业银行相反,监管冲击下二者呈现出替代关系。

Distinct from typical shadow banking in the western countries,shadow banking in China has close ties with commercial banks,which causes its unique operating mechanism.By building a DSGE model that covers shadow banking and commercial banks,this paper describes the dynamic relationship between the two and particularly researches shadow banking’s periodic fluctuation from the perspective of commercial banks’asset allocation.The findings show that the former results from the latter’s dynamic optimization,which is mainly manifested in two aspects.First,shadow banking’s fluctuation is mainly driven by the regulatory shock to commercial banks,which significantly exceeds traditional influencing factors such as monetary shocks.Second,the periodic fluctuation of shadow banking is opposite to that of commercial banks in the direction and they both present a substitutional relationship under the impact of supervision.