影子银行、监管套利和宏观审慎政策

Shadow Banking,Regulatory Arbitrage and Macroprudential Policies in China

本文建立了一个包含商业银行和影子银行两类金融机构的动态随机一般均衡模型,通过引入商业银行受监管、影子银行不受监管的非对称监管政策,分析了货币政策紧缩、企业贷款风险程度上升和严监管环境下的商业银行监管套利行为。结果发现,与不允许监管套利的反事实情景相比,商业银行有动力向影子银行转移资金以规避监管,这一监管套利动机弱化了仅针对商业银行监管措施的有效性。但是,如果将仅针对商业银行的狭义逆周期资本监管拓展到同时针对商业银行和影子银行的广义逆周期资本监管,则不仅可以限制监管套利的程度,还能弱化影子银行的金融加速器效应。因此,随着逐渐将影子银行纳入监管体系,监管当局应结合影子银行的风险特征针对性地制定和实施相关宏观审慎政策。

Although China's macroprudential policy aims to enhance the system-wide stability of the financial sector,research shows that macroprudential measures have limited effect because regulated banks can use regulatory arbitrage to shift their risk exposure.Notably,there is a gap between the objectives and instruments of macroprudential policy because the macroprudential objectives encompass different regulatory jurisdictions,while the tools only affect a subset of these jurisdictions.This gap undermines the effect of the macroprudential policy.The literature has mainly concentrated on the relationship between shadow banks and monetary policy,and relatively few studies have investigated the shift from traditional commercial banking intermediation to shadow banking intermediation in response to macroprudential measures.In particular,the behavior of China's shadow banking sector is closely related to the regulatory arbitrage behavior of commercial banks.Hence,this paper studies the behavior of the shadow banking sector from the perspective of regulatory arbitrage to help understand the mechanisms and the effects of different macroprudential policies in stabilizing the financial system.First,we construct a DSGE model that includes both commercial banks and shadow banks.Commercial banks finance themselves through a combination of internal equity and household deposits,and they fund their capital investments and shadow banking claims through their channel business.Shadow banks engage in credit intermediary activities funded by loans from commercial banks.The model presented in this paper has three characteristics.(1)It includes the asymmetric regulation policy whereby commercial banks are subject to regulatory constraints but the shadow banks are not.(2)It includes counterfactual scenarios in which commercial banks cannot transfer funds to shadow banks,which enables us to compare our model with the benchmark model that allows regulatory arbitrage.(3)Unlike the countercyclical regulatory policies that only focus on commercial bank credit,our model includes a broad countercyclical regulation policy that incorporates shadow banking into the regulatory system.Second,in light of the growth of shadow banking in China,we analyze the regulatory arbitrage behavior of commercial banks in an environment of tight monetary policy,risky loan exposure,and strict regulation.Our analysis produces three main findings.(1)After a negative monetary policy shock,the regulatory arbitrage behavior of commercial banks limits the effect of monetary policy.(2)After a negative loan monitoring shock,the risk exposure of commercial banks increases.Moreover,the behavior of shifting funds through entrepreneur loans to shadow banks amplifies the activities of financial intermediaries compared to the counterfactual scenarios,which leads to increased risk taking.(3)After a negative regulatory shock,commercial banks escape the regulation by holding unregulated shadow banking claims to reduce their capital requirements.These findings indicate that the leakage toward shadow banks reduces the viability of macroprudential measures that only target traditional commercial credit,which suggests that discussion is needed on a broader regulatory policy that targets both commercial and shadow credit.Third,we compare the stabilization properties of three regulatory schemes:constant capital requirements,narrow countercyclical regulations that only target commercial credit,and broad countercyclical regulatory schemes that target both traditional and shadow credit.It should be noted that under the broad countercyclical regulation policy,the shadow banking claims would also be included in the computation of the risk-weighted assets,which would be subject to the capital constraint.Finally,it is found that although the countercyclical regulations can stabilize the financial system to a certain extent,the narrow countercyclical regulations have little effect in reducing the level of regulatory arbitrage and investment volatility,while the broad countercyclical regulation scheme can both limit the regulatory arbitrage and dampen the financial accelerator effect.Our findings have a number of policy implications.(1)Efforts should be made to evaluate the development of shadow banking.Shadow banks play a similar role of credit intermediaries as commercial banks and provide credit support to the real economy.However,the regulatory authorities should avoid leaving a vacuum for regulatory arbitrage.(2)When the economy is in decline,the capital requirements should be relaxed based on the credit situation of both the commercial and shadow banks.Thus,the formulation and implementation of new macroprudential policy should address the risk characteristics of the shadow banks.(3)After regulating the regulatory arbitrage behavior through channel business and interbank business,new forms of regulatory arbitrage may appear.Thus,the regulatory authorities should closely monitor financial activities and develop a dynamic macroprudential policy framework.