我国影子银行与货币政策实施效果研究——基于垄断竞争的影子银行体系下的金融加速器模型

Research on Shadow Banks and the Effect of Monetary Policy in China——Financial Accelerator Model of the Shadow Banking System based on the Monopolistic Competition

探究我国垄断竞争的影子银行体系对于货币政策实施效果的影响。构建一个基于垄断竞争的影子银行体系下的金融加速器,进而建立一个垄断竞争的影子银行与完全竞争的商业银行共存的DSGE模型,并与以往的基于完全竞争金融中介机构的金融加速器的DSGE模型进行对比。研究结果表明,垄断竞争的影子银行体系具有较强的逆周期特征,其存在会明显削弱紧缩或扩张的货币政策的有效性;高风险企业家与低风险企业家对货币政策冲击的反应存在显著差异;垄断竞争的影子银行体系的存在,会使微观经济金融主体在面临货币政策冲击时其金融风险状况发生更大变化,当面临央行加息的货币政策冲击时,在垄断竞争的影子银行和完全竞争的商业银行体系下,影子银行的违约率会明显更高,高风险企业的外部融资溢价和杠杆率也明显更高,相应地,当面临央行降息的货币在政策冲击时,也会在更大程度上降低影子银行与高风险企业的金融风险。

To explore the influence of China′s monopolistic competition shadow banking system on the implementation effect of monetary policy,this paper constructs a financial accelerator based on monopolistic competition in the shadow banking system,and then establishes a DSGE model of co-existence between monopolistic competition shadow banking and perfectly competitive commercial banks,and compares it with the previous DSGE model based on financial accelerator based on perfectly competitive financial intermediaries.The research results show that the shadow banking system with monopolistic competition has a strong counter cyclical characteristic,and its existence will significantly weaken the effectiveness of the monetary policy of tightening or expansion.There are significant differences between high risk entrepreneurs and low risk entrepreneurs in response to monetary policy shocks.Monopoly competition of the existence of the shadow banking system,can make the micro-economic finance main body in the face of the impact of monetary policy when the situation changes more financial risk,when faced with the central bank to raise interest rates monetary policy impact,in the shadow banking monopoly competition and perfect competition under the system of commercial banks,the shadow banking default rate will be significantly higher,high-risk external finance premium of enterprise and leverage is significantly higher.Accordingly,when faced with the monetary impact of the central bank′s interest rate cut,the financial risks of shadow banking and high-risk enterprises will be reduced to a greater extent.