影子银行规模变动对货币政策与经济景气时变冲击效应

The Time Varying Impact of Shadow Banking Scale Changes on Monetary Policy and Economic Boom

基于时变参数向量自回归模型(TVP-VAR)对2007-2019年以来影子银行融资规模变动下我国货币政策和经济景气时变冲击效应进行分析。结果显示:影子银行融资规模变化呈随机波动性,对货币政策和经济景气存在显著的非对称性时变冲击效应,短期冲击效应大于中长期;价格型货币政策工具(市场利率)对影子银行冲击的脉冲响应先升后降,而数量型货币政策工具(货币供应量)的脉冲响应呈不断衰减之势;经济景气对影子银行冲击的脉冲响应主要表现在短期,且影子银行融资规模变动幅度越大,对中小企业景气负面冲击也越大。因此,抑制并稳定影子银行融资规模有助于发挥货币政策效力和提升经济景气。

This paper analyzes the time varying impact of China's monetary policy and economic boom under the change of shadow banking financing scale from 2007 to 2019 based on the Time-Varying Parameter Vector Auto-Regression model.The results show that the financing scale of shadow banking fluctuates randomly,has significant asymmetric time-varying impact on monetary policy and economic boom,and the short-term impact is greater than the medium and long term impact.The impulse response of price-based monetary policy tools(market interest rates)to the impact of shadow banking rises first and then goes down,while the impulse response of quantitative monetary policy tools(money supply)shows a tendency of continuous attenuation.The impulse response of economic boom to shadow banking shock presents short-term characteristic,and the greater the change in the financing scale of shadow banking,the greater the negative impact on the prosperity of SMEs.Therefore,restraining and stabilizing the scale of shadow banking financing is conducive to exerting the effect of monetary policy and promoting economic boom.