货币政策、非金融企业影子银行业务与信贷资源配置效率

Monetary Policy,Corporate Shadow Banking Business and Credit Resource Allocation Efficiency

本文构建了一个动态均衡模型分析货币政策对企业影子银行业务的理论影响机制,提出了对应的研究假说,并利用2007-2019年沪深两市非金融类上市公司数据进行实证分析。研究结果显示,紧缩性货币政策会对企业影子银行业务起到正向影响,影响机制是通过影子信贷利率和金融资本配置效率两个渠道作用于企业影子放贷行为。异质性分析结果显示,紧缩性货币政策对企业影子银行业务的正向影响,在分析师乐观偏差程度较高、对外担保事件较多的企业中更为显著。投资者情绪高涨、企业家信心提高及P2P问题平台数量的增加会放大紧缩性货币政策与企业影子银行业务之间的正向关系。拓展性分析结果表明,央行沟通中稳定市场预期、防范系统性金融风险等词频的提高会减弱紧缩性货币政策对企业影子银行业务的正向影响。紧缩性货币政策通过促进企业影子放贷行为而提高了信贷资源配置效率,在一定程度上缓解了金融中介初次信贷配置失衡的问题。本研究对于国内国际双循环背景下提高金融服务实体经济的能力、防范系统性金融风险以及促进企业高质量发展等具有重要的理论和政策指引意义。

In recent years,the investment rate of the real sector has declined,non-financial enterprises'willingness to engage in production and R&D activities has weakened,and resources have been continuously allocated to the financial sector.The trend of"funds circulating within the financial sector without entering the real economy or being diverted out of the real economy"has been gradually prominent.At present,more and more enterprises with the financing advantage also act as substantial credit intermediaries to engage in shadow banking business.Enterprises undertake the functions of material production,technological innovation,and employment absorption.Enterprises'excess efforts to engage in highly leveraged,high-risk,highly-asymmetric information shadow banking business will inhibit their investment behavior,which will have negative impact on economic output and financial market stability.The introduction of sound monetary policy by central banks can reduce financing costs,adjust the economic structure,and improve the resource allocation efficiency,and will affect the cash flow,capital structure and investment and financing behavior of enterprises.The existing research on the monetary policy examines the impact of the monetary policy on macroeconomic variables and corporate behavior at the micro level.However,the existing literature has ignored the possibility that the tight monetary policy will aggravate the problem of unbalanced credit allocation among different economic subjects,thus increasing the scale of enterprises'shadow lending.In view of this,this paper deeply explores how the monetary policy affects corporate shadow banking.This paper constructs a dynamic equilibrium model including heterogeneous enterprises,central banks,and financial intermediaries to analyze the theoretical impact mechanism of the monetary policy on corporate shadow banking behavior,and empirically analyzes the impact channels using the data of non-financial listed companies in Shanghai and Shenzhen Stock Exchanges from 2007 to 2019.The contributions of this paper mainly include the following aspects.First,the paper analyzes the impact mechanism of the monetary policy on corporate shadow banking business from the perspective of the monetary policy,which helps to reveal how the monetary policy can drive enterprises'shadow banking behavior at the micro level.Secondly,this paper clarifies the impact mechanism of the tight monetary policy on corporate shadow banking business,and provides a new theoretical perspective for better applying the monetary policy to boost the real economy and prevent financial risks.Thirdly,this paper further explores the role of central bank communication in regulating the relationship between the tight monetary policy and corporate shadow banking,which is of great policy significance for promoting the financial sector to better serve the real economy and playing the positive effect of central bank communication in stabilizing expectations and adjusting the structure.This study shows that,first,during the period of monetary policy tightening,the shadow lending scale of non-financial enterprises is higher.The impact mechanism is that the tightening monetary policy will promote enterprises'shadow banking business by raising the interest rate of the shadow credit market and intensifying the financial mismatch.Second,the positive impact of the tightening monetary policy on corporate shadow banking business is more significant in the enterprises with a higher degree of analyst optimism deviation and more guarantee events.Third,the relationship between tight monetary policy and corporate shadow banking will be positively correlated with the rising investor sentiment,entrepreneur confidence and the quantity of problematic P2P platforms.Fourth,expansion analysis results show that the increased frequency of expressions such as"stabilizing market expectations"and"preventing systemic financial risk""in the central bank communication will weaken the positive impact of tightening monetary policy on the corporate shadow banking.Fifth,the tight monetary policy improves the credit resource allocation efficiency by promoting corporate shadow lending behavior,and alleviates the initial credit allocation imbalance.The policy suggestions are as follows:First,reduce the threshold of financial services and enhance financial inclusiveness to improve the allocation efficiency of credit resources among microeconomic subjects.Second,better align monetary policy regulation and the development of the real economy,and give play to the positive role of central bank communication in stabilizing market expectations and preventing systemic risk.Third,strengthen the disclosure mechanism of corporate financial statements and the functional supervision of regulatory authorities to prevent the risk contagion effect caused by excessive corporate shadow lending.Fourth,improve the capital market system and legislation,give play to the analysts'role as information intermediaries and the major shareholders'regulatory role,in order to improve the capital market information environment and maintain the financial market's stability.