影子银行、资本监管与双支柱调控

Shadow Banking,Capital Regulation and Two-Pillar Regulation

本文通过构建一个反映中国影子银行本质特征的DSGE模型,研究影子银行的内在扩张机制,并依据中国影子银行监管实践设置三种资本监管政策,分析资本监管政策的福利效应并评估双支柱调控的效果。本文研究结果显示,紧缩性货币政策冲击、信贷政策冲击和资本监管冲击都会给予商业银行监管套利空间,刺激影子银行扩张。相比静态资本监管政策,动态资本监管政策可以增进社会福利,但表内资本监管政策因驱动影子银行规模激增,致使政策效力被严重弱化,其社会福利增加效应小于全面资本监管政策的该效应。基于拓展的政策前沿曲线分析可知,动态资本监管政策与货币政策双支柱调控能够增强经济和金融的稳定性,尤其是全面资本监管政策通过限制商业银行监管套利、抑制影子银行无序扩张来协调货币政策稳定经济金融的效果最为显著。本文研究为我国探索将影子银行纳入宏观审慎监管和健全双支柱调控框架提供了理论指导和政策启示。

This paper builds a DSGE model that reflects the characteristics of China shadow banking,studies the expansion mechanism of shadow banking,analyzes the social welfare effects of three types of capital regulation policies and evaluates two-pillar regulation effect.We find that tightening monetary policy,credit policy and capital regulation policy give commercial banks regulatory arbitrage space and simulate the expansion of shadow banking.Compared with static capital regulation policy,dynamic capital regulation policy can improve social welfare.But if capital regulation applied only to on-balance-sheet credit would drive the sharp increase in the scale of shadow banking,which has severely weakened the effectiveness of capital regulation policy.Based on the analysis of expanded policy frontier curve,two-pillar regulation can enhance economic and financial stability,especially a broader capital regulation targeting both on-balance or off-balance sheet credit coordinates monetary policy to stabilize the economy and finance has the most significant effect.This research provides theoretical and policy implications to regulate shadow banking and improve the two-pillar regulatory framework in China.