“双支柱”调控框架与影子银行风险溢出:抑制缓释还是累积加剧

"Dual-Pillar" Regulatory Framework and Shadow Banking Risk Spillover: Inhibition or Aggravation

如何搭建货币政策和宏观审慎政策“双支柱”调控框架,有效防范化解重大风险,是我国现阶段的重要任务。基于我国上市银行数据,本文采用CoVaR方法衡量影子银行导致的银行系统性风险,系统考察“双支柱”调控框架对影子银行风险溢出的影响。结果显示,针对借款人和银行信贷的宏观审慎政策工具与货币政策配合,对影子银行风险溢出起到显著的“抑制缓释”作用;影子银行规模是“累积加剧”和“抑制缓释”效应的渠道,流动性分层则是“累积加剧”效应的渠道。结合银行性质、房地产周期与经济周期的异质性分析结果显示,在不同情景下,“双支柱”调控框架对影子银行风险溢出的有效性存在较大差异。本文结论对于“防风险”目标下“双支柱”调控框架的完善具有一定的指导意义。

Perfecting the"dual-pillar"regulatory framework composed of monetary policy and macroprudential policy to prevent and resolve the major risks is an important task in China.Based on the data from listed banks in China,this paper adopts the CoVaR method to measure the systemic risk of banks caused by the shadow banking,and systematically examines the impact of the"dual-pillar"regulatory framework on the spillover of shadow banking risks.The results show that,macroprudential policy tools targeting borrowers and bank credit,in coordination with monetary policy,have a significant"inhibition"effect on the spillover of shadow banking risks;The scale of shadow banking is the key channel of the effect of"aggravation"or"inhibition",and the stratification of liquidity is the channel of and"inhibition"effect.The heterogeneity analysis results based on the characteristics of banks,real estate cycle and economic cycle show that the effectiveness of the"dual-pillar"regulatory framework in controlling the spillover of shadow banking risks varies across different scenarios.The current findings have certain implications for the improvement of the"dual-pillar"regulatory framework under the goal of"risk prevention".