地方政府债务扩张、杠杆率监管压力与影子银行

Local Government Debt Expansion,Leverage Ratio Regulatory Pressure and Shadow Banking

已有关于影子银行成因的研究大多集中于货币政策和监管政策的视角,本文从地方政府债务扩张的角度考察影子银行形成的内在机理。首先,基于多部门DSGE模型框架剖析了地方政府债务扩张对影子银行的影响及作用机制,数值模拟结果显示,地方政府债务扩张会诱使银行更多地从事影子银行业务,且银行面临的杠杆率监管压力是地方政府债务扩张诱使影子银行规模增加的重要内因。然后,利用2008—2018年中国178家商业银行非平衡面板数据,对理论研究结论进行实证检验。实证结果显示,地方政府债务扩张会造成影子银行规模增加,且该结论在克服内生性问题以及进行一系列稳健性检验后依然成立。进一步地,基于中介效应和交互效应的作用机制检验结果发现,杠杆率监管压力是地方政府债务扩张影响影子银行的重要作用机制。本文认为,政策当局需充分认识地方政府债务扩张可能引致的跨部门风险,并明确影子银行的市场化选择机制,加强财政与金融政策之间的协同配合,以从根本上严防财政金融风险交织传染。

The landscape of China’s financial system has been quietly changing over the past few years,and one of the most significant changes has been the surge in the size of shadow banking.Shadow banking has long been outside the regulatory system,and its expansion has ultimately disrupted the stable operation of the macro economy.In the context of accelerating the creation of a new development pattern,exploring the internal formation mechanism of shadow banking is not only the theoretical basis for preventing the rebound of shadow banking but also a prerequisite for promoting the high-quality development of finance and the economy,which is of great theoretical significance and practical value.Based on the characteristics of China’s fiscal and financial systems and the operation mode of shadow banking,this paper incorporates local government debt and shadow banking into the multi-sector DSGE model,and systematically interprets the impact and mechanism of local government debt expansion on shadow banking.Numerical simulation results show that local government debt expansion induces banks to engage more in shadow banking activities,and the leverage ratio regulatory pressure faced by banks is an important endogenous factor for the increase in shadow banking scale induced by local government debt expansion.Then,this paper uses unbalanced panel data from 178 Chinese commercial banks from 2008 to 2018 to empirically test the theoretical findings.The empirical results show that local government debt expansion increases the shadow banking scale.The mechanism test results of the mediation effect and the interaction effect find that the leverage ratio regulatory pressure is an important channel through which local government debt expansion affects shadow banking.The marginal contributions of this paper lie in the following three aspects.First,this paper argues that although the demand-side policy adjustment is important,it is difficult to fully understand the internal logic of the expansion of the shadow banking scale without considering the feedback mechanism of the market-oriented operation of commercial banks on the supply side,and the research in this paper is a good complement to the existing literature.Second,theoretically,this paper integrates enterprise ownership heterogeneity and credit business heterogeneity into the theoretical model to reveal the intrinsic mechanism of the expansion of the scale of China’s shadow banking,which expands and deepens the existing theoretical research.Empirically,this paper quantitatively identifies the impact of the expansion of local government debt on shadow banking,explores its underlying mechanism,and reveals the“black box”problems of this impact.Third,the research in this paper not only deepens the understanding of the existing research on the risk of local government debt expansion but also provides theoretical references for the sound regulatory mechanism of the shadow banking system.This paper offers the following policy implications.First,policymakers need to standardize local governments’fiscal expenditure and debt financing mechanisms,change the GDP-centered one-dimensional performance evaluation model,and fundamentally curb local governments’over-indebtedness.Second,the central bank and regulators need to further enrich and improve financial regulatory tools,and bring shadow banking into the regulatory system to reduce the potential for regulatory arbitrage of shadow banking.Third,in the short term,a firewall should be established to isolate the transmission of debt and financial risks to avoid the spillover of fiscal and financial risks;in the long term,the market-oriented reform of the fiscal and financial systems should be strengthened to optimize the incentive and constraint mechanisms of the financial sector,so as to realize the benign interaction between the fiscal sector and the financial sector.