货币政策、影子银行及流动性“水床效应”

Monetary Policy Shadow Banking and Liquidity Waterbed Effect

探讨中国货币政策调控、信贷规模控制与影子银行三者之间的内在关联以及动态相互作用,结果表明货币政策紧缩一方面可以降低传统信贷流动性,另一方面却促使影子银行流动性扩张,由此引发流动性"水床效应";同时不断地自我预期强化作用增强了货币政策、传统信贷以及影子银行的动态关联作用;影子银行削弱了货币政策的执行效果,增加了货币政策调控和监管难度。克服传统VAR方法忽略对结论稳健性检验的缺陷,基于交叉相关系数法确定的变量作用机制,对结果进行了充分的稳定性检验,检验结果再次辅证了上述结论。

This paper tries to explore the inherent relationship and their dynamic interaction between monetary policy,the credit scale control and the shadow banking. The results show that the tightening of monetary policy can reduce the traditional credit liquidity on the one hand,and expand the liquidity of the shadow banking on the other hand,which causes liquidity ' waterbed effect'. At the same time continuously enhanced monetary policy is expected to strengthen the role of the shadow banking,traditional credit and the dynamic interaction. Shadow banking weakens the effects of the implementation of monetary policy and increases the difficulty of regulation and supervision. By overcoming the traditional VaR methods' ignoring the defects of conclusion robustness test,our model is based on the cross correlation coefficient method to determine the variable mechanism,and sufficient stability tests are done. The results of the tests support the above conclusion.