货币政策对中国影子银行风险承担的影响研究

The Influence of Monetary Policy on China’s Shadow Banking’s Risk-taking

基于59家影子银行机构2008~2017年的非平衡面板数据,采用系统GMM估计方法以研究不同的货币政策及其组合对中国影子银行风险承担的影响。实证结果表明:中国货币政策的影子银行风险承担渠道的确存在,即宽松(紧缩)的货币政策会提高(降低)中国影子银行的风险承担水平;在紧缩的货币政策环境下,影子银行风险承担行为对货币政策变动的敏感性会提高;央行发布的货币政策不确定性越强,影子银行的风险承担行为越激进。

Based on unbalanced paneled data of 59 shadow banking institutions in China over the year of 2008 to 2017,this paper analyzes the influence of different monetary policies on China’s shadow banking risk-taking by SGMM.The empirical results show that:There is a shadow banking risking-taking channel of monetary policy in China.Loose monetary policy will increase the risk-taking level of China’s shadow banks and tight monetary policy will reduce their risk-taking level.In a tight monetary policy environment,shadow banks’risk-taking behavior will be more sensitive to the changing of monetary policy.The stronger the uncertainty of monetary policy,the more aggressive the risk-taking behavior of shadow banking.In order to prevent the excessive risk-taking of the shadow banking system from affecting China’s financial stability and economic development,the policy authorities should manage the general gate of the money supply and continue to push the interest rate from two tracks to one track,improving the market-based interest rate formation,regulation and transmission mechanism.What’s more,do not change in monetary policy frequently,try to reduce policy uncertainty steadily and let shadow banking institutions have an orderly and fair competition.