中国影子银行体系发展、利率传导与货币政策调控  

Research on China's Shadow Banking System,Interest Rate Transmission and Monetary Policy Adjustment

作　　者：许少强[1] 颜永嘉[1,2] 

机构地区：[1]复旦大学经济学院 [2]中国人民银行上海总部

出　　处：《国际金融研究》2015年第11期58-68,共11页Studies of International Finance

摘　　要：影子银行体系的重要特征之一是实施监管套利,反映在其金融产品的定价上,即是突破货币当局对于利率的管制,改变货币政策实施的外部环境,进而对货币政策调控发生作用的渠道和方式产生影响。过去几年间,中国影子银行体系的发展给整个金融体系运行带来的改变,正在印证这一进程。本文基于传统银行体系和影子银行体系的简化资产负债表构建理论模型,推导了影子银行体系发展对不同利率之间传导路径的可能影响,进而采用向量自回归(VAR)方法对理论模型的推论进行了实证检验。结果表明:影子银行体系的发展推动了我国市场化利率的形成,改善了市场化利率的传导,优化了向价格型货币政策调控体系转型的外部环境;但市场化利率传导的效率和效果还有待提高,亟待更多的配套制度予以推进。An important feature of shadow banking system is regulatory arbitrage, reflected in the pricing of its products,is a breakthrough of monetary authority＇s control over interest rates. This would change the external environment of monetary policy, and thus the channels and ways by which monetary policy acts on macroeconomics. Over the past few years, the changes of China＇s financial system brought about by shadow banking system, have confirmed the process. This paper constructs a theoretical model based on simplified balance sheets of traditional banking system and shadow banking system,derives the effects of shadow banking system on transmission path between different interest rates, and uses vector auto-regression（VAR） method to testify the inferences drawn by theoretical model. The results show that shadow banking system has promoted the formation of market-based interest rates, improved market-based interest rate transmission, and optimized the external environment of monetary policy adjustment based on interest rates. However, the efficiency and effectiveness of market-based interest rate transmission has yet to be improved, thus more measures need to be implemented.

关 键 词：影子银行体系 利率传导 货币政策调控 

分 类 号：F831[经济管理—金融学]