货币政策、影子银行发展与风险承担渠道的非对称效应分析  

Monetary Policy,Shadow Banking and Risk- taking in China:the Survey of Asymmetric Effects

作　　者：胡利琴[1] 陈锐[1] 班若愚 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《金融研究》2016年第2期154-162,共9页Journal of Financial Research

基　　金：教育部人文社科研究项目(12YJC790064)的资助

摘　　要：本文运用非对称的NARDL模型和门限回归模型,详细探讨了影子银行体系在不同货币政策周期的规模扩张和风险承担行为。实证结果表明,货币政策对影子银行的影响在长期和短期均存在非对称效应,其中长期内紧缩性数量型调控政策和扩张性低利率政策更易引起影子银行的扩张行为,且两者的配合会强化影子银行的风险承担。此外,经济下行会助推影子银行转型,引起影子银行体系风险增加,我国影子银行以房地产为主的投资导向已发生改变,因此,进一步完善利率市场化形成机制,拓宽居民和企业投融资渠道,构建影子银行全面监测平台,才能从根本上规范影子银行资金运作,促进社会资金的合理流向,引导影子银行与经济政策的良性互动。This paper investigates whether there are asymmetric effects between monetary policy, shadow banking and risk - taking in China. We find monetary policy does affect shadow banking＇s risk - taking asymmetrically, and the comovement between the tightening money supply and the low interest rate in the mid and long term strengthens the shadow banking＇s risk - taking. In addition, the investment of shadow banking system has changed in the field of the real estate, and the economic downturn will increase the risk clustering of shadow banking system. For policy, shadow banking can function efficiently by enhancing the interest rate mechanism, broadening the financing channels and building a comprehensive monitoring of the shadow banking platform.

关 键 词：影子银行 风险承担 非对称效应 

分 类 号：F822.0[经济管理—财政学] F832.3