非银金融机构流动性波动对我国货币政策传导机制影响的实证研究  

An Empirical Study on the Influence of Liquidity Fluctuation of Non-bank Financial Institutions on China's Monetary Policy Transmission Mechanism

作　　者：课题组 姜再勇[1] 蒋润祥[1] 魏长江[1] 赵经涛[1] 王永锋[1] Research Group

机构地区：[1]中国人民银行兰州中心支行 [2]不详

出　　处：《西部金融》2018年第5期4-10,共7页West China Finance

摘　　要：近年来,我国金融业迅速发展,格局深刻变化,直接融资在社会融资规模中的比重快速上升,尤其是非银金融机构的崛起更是对货币政策传导机制带来了显著影响。本文界定了非银金融机构的概念,以银行业金融机构对非银金融机构的净债权作为非银金融机构流动性的衡量指标,通过HP滤波法提取非银金融机构流动性波动成分,运用向量误差修正模型(VECM)实证分析了非银金融机构流动性波动对我国货币政策传导机制的影响。实证分析表明,非银金融机构流动性波动会显著影响货币政策通过货币供应量和利率渠道的传导效果。In recent years,China’s financial industry has developed rapidly,and the pattern has changed profoundly.The proportion of direct financing in the scale of the whole society has increased rapidly,and especially the rise of non-bank financial institutions has a significant impact on the transmission mechanism of monetary policy.The paper defines the concept of non-bank financial institutions,uses net claims of bank financial institutions to non-bank financial institutions to measure liquidity of non-bank financial institutions,and uses the HP filtering method to extract non-bank financial institutions’liquidity volatility component.By using the vector error correction model(VECM),the paper makes an empirical analysis on the effect of non-bank financial institutions’liquidity fluctuations on China’s monetary policy transmission mechanism.The empirical analysis shows that the liquidity fluctuation of non-bank financial institutions will significantly affect the transmission effect of monetary policy through the money supply and interest rate channels.

关 键 词：非银金融机构 流动性波动 货币政策 传导机制 

分 类 号：F830.46[经济管理—金融学]