影子银行、信贷传导与货币政策有效性——基于上市公司委托贷款微观视角的经验证据  

Shadow Banking,Credit Channel and Effectiveness of Monetary Policy——Evidence from Microcosmic Entrusted Loans of Listed Companies

作　　者：杜立[1] 钱雪松[1] DU Li;QIAN Xue-song(School of Economics,Huazhong University of Science and Technology,Wuhan 430074,China)

机构地区：[1]华中科技大学经济学院

出　　处：《中国工业经济》2021年第8期152-170,共19页China Industrial Economics

基　　金：国家自然科学基金青年项目“基于影子银行视角的中国货币政策传导问题研究:来自委托贷款的理论分析与经验证据”(批准号71803053);中央高校基本科研业务费项目“影子银行、信贷传导与货币政策传导有效性”(批准号HUST:2021WKYXQN013)。

摘　　要：运用手工搜集整理的委托贷款这一独特数据,本文从影子银行视角切入,考察了中国货币政策信贷传导有效性问题。研究发现:(1)运用社会融资规模数据的经验分析表明,当货币政策紧缩时,与银行信贷显著下降不同,委托贷款规模显著增加;(2)运用上市公司委托贷款公告数据的实证研究表明,货币政策紧缩不仅在广延边际上显著提高了企业发放委托贷款的概率,而且在集约边际上显著增加了放贷规模;(3)中国货币政策信贷传导机制的特点在于,货币政策紧缩导致委托贷款发生类型转换:与宽松时期相比,在货币政策紧缩时期,非股权关联企业间委托贷款的增长显著高于股权关联企业间的委托贷款;(4)委托贷款的类型转换通过加大信息不对称和监管难度推高了委托贷款违约风险。本文的发现对进一步提高货币政策信贷传导有效性、防控货币政策可能通过影子银行渠道加剧系统性金融风险具有重要的政策参考。Using samples of entrusted loans,this paper empirically examines the effectiveness of credit channel of monetary policy in China from the perspective of shadow banking.The results show that:(1)Empirical analysis based on Aggregate Financing to the Real Economy(AFRE)shows that contractionary monetary policy decreases the bank credit,on the contrary,it increases the scale of entrusted loans.(2)Empirical analysis based on entrusted loan data of listed companies shows that firms are more likely to participate in entrusted loans extensively,and issue more loans intensively during the period of monetary policy tightening.(3)The mechanism is that non-equity affiliated enterprises obtain capital through shadow banking system more actively than equity affiliated enterprises when monetary policy tightened.(4)It increases the default risk of entrusted loans by rising the information asymmetry and the difficulty of supervision.These results can serve as reference for improving the effectiveness of credit channel of monetary policy,preventing and controlling the systemic financial risks of shadow banking when monetary policy tightened.

关 键 词：影子银行 货币政策 信贷渠道 委托贷款 金融风险 

分 类 号：F270[经济管理—企业管理]