资管新规下中国影子银行治理策略分析——基于杠杆率监管新视角  

Analysis of China’s Shadow Banking Governance Strategies under the New Asset Management Regulations——Based on a New Perspective of Leverage Ratio Supervision

作　　者：宋美霖 杨成荣[2] 赵立文 Song Mei-lin;Yang Cheng-rong;Zhao Li-wen(Quantitative Economics Center,Jilin University,Changchun Jilin 130012;Business School,Jilin Univerisity,Changchun Jilin 130012;Beijing Wenbo Qisheng Investment Co.,Ltd.,Beijing 100036)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]吉林大学商学院,吉林长春130012 [3]北京文博启胜投资有限公司,北京100036

出　　处：《经济纵横》2022年第1期120-128,共9页Economic Review Journal

基　　金：教育部人文社会科学重点研究基地重大项目“新时期中国经济长期稳定增长的潜力与实现路径”(编号:17JJD790009)的成果。

摘　　要：影子银行业务可能引发系统性风险,因而其有效监管问题备受关注。结合我国影子银行业务的隐性担保和高杠杆两大特征,构建影子银行业务管理者和监管机构的行为决策模型,数值模拟结果表明,存在隐性担保的影子银行偏好具有高杠杆特征的信贷限制项目,若引入杠杆率约束,则存在有效的监管干预策略,即当满足监管干预条件时,监管机构能甄别出影子银行的投资项目,可通过调节杠杆率监管区间引导影子银行的投资偏好;当干预条件未满足时,监管机构的干预策略无效。为化解影子银行的风险,监管机构需加强治理,由泛化的分业监管转为针对经营业务的功能监管;在资管新规过渡期内,根据现金流信号对已存续的隐性担保产品进行严格的杠杆率区间监管;对风险级别不同的项目,需设定不同的投资准入门槛。Shadow banking may cause systemic risks,so the issue of its effective supervision has attracted considerable attention.Combining the two major characteristics of China’s shadow banking business,implicit guarantee and high leverage,this paper constructed a behavioral decision model for shadow banking managers and supervisory agencies.The numerical simulation results show that shadow banks with implicit guarantees prefer credit restrictions with high leverage characteristics.For projects,if leverage ratio constraints are introduced,there are effective regulatory intervention strategies,that is,when the regulatory intervention conditions are met,the regulatory agency can identify shadow banking investment projects,and can guide shadow banking’s investment preferences by adjusting the regulatory range of leverage ratio.When the intervention conditions are not met,the intervention strategy of the regulatory agency is invalid.In order to resolve the risks of shadow banking,regulators need to change the regulatory model,from generalized separate supervision to functional supervision for operating businesses.During the transition period of the new asset management regulations,the existing implicit guarantee products will be subject to strict leverage ratio range supervision according to cash flow signals;for projects with different risk levels,different investment access thresholds need to be set.

关 键 词：影子银行治理 杠杆率监管 监管困境 

分 类 号：F830[经济管理—金融学]