影子银行、流动性分层与政策利率传导  

Shadow banking,liquidity stratification,and policy interest rate transmission

作　　者：倪宣明 王江伟 赵慧敏[2] NI Xuanming;WANG Jiangwei;ZHAO Huimin(School of Software and Microelectronics,Peking University,Beijing 100871,China;School of Business,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]北京大学软件与微电子学院,北京100871 [2]中山大学管理学院,广州510275

出　　处：《系统工程理论与实践》2022年第10期2589-2602,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71991474);广东省自然科学基金(2022A1515011893)。

摘　　要：人民银行的货币政策框架指出,要通过政策利率体系引导市场利率走势,然而以同业存单利率为代表的中期市场利率却往往与以中期借贷便利利率为代表的中期政策利率产生大幅偏离.通过构建信贷利率管制下的政策利率传导模型,本文提出了市场利率与政策利率利差的三个影响因素:影子银行、同业拆借市场资金融通难易程度、法定存款准备金率.流动性分层现象是后两项因素的外在体现,而影子银行则可区分为传统影子银行与银行影子两类,且它们的作用相反.就经济作用机制而言,传统影子银行业务与企业信贷独立而互补,而银行影子是我国商业银行进行监管套利的另类企业信贷,因此两者对市场利率与政策利率利差的影响相反.此外,银行间市场流动性的总体充裕程度、各金融机构间流动性缺口导致的货币政策传导效率差异能解释流动性分层的影响.The monetary policy framework of the People's Bank of China(PBOC)points out that it is necessary to guide the trend of market interest rates through the policy interest rates system.However,the negotiable certificate of deposit(NCD)interest rate often deviates greatly from the medium-term lending facility(MLF)interest rate.By constructing the policy interest rates transmission model under the control of credit interest rates,this paper puts forward three influential factors of spreads between market interest rates and policy interest rates:Shadow banking,inter-bank lending market financing difficulty,and legal deposit reserve ratio.Liquidity stratification is the external embodiment of the latter two factors,while shadow banking can be divided into traditional shadow banking and bank shadow with opposite roles.In terms of economic mechanism,traditional shadow banking and loans are independent and complementary,while bank shadow is an alternative loans for regulatory arbitrage of China's commercial banks.In addition,the overall liquidity abundance of the interbank market and the monetary policy transmission efficiency caused by the liquidity gap between financial institutions can explain the impact of liquidity stratification.

关 键 词：影子银行 流动性分层 市场利率与政策利率利差 政策利率传导 

分 类 号：F830.9[经济管理—金融学]