中央银行沟通与非金融企业影子银行化  

Central Bank Communication and Shadow Banking of Non-Financial Enterprises

作　　者：韩珣 易祯[2] 乔佳雪 HAN Xun;YI Zhen;QIAO Jiaxue(School of Economics,Beijing International Studies University;School of Finance,Capital University of Economics and Business;Institute of America Latina,Chinese Academy of Social Science)

机构地区：[1]北京第二外国语学院经济学院,北京100024 [2]首都经济贸易大学金融学院,北京100070 [3]中国社会科学院拉丁美洲研究所,北京102445

出　　处：《金融研究》2023年第12期20-37,共18页Journal of Financial Research

基　　金：国家自然科学基金项目(72203014,72103145);国家社会科学基金项目(22FJLB032);教育部人文社会科学基金(20YJC790040)的资助。

摘　　要：中央银行沟通作为前瞻性货币政策指引手段,在引导公众预期和调节宏观经济等方面发挥着重要的作用。那么,中央银行沟通是否会对非金融企业影子银行化产生影响?本文首先构建一个动态随机一般均衡模型,模拟中央银行沟通与企业影子银行业务之间的关系。然后,基于上市公司2007—2020年的季度数据,实证分析央行沟通与非金融企业影子银行化之间的关系。研究结果显示,央行沟通能够抑制非金融企业影子银行化趋势,且上述效应在高管具有金融背景、社会责任意识较强和公司治理效率较低的企业中更为显著。机制分析表明,宽松性中央银行沟通,会通过抑制金融错配程度、提高投资平稳性和降低金融与实体投资收益率之差,抑制非金融企业影子银行化;中央银行沟通能够减轻投资者异质性信念和分析师预测分歧,抑制非金融企业影子银行化。本研究在优化宏观货币政策调控手段、抑制经济“脱实向虚”以及防范系统性金融风险等方面,具有重要的理论和现实意义。The scale of China's shadow banking sector continues to expand in recent years.Nonfinancial enterprise sectors are engaging in financial asset investment activities.This has led more enterprises to shift human resources and capital from their original production and operation areas to financial asset investment and shadow lending activities.The shadow banking of enterprises decreases the physical investment rate and exacerbates systemic financial risks.Since the 1990s,global central banks have gradually increased their emphasis on central bank communication and used it as a means of macroeconomic policy regulation.The central bank uses verbal communication to announce the direction of its future monetary policy implementation,which helps the public form expectations about changes in the economic state,sufficient credit liquidity,and financial regulatory intensity,thereby influencing the behavior of micro residents and enterprises.Therefore,leveraging the regulatory role of monetary authorities in the investment and financing behavior of micro enterprise entities,exploring methods to resolve financial risks,and curbing the excessive development of the shadow banking system have become important efforts for government decision-making departments and domestic and foreign scholars.This paper constructs a dynamic stochastic general equilibrium model to simulate the relationship between central bank communication and corporate shadow banking business.Then,based on quarterly data from listed companies from 2007 to 2020,it conducts an empirical analysis of the relationship between central bank communication and the shadow banking of non-financial enterprises.This paper makes three main contributions.First,starting from the perspective of central bank communication,it analyzes the reasons for changes in the corporate shadow banking scale.It also proposes the impact of central bank communication on the shadow banking of non-financial enterprises,which has a strong innovation in research perspective.Second,this paper explor

关 键 词：中央银行沟通 企业影子银行化 金融错配 脱实向虚 

分 类 号：F832[经济管理—金融学] F275