宏观审慎监管政策对我国影子银行业务规模的影响研究
首发时间:2019-05-22
摘要:基于金融监管套利理论及2002~2018年的中国季度市场数据,利用协整模型实证研究了宏观审慎监管政策对我国影子银行业务规模的影响。研究结果显示,宏观审慎监管政策指标与影子银行业务规模正相关,紧缩性宏观审慎监管政策的实施会引起影子银行业务规模增加。研究还发现基准贷款利率、货币供给均对影子银行业务规模有负向影响,意味着政策利率上行和货币供给增加会引起影子银行业务规模减小。基于研究结论,建议扩大宏观审慎政策的监管边界,加强跨行业、跨部门的监管协调以及影子银行风险识别管理等。
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A Study of the Impact of Macroprudential Policy on the Scale of Shadow Banking Business in China
Abstract:Based on the arbitrage theory of financial supervision and quarterly market data of China from 2002 to 2018, this paper empirically studies the impact of macroprudential policy on the scale of shadow banking business in China by using cointegration model. The results show that macroprudential policy indicator is positively related to the scale of shadow banking business, which means that the implementation of tightening macroprudential policy will lead to an increase in the scale of shadow banking business. The study also found that the benchmark lending rate and money supply have a negative impact on the scale of the shadow banking business, which means that the increase of policy rate and money supply will lead to the decreaseof the scale of the shadow banking business. Based on the conclusions of the study, it is proposed to expand the regulatory boundaries of macroprudential policies, strengthen cross-industry and cross-departmental regulatory coordination and risk identification management of shadow bankinig.
Keywords: finance macroprudential policy shadow banking cointegration test
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宏观审慎监管政策对我国影子银行业务规模的影响研究
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