Abstract:
As the rapid development of asset management business, China has gradually entered the “great asset management era”.Meanwhile, China's shadow banking system has rapidly grown, which brought great challenges to the transmission of China's monetary policy.The paper established a DSGE model with financial friction to study the mechanism of shadow banking system.We find shadow banks have higher loan interest rates, which intensify the financial dual-track system in China.In addition, the loan ability of shadow banks is less sensitive to monetary policy, which weakens the transmission of monetary policy.In the future, it is necessary to standardize the development of asset management business and improve the shadow banking system so as to strengthen the effectiveness of monetary policy.
[1]胡志鹏,2016,《“影子银行”对中国主要经济变量的影响》,《世界经济》第1期,第152~170页。 [2]纪洋、谭语嫣和黄益平,2016,《金融双轨制与利率市场化》,《经济研究》第6期,第45~57页。 [3]解凤敏和李媛,2014,《中国影子银行的货币供给补充与替代效应——来自货币乘数的证据》,《金融论坛》第8期,第20~28页。 [4]康立,龚六堂和陈永伟,2013,《金融摩擦、银行净资产与经济波动的行业间传导》,《金融研究》第5期,第32~46页。 [5]李波和伍戈,2011,《影子银行的信用创造功能及其对货币政策的挑战》,《金融研究》第12期,第77~84页。 [6]李丛文和闫世军,2015,《我国影子银行对商业银行的风险溢出效应——基于GARCH-时变Copula-CoVaR模型的分析》,《国际金融研究》第10期,第64~75页。 [7]李宏瑾和苏乃芳,2017,《金融创新、金融脱媒与信用货币创造》,《财经问题研究》,2017年第10期,第40~50页。 [8]林琳,曹勇和肖寒,2016,《中国式影子银行下的金融系统脆弱性》,《经济学(季刊)》第3期,第1113~1136页 [9]刘斌,2008,《我国DSGE模型的开发及在货币政策分析中的应用》,《金融研究》第10期,第1~21页。 [10]马亚明和徐洋,2017,《影子银行、货币窖藏与货币政策冲击的宏观经济效应——基于DSGE模型的分析》,《国际金融研究》第8期,第54~64页。 [11]裘翔和周强龙,2014,《影子银行与货币政策传导》,《经济研究》第5期,第91~105页。 [12]苏乃芳和李宏瑾,2018,《相机抉择、简单规则与完全承诺最优货币政策——新常态下的中国货币政策决策方式选择》,《国际金融研究》第2期,第30~40页。 [13]温信祥,2018,《新金融趋势》,中国金融出版社。 [14]王喆,张明和刘士达,2017,《从“通道”到“同业”——中国影子银行体系的演进历程、潜在风险与发展方向》,《国际经济评论》第4期,第128~148页。 [15]王振和曾辉,2014,《影子银行对货币政策影响的理论与实证分析》,《国际金融研究》第12期,第58~67页。 [16]徐忠,2017,《中国稳健货币政策的实践经验与货币政策理论的国际前沿》,《金融研究》第1期,第1~21页。 [17]徐忠,2018,《经济高质量发展阶段的中国货币调控方式转型》,《金融研究》第4期,第1~19页。 [18]张勇、李政军和龚六堂,2014,《利率双轨制、金融改革与最优货币政策》,《经济研究》第10期,第19~32页。 [19]周莉萍,2012,《论影子银行体系国际监管的进展、不足、出路》,《国际金融研究》第1期,第44~53页。 [20]Bernanke, B.and M.Gertler, 1986, “Agency Costs, Collateral and Business Fluctuations”, Proceedings, Federal Reserve Bank of San Francisco. [21]Bernanke, B., M.Gertler, and S.Gilchrist, 1999.The Financial Accelerator in a Quantitative Business Cycle Framework.Elsevier. [22]Ehlers, T., S.Kong and F.Zhu, 2018, “Mapping Shadow Banking in China: Structure and Dynamics”, BIS Working Papers No 701. [23]Financial Stability Board, 2011,“Shadow Banking Scoping the Issues a Background Note of the Financial Stability Board”.FSB Working Paper 2011 1-6. [24]Gelain, P., 2010,“The External Finance Premium in the Euro Area: A Dynamic Stochastic General Equilibrium Analysis”, North American Journal of Economics & Finance, 21(1):49~71. [25]Gertler, M.and N.Kiyotaki, 2009,“Financial Intermediation and Credit Policy in Business Cycle Analysis”, Handbook of Monetary Economics.Elsevier B.V.:547~599. [26]Gertler, M.and P.Karadi, 2011,“A Model of Unconventional Monetary Policy”, Journal of Monetary Economics, 58(1): 17~34. [27]Gertler, M., N.Kiyotaki and A.Queralto, 2012,“Financial Crises, Bank Risk Exposure and Government Financial Policy”, Journal of Monetary Economics, 59(33):17~34. [28]Gertler, M.and N.Kiyotaki, 2015, “Banking, Liquidity, and Bank Runs in an Infinite Horizon Economy”, American Economic Review 2015, 105(7): 2011~2043. [29]Gertler, M., N.Kiyotaki and A.Prestipino, 2016, “Chapter 16 – Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises”, Handbook of Macroeconomics, 2: 1345~1425. [30]Mazelisy, F.,2015, “The Role of Shadow Banking in the Monetary Transmission Mechanism and the Business Cycle”, SFB 649 Discussion Paper, No.2015~040. [31]Smets, F.and R.Wouters, 2003,“An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area”, Journal of European Economic Association, (5):1123~1175. [32]Taylor, J., 1993, “Discretion versus Policy Rules in Practice”, Carnegie-Rochester Conference Series on Public Policy, 39(1): 195~214. [33]Verona, F., M.Martins and I.Drumond, 2013,“ (Un)Anticipated Monetary Policy in a DSGE Model with a Shadow Banking System”, IMF Working Paper, 9(3):73~117.