USST_Arts_112040590影子银行对我国货币政策的影响研究

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摘要

2007 年发生在美国的次货危机使得“影子银行”这个概念开始被公众所熟知，

在美国影子银行被解释为具有类似银行的功能，但是却不受监管的金融中介机构，

如投资银行、对冲基金、货币市场基金等，其最大的特点就是期限错配、高杠杆

和高风险。而对于我国来说，严格意义上的影子银行几乎是不存在的，不过我国

存在着与影子银行类似的一些金融中介机构、金融产品以及金融市场等，而这些

被国内学者称之为“中国的影子银行”。具体的，“中国的影子银行”主要包括

商业银行理财产品、银信合作、信托贷款、委托贷款以及民间借贷等金融产品、

金融中介或金融市场，与美国影子银行不同，中国的影子银行目前处于发展初期，

其特点有独立性低、证券化程度低和功能单一等。

虽然我国的影子银行发展较为滞后，但是其规模已经达到了很高的水平，据

中金的测算截至 2013 年4月我国影子银行规模约为 27 万亿，占到我国 2012 年

GDP 的51.99%，占商业银行各项贷款的 42.86%。影子银行的快速发展，正在改变

我国金融市场结构，削弱商业银行在社会融资中的主体地位，对传统的宏观调控

政策形成挑战。本文立足影子银行与货币政策之间的联系，从理论和实证两方面

深入分析和验证了影子银行对我国货币政策的影响。在理论分析部分，本文从货

币政策传导渠道、货币政策中介目标、货币政策操作目标、货币政策工具以及货

币政策最终目标等五个方面，深入分析影子银行对货币政策产生的具体影响，并

利用数学的方法证实了影子银行的扩张会引起实际货币供应量的增加，而这种影

响与影子银行系统资金的来源无关。理论分析结果表明，影子银行的出现已经对

我国货币政策的实施产生了不利的影响，主要表现在：首先，阻碍了我国货币政

策的信贷传导渠道，使我国货币政策不能有效的传导到实体经济；其次影子银行

已经影响到我国货币政策中间目标的可测性和可控性，使得央行不能准确的了解

到市场上货币供应量的规模；再次，影子银行的出现使得传统货币政策工具的作

用力度降低了，不能够有效的调整市场的货币量；最后，影子银行巨大的风险性，

不利于经济的健康发展；另外本文还进一步分析了影子银行对货币政策影响的非

对称性。

在实证分析部分，本文采用基于向量误差修正模型（VECM）的广义脉冲函数

和方差分解分析，从计量经济学的角度验证了影子银行对我国货币政策中间目标

和最终目标的影响。实证结果表明，在短期内影子银行规模的变化会引起货币供

应量同向变化，但是长期来看则会引起反向的变化，而且较为持久；影子银行对

信贷规模的冲击则表现为负向的，这也证明了影子银行在功能上对商业银行具有

一定替代作用；实证结果还表明影子银行规模的扩大会引起物价上涨的压力，而

且对于经济增长也存在负面冲击。在文章最后，本文分别从影子银行监管和完善

货币政策两方面提出了相应的政策建议。

关键词：货币政策影子银行 VECM 脉冲响应函数方差分解

ABSTRACT

The United States subprime mortgage crisis, which occurred in 2007, has made

the concept of "shadow banking" began to be known by the public. The “shadow

banking” in America was interpreted as an organization that has the similar function of

banks, however it’s not regulated by financial intermediaries, such as investment banks,

hedge funds, money market funds, etc.. Mismatch maturity, high leverage and high risk

are the main characteristics of shadow banks. Strictly speaking, there are no shadow

banks existing in our country, but there are some financial intermediaries, financial

products and financial markets which similar to shadow banking, these institutions are

called “shadow banks of China” by domestic scholars. To be specific, “shadow banks

of China” is mainly consist of the commercial bank financial management products,

collections, trust loans, entrusted loans and private lending financial products, financial

intermediaries, or financial markets. Unlike the shadow banks in USA, these ones in

China are at the early stage of development, and has low degree of independence,

securitization and only has single functions.

Although the development of China's shadow banking is relatively lagging behind,

its scale has reached to a very high level. According to the estimates of cicc, the value

of shadow banking in China is about 27 trillion by April 2013, which accounts for

51.99% of China's GDP in 2012, and equals to 42.86% of the amount of all kinds loans

in commercial Banks. The rapid development of the shadow banking is now changing

the financial market structure in our country, has weakened dominant position of the

commercial Banks in the social financing, and has challenged the traditional

macroeconomic regulation and control policies. In this paper, based on the connection

between the shadow banking and monetary policy, we deeply analyzed and verified the

impact of the shadow Banks to of monetary policy in our country from both theoretical

and empirical analysis. In theoretical analysis part, this article gave in-depth analysis of

the impact on monetary policy which shadow banking have made from the monetary

policy transmission channels, monetary policy intermediary target, monetary policy

target, monetary policy tools and operation from five aspects. We used the method of

mathematical deduction to confirm the expansion of the shadow banking system can

result to the increase of money supply, and the relationship has nothing to do with the

source of the shadow banking system funds. Theoretical analysis results show that the

occurrence of shadow Banks have made the disadvantage impact on the conduct of

monetary policy in China, mainly including: first, it hindered the credit transmission

channels of Chinese monetary policy, which can’t be transmitted to the real economy

effectively; second, the shadow banks have already affected the measurability and

controllability of the intermediate target for the monetary policy, which made the

central bank cannot get the precise information of the scale of money supply on the

market; what’s more, the emergence of the shadow banking has reduced the strength of

role for the traditional monetary policy tools, which cannot adjust the money quality on

the market; finally, the great risk of shadow banking is unfavorable for the economy to

have a healthy development; in addition, the asymmetry of the impact which the

shadow banking made on monetary policy was further analyzed.

As for the empirical analysis part, this article adopted the generalized impulse

function and variance decomposition of the vector autoregressive model (VECM),

from the perspective of econometrics, to verify the impact that shadow Banks made on

the intermediate target and ultimate goal of our country monetary policy. The empirical

results show that: the change of the shadow banking scale will cause money supply to

change in the same direction in the short term, but in the long term, it will cause the

money supply to chance in the opposite direction and long-lasting; the impact on the

credit scale is characterized by negative, which also proved that the shadow banking

have the same function of commercial Banks, which can be substituted in some degree;

the results also shows that the enlargement of shadow banks can cause the pressure of

rising prices, and also have negative impact on economy growth. At the last part, the

corresponding policy recommendations were put forward from aspects of shadow

banking supervision and completing the monetary policy respectively.

Key Words：Monetary Policy，Shadow Bank，VECM，Impulse

Response Function，Variance Decomposition

中文摘要

ABSTRACT

第一章绪论 .................................................... 1

1.1 研究背景及意义 ............................................. 1

1.1.1 研究背景 ................................................ 1

1.1.2 研究意义 ................................................ 2

1.2 文献综述 ................................................... 2

1.2.2 国外相关文献研究综述 .................................... 2

1.2.3 国内相关文献研究综述 .................................... 4

1.3 研究方法及内容 ............................................. 6

第二章影子银行理论介绍 .......................................... 9

2.1 影子银行的定义 ............................................. 9

2.1.1 国外的定义 .............................................. 9

2.1.2 国内的定义 ............................................. 10

2.2 我国影子银行的表现形式及运作机制 .......................... 12

2.3 我国影子银行的特征 ........................................ 16

2.4 我国影子银行产生的原因 .................................... 17

2.4.1 利率市场化与影子银行 ................................... 17

2.4.2 流动性分布不均衡 ....................................... 18

2.4.3 强大的信贷需求 ......................................... 18

2.4.4 金融“脱媒” ........................................... 19

2.5 我国影子银行规模估算 ...................................... 19

第三章影子银行对货币政策影响机制分析 ........................... 22

3.1 影子银行具有强大的信用创造功能 ............................ 22

3.1.1 美国影子银行的信用创造 ................................. 22

3.1.2 我国影子银行的信用创造 ................................. 24

3.2 影子银行对货币政策中间目标的影响 .......................... 29

3.2.1 影子银行模糊了货币供应量层次的划分，降低了其可测性 ..... 30

3.2.2 影子银行放大了社会的货币供给，降低了其可控性 ........... 30

3.3 影子银行对传导渠道的影响 .................................. 34

3.4 影子银行减弱了操作目标的作用力度 .......................... 37

3.5 影子银行对货币政策工具的影响 .............................. 37

3.5.1 削弱了存款准备金率的作用效力 ........................... 37

3.5.2 公开市场业务不够完善 ................................... 38

3.5.3 进一步弱化再贴现再贷款的作用 ........................... 38

3.5.4 影响利率工具作用方式 ................................... 38

3.6 影子银行对货币政策最终目标的影响 .......................... 39

3.7 影子银行对货币政策影响的非对称性分析 ...................... 40

第四章影子银行对我国货币政策影响的实证分析 ..................... 41

4.1 模型建立 .................................................. 41

4.1.1 VAR 模型介绍 ............................................ 41

4.1.2 基于 VAR 模型的 Johansen 协整检验介绍 .................... 43

4.1.3 向量误差修正模型(VECM)介绍 ............................. 44

4.2 变量及数据的选取 .......................................... 44

4.3 数据平稳性检验 ............................................ 45

4.4 Johansen 协整检验 .......................................... 46

4.5 基于 VAR 的Granger 因果关系检验 ............................ 48

4.6 VECM 模型建立及协整分析 .................................... 49

4.7 基于 VECM 的广义脉冲响应函数分析 ........................... 51

4.8 基于 VECM 模型的 Cholesky 方差分解分析 ...................... 54

4.9 小结 ...................................................... 58

第五章结论及政策建议 ........................................... 60

5.1 结论 ...................................................... 60

5.2 加强影子银行监管，形成有效监管机制 ........................ 61

5.2.1 影子银行监管需区别对待 ................................. 61

5.2.2 积极引导影子银行资金流向 ............................... 62

5.2.3 防范影子银行风险扩散 ................................... 62

5.3 完善货币政策调控 .......................................... 62

5.3.1 提高货币政策工具作用力度 ............................... 62

5.3.2 推进利率市场化，向价格型调控转型 ....................... 63

5.3.3 重视社会融资规模管理 ................................... 64

第六章结语 ................................................... 65

参考文献 ......................................................... 66

在读期间公开发表的论文和承担科研项目及取得成果 ................... 70

致谢 ........................................................... 71

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