摘要
影子银行已经成为系统性金融风险传染的主要因素,当前监管部门在货币政策与宏观审慎政策双支柱调控框架下加强了对影子银行的监管力度,但学术界对监管效果的模拟和评估仍然较少.本文将影子银行系统引入新凯恩斯主义动态随机一般均衡模型(DSGE),以检验双支柱调控框架对影子银行的监管效果.结果表明:在不同外生冲击下,影子银行体系的存在均会加剧系统性风险累积和经济波动程度.在技术冲击下,宏观审慎政策的加入并未与货币政策产生目标冲突;而在住房需求冲击和利率冲击下,双支柱调控框架对影子银行的监管效果显著优于单独采用货币政策.这表明,健全双支柱调控框架需要在影子银行未来发展中体现包容审慎,做到在促发展中防风险,切实维护宏观经济稳定和国家金融安全.
Based on the fact that shadow banking has become the driving force of financial systemic risk in China, the regulators have strengthened its supervision within the double pillar regulatory framework which includes monetary policy and macro-prudential policy, but there is little literature analyzing the effects. This article incorporates the shadow banking system into DSGE and combines the simulation test to judge the effects of shadow banking supervision under the double pillar regulatory framework. The results show that under different shocks, the existence of shadow banking accelerates the accumulation of systemic risk and economic fluctuation. Under the technique shock, there is no conflict in targets between monetary policy and macro-prudential regulation;under the shock of housing demand and interest rates, the double pillar regulatory framework is remarkably superior than just adopting monetary policy. Accordingly, to improve the double pillar regulatory framework needs to reflect prudence in the development of shadow banking, which not only defends risks but also guarantees macroeconomic and financial security.
作者
严佳佳
吴必源
YAN Jiajia;WU Biyuan
出处
《金融监管研究》
CSSCI
北大核心
2020年第3期35-50,共16页
Financial Regulation Research
基金
国家社科基金项目“‘一带一路’金融国际合作机制研究”专项资助(项目编号:18VDL012)。
关键词
影子银行
双支柱调控框架
监管效果
DSGE模型
Shadow Banking
Double-pillar Regulatory Framework
Supervision Effect
DSGE Model
