摘要
基于金融监管的边界假设及2000~2015年中国市场数据,分析宏观审慎政策与跨部门替代之间的关系。实证结果表明,宏观审慎政策总指标与净部门信贷流动负相关,私人部门信贷呈现从银行部门流向非银行部门。其中,数量型宏观审慎政策对净部门信贷流动具有负向影响,而价格型宏观审慎政策对净部门信贷流动无显著影响。研究还发现中央银行基准贷款利率、中央银行资产负债表规模均对净部门信贷流动有负向影响,意味着政策利率上行和中央银行资产负债表扩张也会促使私人部门信贷从银行部门流向非银行部门。因此,建议将非银行金融机构、互联网金融、民间借贷等影子银行体系纳入宏观审慎管理范畴,加强金融体系跨部门、跨市场的宏观审慎管理以及宏观审慎与金融监管的协调。
This paper analyzed the relationship between macroprudential policies and cross-sector substitution based on the hypothetical assumption of financial regulation and data on the Chinese market from 2000 to 2015. The empirical results show that the overall index of macroprudential policies and net sector credit flow are negatively correlated and that private sector credit flows from the banking sector to the non-banking sector. In particular,macroprudential policies from quantity measures have an adverse effect on the new sector credit flow; whereas macroprudential policies from price measures have no significant effects on it. This study also found that the central bank' s benchmark lending rate and the size of the balance sheet have an adverse effect on net sector credit flows. This means that the rise in policy interest rates and the expansion of the central bank' s balance sheet would also induce private sector credit to flow to the non-banking sector. Therefore,it is recommended that shadow banking systems such as non-banking financial institutions,internet banking,and private lending be integrated into the scope of macroprudential management to strengthen the cross-sector and trans-market macroprudential management of the financial system. The integration would also serve to strengthen the coordination between macroprudential and financial regulation.
引文
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