货币政策、影子银行和银行间市场利率
|
摘要
本文基于银行多样性和融资可得性差异化的假设,构建了包含货币政策、银行间市场利率和影子银行的分析框架,在银行间市场均衡状态下分析了三者之间的传导关系,并采用2010年1月至2017年6月的月度数据构建TVP-VAR模型进行实证研究。研究结果表明:第一,央行增加货币投放能够降低银行间市场利率,但是影子银行规模的扩大会导致银行间市场利率上升,且该影响程度大于货币政策的影响程度,货币政策效果弱化;第二,外部冲击影响银行的流动性管理,负向外部冲击下中小银行增加对银行间市场的依赖程度,从而使银行间市场利率存在上升压力;第三,银行间市场利率的上升,会引起影子银行规模扩大,并且导致金融体系杠杆率上升。
This paper formulates an analysis framework from a micro perspective that incorporates monetary policy,shadow bank and interbank market interest rate,based on the assumption of diversification of banks and differentiated availability of liquidity support from central bank.In addition,it conducts a theoretical analysis on the transmission path among these three factors under a theoretical framework and empirically constructs a TVP-VAR model to study that path using monthly data from January2010 to July 2017.Results show that firstly interbank market interest rate decreases if central bank provides liquidity through open market operation.However,with the expanding scale of shadow bank,interbank market interest rate goes up,which weakens the effects of monetary policy.Secondly,external shocks exert negative influence on liquidity management of commercial banks.Meanwhile,while facing negative shocks,medium and small size banks become more reliant on the interbank market,which makes market interest rate increase.Finally,when interbank market interest rate increases,the scale of shadow bank expands,thus leading to higher leverage in the whole financial system and declining liquidity creation.
This paper formulates an analysis framework from a micro perspective that incorporates monetary policy,shadow bank and interbank market interest rate,based on the assumption of diversification of banks and differentiated availability of liquidity support from central bank.In addition,it conducts a theoretical analysis on the transmission path among these three factors under a theoretical framework and empirically constructs a TVP-VAR model to study that path using monthly data from January2010 to July 2017.Results show that firstly interbank market interest rate decreases if central bank provides liquidity through open market operation.However,with the expanding scale of shadow bank,interbank market interest rate goes up,which weakens the effects of monetary policy.Secondly,external shocks exert negative influence on liquidity management of commercial banks.Meanwhile,while facing negative shocks,medium and small size banks become more reliant on the interbank market,which makes market interest rate increase.Finally,when interbank market interest rate increases,the scale of shadow bank expands,thus leading to higher leverage in the whole financial system and declining liquidity creation.
引文
[1]胡利琴,陈锐,班若愚.货币政策、影子银行发展与风险承担渠道的非对称效应分析[J].金融研究,2016(2):154-162
[2]李波,伍戈.影子银行的信用创造功能及其对货币政策的挑战[J].金融研究,2011(12):77-84
[3]裘翔,周强龙.影子银行与货币政策传导[J].经济研究,2014(5):91-105
[4]孙国峰,蔡春春.货币市场利率、流动性供求与中央银行流动性管理---对货币市场利率波动的新分析框架[J].经济研究,2014(12):33-44
[5]孙国峰,贾君怡.中国影子银行界定及其规模测算---基于信用货币创造的视角[J].中国社会科学,2015(11):92-110
[6]谢平,纪志宏,徐忠,邹传伟.银行信贷出表及其对信用债券市场的影响[J].新金融评论,2016(3):41-56
[7]张鹏.影子银行影响货币市场流动性的机制研究[J].金融监管研究,2014(1):65-76
[8]Acharya V V,Merrouche O.Precautionary Hoarding of Liquidity and Interbank Markets:Evidence from the Subprime Crisis[J].Review of Finance,2012,17(1):107-160
[9]Diamond D W,Rajan R G.Fear of Fire Sales,Illiquidity Seeking,and Credit Freezes[J].The Quarterly Journal of Economics,2011,126(2):557-591
[10]Freixas X,Jorge J.The Role of Interbank Markets in Monetary Policy:A Model with Rationing[J].Journal of Money,Credit and Banking,2008(6):1151-1176
[11]Gennaioli N,Shleifer A,Vishny R.Neglected Risks,Financial Innovation,and Financial Fragility[J].Journal of Financial Economics,2012,104(3):452-468
[12]Nakajima J.Time-Varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R].Institute for Monetary and Economic Studies,Bank of Japan,2011
[13]Nelson B D,Pinter G,Theodoridis K.Do Contractionary Monetary Policy Shocks Expand Shadow Banking?[R].Bank of England Working Paper No.251,2015
[14]Pozsar Z,Adrian T,Ashcraft A,Boesky H.Shadow Banking[J].New York,2010,458:3-9
(1)本文的主要研究对象是与商业银行业务相关的影子银行体系,孙国峰和贾君怡(2015)在论文中将这部分狭义的影子银行称为银行的影子。
(1)为简化模型,假设资金供给银行无其他的资产投资行为。
(1)“空转套利”主要指金融机构通过银行间拆借市场获得了大量资金,并借助于利率期限结构的错配实现套利。
(1)由于受到监管约束,当贷款业务利率较高时(RL),银行不会将大量资金配置于贷款(βj不会很大),即使银行突破监管约束大量放贷,也将面临高额的监管处罚。这就导致了γαj-1/3y1/3不会很大。而由于影子银行缺乏监管约束,可能导致(1-γ)αk-1/3z1/3很大从而改变分子的大小与方向。
(1)本文也从企业资金获取角度选择影子银行代理变量,即参照张鹏(2014)等以委托贷款、信托贷款和未贴现汇票等三项表外融资总额(shad)作为影子银行规模指标,进行实证研究。结果无显著差异,同样支持本文提出的假说。
[2]李波,伍戈.影子银行的信用创造功能及其对货币政策的挑战[J].金融研究,2011(12):77-84
[3]裘翔,周强龙.影子银行与货币政策传导[J].经济研究,2014(5):91-105
[4]孙国峰,蔡春春.货币市场利率、流动性供求与中央银行流动性管理---对货币市场利率波动的新分析框架[J].经济研究,2014(12):33-44
[5]孙国峰,贾君怡.中国影子银行界定及其规模测算---基于信用货币创造的视角[J].中国社会科学,2015(11):92-110
[6]谢平,纪志宏,徐忠,邹传伟.银行信贷出表及其对信用债券市场的影响[J].新金融评论,2016(3):41-56
[7]张鹏.影子银行影响货币市场流动性的机制研究[J].金融监管研究,2014(1):65-76
[8]Acharya V V,Merrouche O.Precautionary Hoarding of Liquidity and Interbank Markets:Evidence from the Subprime Crisis[J].Review of Finance,2012,17(1):107-160
[9]Diamond D W,Rajan R G.Fear of Fire Sales,Illiquidity Seeking,and Credit Freezes[J].The Quarterly Journal of Economics,2011,126(2):557-591
[10]Freixas X,Jorge J.The Role of Interbank Markets in Monetary Policy:A Model with Rationing[J].Journal of Money,Credit and Banking,2008(6):1151-1176
[11]Gennaioli N,Shleifer A,Vishny R.Neglected Risks,Financial Innovation,and Financial Fragility[J].Journal of Financial Economics,2012,104(3):452-468
[12]Nakajima J.Time-Varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R].Institute for Monetary and Economic Studies,Bank of Japan,2011
[13]Nelson B D,Pinter G,Theodoridis K.Do Contractionary Monetary Policy Shocks Expand Shadow Banking?[R].Bank of England Working Paper No.251,2015
[14]Pozsar Z,Adrian T,Ashcraft A,Boesky H.Shadow Banking[J].New York,2010,458:3-9
(1)本文的主要研究对象是与商业银行业务相关的影子银行体系,孙国峰和贾君怡(2015)在论文中将这部分狭义的影子银行称为银行的影子。
(1)为简化模型,假设资金供给银行无其他的资产投资行为。
(1)“空转套利”主要指金融机构通过银行间拆借市场获得了大量资金,并借助于利率期限结构的错配实现套利。
(1)由于受到监管约束,当贷款业务利率较高时(RL),银行不会将大量资金配置于贷款(βj不会很大),即使银行突破监管约束大量放贷,也将面临高额的监管处罚。这就导致了γαj-1/3y1/3不会很大。而由于影子银行缺乏监管约束,可能导致(1-γ)αk-1/3z1/3很大从而改变分子的大小与方向。
(1)本文也从企业资金获取角度选择影子银行代理变量,即参照张鹏(2014)等以委托贷款、信托贷款和未贴现汇票等三项表外融资总额(shad)作为影子银行规模指标,进行实证研究。结果无显著差异,同样支持本文提出的假说。