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_胡利琴

[e-mail]．*12YJC790064。“·”。。、430072NAＲDL。。。JELE44E52G20A1002－7246201602－0154－09、。201445GDP71%30。。201540%。。。20162、155。、、、AdrianandShin2009BorioandZhu2012Veronaetal2011Nelsonetal.2015Funkeetal.2015。FSB2013b。Funkeetal.2015DSGE。。123。NAＲDL。、Mishkin2010BorioandZhu2012、。“”1。20072010①。。BorioandZhu2012、①、、。1564281。20102014。。。、。Mishkin2010、BorioandZhu2012。NAＲDL。NAＲDLAＲDL。NAＲDLShinetal.2014Δyt=ρyt－1+θ+x+t－1+θ－x－t－1+∑p－1j=1φjΔyt－j+∑q－1j=0π+jΔx+t－j+π－jΔx－t－j+εt1xttkx+txtx－txtx+t=∑tj=1Δx+j=∑tj=1maxΔxj0x－j=∑tj=1Δx－j=∑tj=1minΔxj0xt=x0+x+t+x－t。xtyt20162、157m+h=∑hj=0yt+jx+tm－h=∑hj=0yt+jx－th=012．．．h→∞m+h→－^θ+^ρm－h→－^θ－^ρ。－^θ+^ρ－^θ－^ρxtyt^β+^β－。11θ+=θ－=θiπ+i=π－iii∑iπ+i=∑iπ－ii=0．．．q－12θ+=θ－=θ3π+i=π－ii=0．．．q－1ii∑iπ+i=∑iπ－i4。1。12013。Shadowt=α+δShadowt－1+βMONEt+βhGDPt+βhHouset+μt220051201412。Shadow。MONE。M2reporatedepositwind。GDPGDPGDPGDPHouse。wind。。5%01NAＲDL。NAＲDLM2、reporate、deposit12②。②、。15842811234PPPPρ－0.020.18－0.03＊＊0.04－0.06*0.07－0.21＊＊＊0.00β0.340.130.48＊＊＊0.00β+0.31＊＊＊0.000.33＊＊＊0.00β－－0.460.59－0.68＊＊＊0.00θs－74.850.53－78.550.5172.930.55－866.79＊＊＊0.00θg74.490.44324.28＊＊0.02－18.880.831102.95＊＊＊0.00Adj.Ｒ20.640.680.520.77AIC17.8717.6817.9617.41SIC18.2918.4118.2718.56Fpss1.380.268.66＊＊＊0.005.83＊＊＊0.0039.35＊＊＊0.00WLＲ1.660.2043.80＊＊＊0.00WSＲ43.43＊＊＊0.0085.87＊＊＊0.0011—4、、、NAＲDL2FpssWLＲWSＲWald3＊＊＊＊＊*1%5%10%。21234PPPPρ0.000.550.000.9697－0.05＊＊＊0.00－0.05＊＊＊0.00β3499.480.951914206.470.0951β+－22954.99＊＊0.011120.700.81β－－38873.52＊＊＊0.00－11454.34＊＊0.03θs－83.560.51－166.380.16－443.02＊＊0.01－354.39＊＊＊0.00θg20.600.8335.090.72544.30＊＊0.01195.19*0.04Adj.Ｒ20.410.360.500.48AIC18.1618.2418.1218.09SIC18.5518.5418.9418.59Fpss0.290.751.790.179.38＊＊＊0.006.76＊＊＊0.00WLＲ32.60＊＊＊0.0078.77＊＊＊0.00WSＲ11.30＊＊＊0.005.24＊＊0.021。14wald。14－0.680.33。20162、159Nelsonetal.2015。2。－11454.341120.702014BorioandZhu2012。。。。。2。296。。2。16042836。。84。。、。。。Chen1998。。riskt=β0+β1MtIIＲt≤γ+β2MtIIＲt＞γ+βxXt+et3risk、IＲ、M、X、、。γIIＲ≤γIＲt≤γI10IIＲ＞γ。。20、25、30。grow_Ｒhouse_Ｒ。③。。3331、2、320、25、30。③。20162、1613123house_Ｒ32.055828.8084－52.738342.336142.28＊＊＊51.252grow_Ｒ－33.5962＊＊＊4.9239－42.252＊＊＊6.7438－46.546＊＊＊8.4006MtIIＲt≤γ－142.4141＊＊＊21.6056－197.97＊＊＊28.127－238.38＊＊＊32.86MtIIＲt＞γ38.046033.921858.0743.01752.948943.934＊＊＊＊＊*1%5%10%。3。303.576%3.576%。。330。。。、。。。。。“”。16242812012《、》《》41～16。22014《———》《》216～29。32014《》《》591～105。42013《、、》《》382～92。5AdrianT.andH.S.Shin2009“PricesandQuantitiesintheMonetaryPolicyTransmissionMechanism”InternationalJournalOfCentralBanking54131－42.6BorioC.andH.B.Zhu2012“CapitalＲegulationＲisk－takingandMonetaryPolicyAMissingLinkintheTrans-missionMechanism”JournalofFinancialStability84236－251.7ChenC.W.1998“ABayesianAnalysisofGeneralizedThresholdAutoregressiveModels”Statistics＆probabilityletters40115－22.8CoverJ.P.1992“AsymmetricEffectsofPositiveandNegativeMoney－supplyShocks”QuarterlyJournalOfEconomics10741261－1282.9FinancialStabilibtyBoardFSB2013b“PolicyFrameworkforAddressingBankingＲisksinSecuritiesLendingandＲe-pos”FinancialStabilityBoard.10FunkeM.P.MihaylovskiandH.Zhu2015“MonetaryPolicyTransmissioninChina.ADSGEModelwithParallelShadowBankingandInterestＲateControl”BankofFinland5912－2611MazelisFalk2014“MonetaryPolicyEffectsonFinancialIntermediationviatheＲegulatedandtheShadowBankingSys-tems”SFB649DiscussionPaperNO.056.12MeeksＲ.B.NelsonandP.Alessandri.2013“ShadowBanksandMacroeconomicInstability”BankofItalyTemidiDiscussioneNo.939.13MishkinF.S.2010“WillMometaryPolicyBecomeMoreofScience”NBEＲNO.13566.14NelsonB.G.PinterandK.Theodoridis2015“DoContractionaryMonetaryPolicyShocksExpandShadowBanking”BankofEnglandNO.251.15ShinY.B.YuandM.Greenwood－Nimmo2014“ModellingAsymmetricCointegrationandDynamicMultipliersinaNonlinearAＲDLFramework”FestschriftinHonorofPeterSchmidt.Springer281－314.16VeronaF.M.F.MartinesandI.Drumond2011“MonetaryPolicyShocksinaDSGEModelwithaShadowBankSystem”CEF.UPWorkingPapersNO.1101.MonetaryPolicyShadowBankingandＲisk－takinginChinatheSurveyofAsymmetricEffectsHULiqinCHENＲuiBANＲuoyuEconomicsandManagementSchoolWuhanUniversityAbstractThispaperinvestigateswhetherthereareasymmetriceffectsbetweenmonetarypolicyshadowbank-ingandrisk－takinginChina.Wefindmonetarypolicydoesaffectshadowbankingsrisk－takingasymmetri-callyandthecomovementbetweenthetighteningmoneysupplyandthelowinterestrateinthemidandlongtermstrengthenstheshadowbankingsrisk－taking.Inadditiontheinvestmentofshadowbankingsystemhaschangedinthefieldoftherealestateandtheeconomicdownturnwillincreasetheriskclusteringofshadowbankingsystem．Forpolicyshadowbankingcanfunctionefficientlybyenhancingtheinterestratemechanismbroadeningthefinancingchannelsandbuildingacomprehensivemonitoringoftheshadowbankingplatform.KeywordsShadowBankingＲisk－takingAsymmetricEffectsLN