【作者】 于菁；

【导师】 杜金富；

【作者基本信息】 东北财经大学 ， 金融学， 2013， 博士

【摘要】 “影子银行”是在2007年美国次贷危机爆发之后出现的一个新名词,学者们在研究危机爆发的根源时,发现这一游离于监管之外的“灰色地带”是诱发危机的重要因素之一,影子银行问题迅速引起了全球的关注,成为国内外学术界研究的重点领域。随着中国金融体系不断完善,金融总量不断扩大,金融多元化发展,金融综合化经营的趋势日益明显,传统的融资格局发生了深刻的变化,人民币贷款占社会融资规模的比重不断下降,到2011年仅为53.7%,说明银行体系之外的融资渠道已经在社会融资中发挥越来越重要的作用。中国影子银行主要以商业银行的理财产品、委托贷款、信托贷款、证券公司和基金公司的理财业务,以及大量的非银行金融中介机构为主,主要充当储蓄转投资的中介角色,发挥着与银行类似的融资功能,是银行信贷的替代或补充。影子银行已经成为影响宏微观经济运行的重要因素,主要表现在两个方面：首先,影子银行解决了部分企业或行业资金供给不足的问题,特别是对中小企业和“三农”问题提供了的融资支持,但同时房地产、“两高一低”等部分受限制行业也通过影子银行获得了发展资金,影响经济结构调整优化。其次,影子银行部分金融工具和产品已经具有“货币”的特征,创造了广义流动性,但由于影子银行游离于金融监管之外,不受中央银行货币政策调控的限制,削弱了银行信贷渠道在货币政策传导中的作用。鉴于影子银行对宏观经济的影响可能带来的不确定性,已经引起了金融管理部门的高度重视,2011年5月中国银监会主席刘明康将影子银行作为重点防控风险之一,中国人民银行也将社会融资规模作为货币政策的观测指标,意在将影子银行纳入宏观监测范围。基于以上背景,本文选择将中国影子银行对宏观经济影响的作用机理作为研究对象,在梳理相关理论和文献的基础上,分析了中国影子银行的发展历程、态势、原因、监管现状及其存在的问题,从理论上说明中国影子银行对经济增长、货币政策和风险传导的作用机理,并利用实证分析检验影子银行对宏观经济指标的影响,然后梳理并分析国外影子银行的监管改革措施及值得我国借鉴的经验,在此基础上提出了相关的政策和建议。本文分为八部分,主要内容及章节安排如下：第一章,引言。阐述本课题的研究背景与意义、中国影子银行的概念界定,说明本课题研究框架与方法,并指出本文研究的创新之处和不足。第二章,相关理论与研究成果综述。本文从金融中介、金融发展、金融自由化、金融监管等相关理论入手,为选题提供理论支持；并对影子银行问题研究的相关文献进行综述,把握国内外的研究进展。第三章,中国影子银行的发展状况。在分析中国影子发展历程和态势的基础上,说明中国影子银行产生的原因,并进一步分析中国影子银行的监管现状与存在的问题。第四章,影子银行对宏观经济影响的作用机理。在对影子银行的运行机制进行说明的基础上,从货币政策、经济增长和风险传导三个角度说明影子银行对宏观经济影响的作用机理。第五章,影子银行对宏观经济影响的实证分析。通过构建Var模型,利用动态相关性分析、格兰杰因果检验、协整分析、脉冲响应和方差分解的方法分析中国影子银行对国内生产总值、通货膨胀和货币供应量的影响,并得出相关结论。第六章,国外影子银行监管改革的经验借鉴。金融危机以来,部分发达国家和国际组织提出了针对影子银行的监管改革的方案,本章分析美国、英国、欧盟和金融稳定委员会对影子银行监管的措施并进行评价,归纳值得中国影子银行监管借鉴的经验。第七章,完善中国影子银行管理的对策与建议。结合上文的分析,从改革和完善货币政策框架、构建中国影子银行监管机制的两个角度提出相关的对策与建议。第八章,结论及进一步研究展望。本文应用规范和实证相结合的方法研究了中国影子银行对宏观经济影响的作用机理,得出以下结论：1.中国影子银行对宏观经济的影响主要表现在三个方面：一是中国影子银行能够使社会剩余资金聚集、加速资金流动、提高资金的使用效率对经济增长产生积极的影响,但是其低交易成本导致的风险承担过度却对经济增长产生了负面的影响；二是影子银行通过对银行货币乘数的干扰作用以及其自身的信用创造机制,影响传统的货币供给创造机制,从而削弱了货币政策的调控效果；三是影子银行的风险主要是由表外信贷规模大且缺乏监管、融资成本高和期限错配问题引起的,目前中国影子银行处于风险积累阶段,风险总体可控。2.影子银行对宏观经济影响的实证研究结果表明,影子银行与国内生产总值、通货膨胀和货币供应量之间具有稳定的协整关系,并且影子银行是导致经济增长、物价变动和货币供应量变化的原因,影子银行对宏观经济的影响显著,表现为：短期内导致实际货币供应量的变化,并对物价稳定造成剧烈冲击,长期来看对经济增长具有促进作用。3.金融危机后国外影子银行监管改革的经验表明,要在金融发展的视角下客观的评价影子银行体系,将影子银行纳入金融监管,构建宏观审慎与微观审慎相结合的监管体系。宏观上注重宏观审慎监管与系统性的风险防范,微观方面也要从证券化活动、信息披露机制、降低与银行的关联度等方面加强对影子银行的监管。4.客观地评价中国影子银行对宏观经济的影响,要认识到其存在正反两方面的作用。目前,中国影子银行的规模较小,风险总体可控,主要以积极的影响为主。鉴于其负面的影响主要是由其不受金融监管所致,因此,要趋利避害缓解中国影子银行带来的问题,应当完善对影子银行的管理。本文的创新之处包括：一是界定了中国影子银行的定义。虽然国内外学者从不同角度界定了影子银行,但是,至今没有统一的定义。本文从功能、监管程度、表现形式和合法性的角度对中国影子银行的定义进行界定,分三个层次说明了中国影子银行的外延。二是从宏观视角对中国影子银行整体进行研究。已有对影子银行研究的文献大多是针对发达国家影子银行体系的研究,对中国影子银行的研究很少,并且多数停留在对影子银行定义、特征分析的层面,或者针对其某一构成部分的影子银行性质的辨析,研究层次较浅,很少将中国影子银行作为整体的深入研究。三是系统的分析了中国影子银行对宏观经济影响的作用机理,从经济发展、货币政策和风险的角度对影子银行的作用机理进行阐述,并对影子银行的宏观经济影响进行了实证分析,在一定程度上补充了对影子银行问题的理论和实证研究。本文的不足之处在于：一是从实证的角度分析了影子银行对物价稳定的影响,没有从理论角度分析其作用机理。二是在进行实证研究时,受基础数据的限制,选择的代理变量不能完全代表影子银行发展的趋势,因此,无法进行完整的分析,实证分析所得的结论可能不够全面,将来的研究有改进的空间。更多还原

【Abstract】 "Shadow banking" is a new term after the outbreak of the U.S. subprime crisis in2007. When studying the root of the crisis, we find that this "gray zone" alienated from the supervision is the culprit to promote the crisis. Shadow banking problems quickly catch the global attention and have become the focus of the academic field at home and abroad. With the financial system in China constantly improving and financial volumes increasingly expanding, the financial structure displays a diversified development. The trend of financial integrated management has become increasingly apparent and the traditional financial patterns have undergone the profound changes. The proportion of the RMB loans accounting for the scale of social financing is declining, only53.7%in2011. The financing channels outside the banking system play an increasingly important role in the social financing.China’s shadow banks mainly consist of the wealth management products of commercial banks, entrusted loans, trust loans, wealth management business of securities companies and fund companies, as well as a large number of non-bank financial intermediaries. At present, China’s shadow banking mainly acts as an intermediary role that transports savings to investment, the similar function to the bank financing. It becomes an alternative or complementary of the banking credit system, and becomes an important factor to affect the macro and micro economic operation, mainly manifested in two aspects: China’s shadow banking solves the problem of insufficient funds supply for some corporates or industries, especially providing the financial support for the small and medium-sized enterprises, and the "Three Rural Issues". Meanwhile, some restrained industries, such as the real estate and "two high and one low" industries, obtain the financial support through the shadow banking, impacting the optimal adjustment of economic structure. In addition, parts of the shadow banking products have the characteristics of the currency, creating the generalized mobility. But due to the fact that shadow banking drifts away from the financial regulatory and is not subject to the limitation of monetary policy adjustment of the central bank, it weakens the role of the bank credit channel in the monetary policy transmission. As an important factor affecting the effect of macro-control, shadow banking may bring the uncertainty to the economic development. China’s shadow banking has attracted high attention of the financial management departments.Thus on May2011, China’s Banking Regulatory Commission Chairman Liu Mingkang put the shadow banking as one main risk to prevent. The People’s Bank of China also treated the social financing scale as the observation of the monetary policy to bring the shadow banking into the macro-monitoring scope.Under the above background, it selects the mechanism of China’s shadow banking as the research object. Based on the related theories and literatures, it analyzes the development course, the status, the reasons, the regulatory status and the problems of China’s shadow banking. Afterwards, it also analyzes its impact on the economic growth, the mechanism of monetary policy and risk conduction, and tests the impact on macroeconomic indicators using empirical analysis. According to the regulatory reform measures and valuable experience of foreign shadow banking, it proposes the relating policies and recommendations. The dissertation is divided into eight parts, and the main content and chapter is organized as follows.Chapter one is the introduction. The chapter describes the background and significance, the definition of the shadow banking, the research framework and methods, and points out the innovations and shortcomings of the study.Chapter two is the overview of relevant theory and literatures. The chapter starts from the relating theories on the financial intermediation, financial development, financial liberalization and financial regulation and so on, providing the theoretical support for the research object. Then it reviews and comments the relevant literatures on shadow banking to seize the domestic and foreign research progress.Chapter three is the development status of China’s shadow banking. Based on the analysis of the development and trend of China’s shadow banking, it explains the causes of its existing, and shows the problems of regulatory status quos of shadow banking.Chapter four is the mechanism of the impacts of the shadow banking on monetary policies. Based on the operating mechanism of shadow banking at home and aboard, it explains the mechanism of shadow banking from monetary policy, economic growth and the risk conduction three perspectives.Chapter five is the empirical analysis of the impacts of the shadow banking on monetary policies. By building the VAR model, it respectively uses the dynamic correlation analysis, Granger causality test, co-integration analysis, impulse response and variance decomposition to empirically analyze the impact of shadow banking on the macro-economy and makes some conclusions.Chapter six is the experience references on the supervision reform from foreign shadow banks. Some developed countries and international organizations have proposed the regulation and reform schemes for the shadow banking since the financial crisis. It analyzes the supervision measures on shadow banking of the United States, the United Kingdom, the European Union and the Financial Stability Committee and evaluates the existing reform to summarize some useful experience on the shadow banking supervision.Chapter seven is the countermeasures and suggestions. It puts forward the countermeasures and suggestions from improving the monetary policy framework and building the regulatory mechanism of shadow banking two perspectives combined with the above analysis.Chapter eight is the conclusions and the further research prospects.It gives the following conclusions according to the research on the mechanism of Chinese shadow banks from the normative and empirical analysis.The impacts of Chinese shadow banks on macro-economy are mainly in three aspects. First, Chinese shadow banks are able to assemble the social surplus funds accelerate the capital flow, improve the positive impact of the efficiency in the use of funds on the economic growth. However, its low transaction costs lead to excessive risk has a negative effect on the economic growth. Secondly, the shadow banks interfere the banking money multipliers and their own credit creation mechanism, affecting the traditional money supply creation mechanism and weakening the regulation effects of monetary policies. Thirdly, the risk of shadow banking is mainly caused by the larger credit size of the Off-balance-sheet (OBS), lack of supervision, higher financing costs and maturity mismatch risk. Currently, China’s shadow banks are in the risk accumulation phase with the controllable overall risk.The empirical results on the impact of shadow banks on macro-economy show that there is a stable co-integration relationship between the shadow banks, gross domestic product (GDP), inflation and monetary supply and the shadow banks lead to the economic growth, the changes of price and currency supplies. The shadow banks create the significant impacts on the macro-economy. They include the changes in the real money supplies in the short-term, resulting in the severe shocks in the price stability and promoting the economic growth in the long term.It recognizes both the positive and negative roles from the objective evaluation on the impact of Chinese shadow banks on the macro-economy. China’s shadow banking size is smaller and the overall risk is controlled with mainly positive impact. In view of the fact that its negative impact is mainly due to its not subject to the financial regulation, therefore it should seek advantages and avoid disadvantages to alleviate the problems brought by the Chinese shadow banks and improve the management of the shadow banking.The innovations of this dissertation are as follows.First, it defines the shadow banking. Although the domestic and foreign scholars define the shadow banking from different angles, there has been no unified definition. It defines the concept of China’s shadow banking from the function, the extent of supervision, manifestations, and the point of view of legitimacy and introduces the extension of China’s shadow banking from three levels.Secondly, from a macro perspective, it studies Chinese shadow banking as a whole. While the existing literature on the shadow banking is more involving the shadow banking system in developed countries, a small number of domestic studies on China’s shadow banking still mainly refer to the definition of shadow banking, the level of characterized analysis, or the nature of shadow banking from one component. It rarely explores Chinese shadow banks as a whole, lacking the in-depth study.Thirdly, it gives the systematic analysis of the impact mechanism of Chinese shadow banking on the macro-economy and describes the mechanism of the shadow banking from economic development, monetary policies and risk perspectives. Moreover, it conducts an empirical analysis of the macroeconomic impact of the shadow banking, expanding the research field of the shadow banking issues from the theoretical and empirical point of views.The shortcomings of this dissertation are as follows.First, it only analyzes the impact of shadow banking on the inflation from the empirical perspective, lacking the theoretical analysis of the mechanism.Secondly, when conducting the empirical research, it is subject to the limitations of the underlying data and the selected proxy variables and cannot fully represent the development trend of the shadow banking. Therefore, it may not conclude the comprehensive empirical results with a complete analysis and there is room for the improvement in the future research.更多还原