本文選題：DSGE模型 + 影子銀行　； 參考：《華中師范大學(xué)》2017年碩士論文

【摘要】：2008年金融危機(jī)爆發(fā)以后,影子銀行的概念被提出并被廣泛使用,影子銀行問題也成為世界關(guān)注的焦點(diǎn)。近幾年來,影子銀行在我國(guó)發(fā)展迅猛,成為我國(guó)金融系統(tǒng)的重要組成部分。由于我國(guó)經(jīng)濟(jì)和金融體系的發(fā)展程度與發(fā)達(dá)國(guó)家相比有較大差距,我國(guó)的影子銀行主要存在兩個(gè)特點(diǎn),一是高度依賴商業(yè)銀行發(fā)揮信用中介功能,這使得它呈現(xiàn)顯著的“商業(yè)銀行核心”特征,是商業(yè)銀行系統(tǒng)的“影子”;二是由于產(chǎn)品結(jié)構(gòu)相對(duì)簡(jiǎn)單,且在設(shè)計(jì)和承銷過程中有商業(yè)銀行的參與,投資者認(rèn)為這些產(chǎn)品是安全的,但事實(shí)上影子銀行規(guī)模的持續(xù)膨脹抬升了經(jīng)濟(jì)整體杠桿率,加大了金融體系的風(fēng)險(xiǎn)和宏觀經(jīng)濟(jì)的不穩(wěn)定性。目前大多數(shù)學(xué)者在研究金融中介機(jī)構(gòu)在信貸供給機(jī)制所扮演的角色時(shí)僅僅用銀行部門來代表整個(gè)金融系統(tǒng),忽略了影子銀行的作用(如 Gertler Kioytachi(2011)、Gerali(2010)和 Dib(2010)),開展實(shí)證檢驗(yàn)的研究更是少之又少�；谏鲜霰尘�,本文在總結(jié)2006-2016年間中國(guó)影子銀行體系發(fā)展階段及特征的基礎(chǔ)上,研究了中國(guó)“商業(yè)銀行核心”的影子銀行。文章從商業(yè)銀行從事影子銀行業(yè)務(wù)以規(guī)避資產(chǎn)規(guī)模約束和進(jìn)行監(jiān)管套利的假設(shè)出發(fā),在DSGE模型的基礎(chǔ)上建立了以商業(yè)銀行、影子銀行、家庭、中間品生產(chǎn)商和資本生產(chǎn)商為主體的影子銀行體系,并基于此對(duì)商業(yè)銀行與影子銀行間的互動(dòng)機(jī)制及其經(jīng)濟(jì)后果進(jìn)行了剖析。模型的模擬結(jié)果顯示,道德風(fēng)險(xiǎn)和信息不對(duì)稱促使商業(yè)銀行和影子銀行合作,商業(yè)銀行通過影子銀行將部分資產(chǎn)轉(zhuǎn)移到表外,降低了自身風(fēng)險(xiǎn)資產(chǎn)的比重,放松了存貸比等指標(biāo)造成的流動(dòng)性約束,增強(qiáng)其自身繼續(xù)發(fā)放貸款的能力,進(jìn)而產(chǎn)生了監(jiān)管套利(Regulatory Arbitrage)現(xiàn)象。在宏觀經(jīng)濟(jì)周期運(yùn)行與貨幣政策的雙重驅(qū)動(dòng)下,本文所述機(jī)制與危機(jī)時(shí)期的市場(chǎng)表現(xiàn)擬合較好,為中國(guó)影子銀行2010-2013年間的爆炸式增長(zhǎng)和2014年-2015年的收縮和2016年以來的反彈提供了解釋,研究同時(shí)顯示,盡管影子銀行有助于彌補(bǔ)經(jīng)濟(jì)波動(dòng)時(shí)期的融資供需缺口,但它也部分對(duì)沖了貨幣政策和審慎性監(jiān)管的有效性,引致金融體系風(fēng)險(xiǎn)聚集。
[Abstract]:After the financial crisis broke out in 2008, the concept of shadow banking was put forward and widely used. In recent years, shadow banking has developed rapidly in China and become an important part of our financial system. As the development of our country's economic and financial system is far from that of developed countries, there are two main characteristics of shadow banking in our country. One is that commercial banks are highly dependent on commercial banks to play the role of credit intermediary. This makes it show significant "commercial bank core" characteristics, is the "shadow" of the commercial banking system; second, because the product structure is relatively simple, and in the design and underwriting process with the participation of commercial banks, Investors believe these products are safe, but in fact the continued expansion of shadow banking has boosted the overall leverage of the economy, increased the risks to the financial system and increased macroeconomic instability. At present, when most scholars study the role of financial intermediaries in the credit supply mechanism, they only use the banking sector to represent the entire financial system. The role of shadow banks (such as Gertler Kioytachin 2011 / 2010) and Dibheng 2010 are ignored, and the research on empirical testing is even less. Based on the above background, based on the summary of the development stage and characteristics of China's shadow banking system from 2006 to 2016, this paper studies the shadow banking in the core of China's commercial banks. Based on the assumption that commercial banks engage in shadow banking in order to circumvent the constraint of asset size and carry out regulatory arbitrage, the paper establishes commercial banks, shadow banks and families on the basis of DSGE model. This paper analyzes the interaction mechanism and economic consequences between commercial banks and shadow banks based on the shadow banking system in which intermediate product producers and capital producers are the main body. The simulation results of the model show that moral hazard and information asymmetry urge commercial banks to cooperate with shadow banks, and commercial banks transfer some assets to off-balance sheet through shadow banks, thus reducing the proportion of their own risky assets. The liquidity constraints caused by such indicators as deposit to loan ratio are relaxed, and the ability of its own to continue to make loans is enhanced, which leads to the phenomenon of regulatory arbitrage. Driven by both the macroeconomic cycle and monetary policy, the mechanism described in this paper fits well with the market performance during the crisis. While providing an explanation for the explosive growth of China's shadow banks between 2010-2013 and the contraction of 2014-2015 and the rebound since 2016, the study also shows that while shadow banking has helped to bridge the gap between supply and demand for financing during periods of economic volatility, But it also partly hedges the effectiveness of monetary policy and prudential regulation, leading to a build-up of risks in the financial system.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.3;F124

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