CAJ | 학술논문

本文在DNK—DSGE框架下引入了包含影子银行的金融中介部门，将影子银行视为商业银行信贷投放体系在高风险领域的延伸，并探究了该中介体系对于货币政策传导有效性的影响。本文的研究发现，正向的利率）中击虽然抑制了商业银行信贷并降低了低风险企业的杠杆，却引起影子银行体系的扩张以及高风险企业的加杠杆行为，负向的利率冲击则恰好相反。影子银行呈现明显的逆周期特征，在对传统间接融资体系形成有益补充的同时，也削弱了货币政策的有效性。此外，影子银行经营者的风险偏好以及经营者、所有者之间的代理问题会对影子银行利率和宏观经济变量产生明显的影响。
본문재DNK—DSGE광가하인입료포함영자은행적금융중개부문，장영자은행시위상업은행신대투방체계재고풍험영역적연신，병탐구료해중개체계대우화폐정책전도유효성적영향。본문적연구발현，정향적리솔）중격수연억제료상업은행신대병강저료저풍험기업적강간，각인기영자은행체계적확장이급고풍험기업적가강간행위，부향적리솔충격칙흡호상반。영자은행정현명현적역주기특정，재대전통간접융자체계형성유익보충적동시，야삭약료화폐정책적유효성。차외，영자은행경영자적풍험편호이급경영자、소유자지간적대리문제회대영자은행리솔화굉관경제변양산생명현적영향。
This paper incorporates a shadow banking sector, which plays an essential role in high risk credit market, in a DNK-DSGE framework. We argue that Chinese shadow banking system is just an extension of conventional commercial banking system, and study how such financial system affects the effectiveness of monetary policy transmission. We find that after a positive interest rate shock, commercial banking system is depressed and low risk firms reduce their leverage ratios. Nevertheless, shadow banks expand their credit to high risk firms under such contraction environment. After a negative interest rate shock, the opposite is just true. Although shadow banking system plays a complementary role in financial intermediaries sector, its countercyclical behavior means that it may weaken the effectiveness of monetary policy. In addition, risk appetites of shadow bankers and agency problem will affect shadow bank interest rate and other macrovariables significantly.