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影子银行、刚性兑付与宏观审慎政策——基于GK框架的拓展分析
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TitleShadow Banking,Rigid Payment and Macro Prudential Policy:Based on GK Framework Extension Analysis  
作者李建强 袁佳 魏磊  
AuthorLi Jianqiang,Yuan Jia and Wei Lei  
作者单位中国人民银行金融研究所;中国人民银行研究局 
OrganizationFinance Institute, People Bank of China;Research Bureau, People Bank of China 
作者Emailljianqiang@pbc.gov.cn;yjia@pbc.gov.cn;weilei@pbc.gov.cn 
中文关键词影子银行 刚性兑付 宏观审慎 
Key WordsShadow Banking; Rigid Payment; Macro Prudential 
内容提要近年来,影子银行发展迅速,在满足居民财富管理需求、优化社会融资结构、支持实体经济等方面发挥积极作用的同时,也逐渐暴露出一些潜在风险,其中,刚性兑付问题尤为引人关注。本文在GK框架中引入影子银行,讨论刚性兑付风险机制,评估表外资产纳入宏观审慎框架效果。研究发现:第一,影子银行削弱了货币政策有效性,特别是紧缩货币政策降低传统信贷规模的同时,推动影子银行资产扩张,引发流动性“水床效应”;第二,刚性兑付推高了无风险市场利率,扭曲了金融市场定价机制,一定程度上降低金融市场稳健与脆弱的临界点,增加了金融脆弱性和金融监管难度;第三,将表外资产纳入银行资本金要求的宏观审慎政策,明显提升逆周期调控效果,有效缓解风险冲击下流动性枯竭造成金融杠杆高企,引发资产恐慌抛售造成负反馈循环迹象;第四,“逆风向而行”资本充足率调控还远远不够,打破刚性兑付重要性不亚于宏观审慎政策工具箱丰富和完善,有序打破刚性兑付也是宏观审慎政策框架构建的重要组成部分。 
AbstractIn recent years, shadow banking in our country has been developing rapidly, which has played a positive role in meeting the demand of residents' wealth management,optimizing the structure of social financing and supporting the real economy. But at the same time, some of its potential risks have exposed gradually, the rigid payment problem is particularly noteworthy. This paper introduces shadow banking into the framework of Gertler and Kiyotaki(2011) to discuss the mechanism of rigid payment risk and evaluate the effect of off-balance-sheet assets in macro prudential framework. The results show that: Firstly, the shadow banking weaken the effectiveness of monetary policy, especially the tight monetary policy reducing the traditional credit scale at the same time, promoting the shadow banking assets expansion, and causing liquidity "water bed effect"; Secondly, rigid payment pushes up the risk-free market interest rates, distorts financial market pricing mechanism, to a certain extent reduces the critical point of robust and fragile of financial markets, increases the financial fragility and the difficulty of financial regulation; Thirdly, the introducing off-balance-sheet assets into the the bank capital requirements of macro-prudential policy significantly improves the inverse cycle regulation effect, through effectively alleviating the liquidity exhaustion and the high financial leverage caused by the risk to triggered the negative feedback loop of asset panic selling; Fourthly, “lean against the wind” capital adequacy regulation is not enough and the importance of breaking rigid payment is no less than the richness and perfection of the macro prudential policy toolbox. Therefore the orderly breaking rigid payment is also an important component of the macro prudential policy framework. 
文章编号WP1370 
登载时间2019-05-21 
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