宏观杠杆率、影子银行规模与银行体系稳定性——基于TVP-VAR模型的实证研究

“去杠杆”、“强监管”和“防风险”是新时期经济社会发展中的关键任务。本文选取2010-2018年季度数据构建微观审慎监管视角下的银行体系稳定性指数,分析检验我国宏观杠杆率、影子银行规模对银行体系稳定性的时变影响机制。研究显示:我国银行体系稳定性总体呈震荡向下趋势,由稳定阶段逐渐转向当前高度不稳定阶段。进一步地,采用时变参数向量自回归模型(TVP-VAR)实证研究发现:我国宏观杠杆率与影子银行规模对银行体系稳定性的冲击响应具有时变特征和时滞效应。宏观杠杆率与影子银行规模之间存在相互促进的非线性动态关系,二者叠加会对银行体系产生不利冲击。中长期内,宏观杠杆率过快攀升会加重银行体系不稳定,杠杆率适度波动一定程度上有利于银行体系稳定;短中期内,影子银行的适当扩张给稳定银行体系产生积极影响,但过度膨胀会形成长期持久的负向冲击。鉴于此,现阶段我国应加强经济去杠杆、影子银行监管及银行风险防范多重政策目标之间的有效协同,以维护金融体系稳定。

Macro Leverage Ratio,Shadow Banking Scale and Banking System Stability:An Empirical Study based on TVP-VAR Model

“Deleveraging”,“strong supervision”and“risk prevention”are the key tasks in the economic and social development in the new era.This paper selects the quarterly data of 2010-2018 to construct the banking system stability index from the perspective of micro prudential regulation,and analyzes and tests the time-varying impact mechanism of China′s macro leverage ratio and shadow bank scale on the banking system stability.The research shows that the overall stability of China′s banking system shows a downward trend of shocks,from the stable stage to the current highly unstable stage.Furthermore,the empirical study of TVP-VAR shows that the impact response of macro leverage ratio and shadow bank scale on the stability of banking system has time-varying characteristics and time lag effect.There is a non-linear dynamic relationship between macro leverage and shadow banking scale,and the combination of them will have an adverse impact on the banking system.In the medium and long term,the excessive rise of macro leverage will aggravate the instability of the banking system,and the moderate fluctuation of leverage will be conducive to the stability of the banking system to a certain extent;in the short and medium term,the appropriate expansion of shadow banks will have a positive impact on the stability of the banking system,but the excessive expansion will form a long-term negative impact.In view of this,at this stage,China should strengthen the effective coordination among the multiple policy objectives of economic deleveraging,shadow banking supervision and bank risk prevention in order to maintain the stability of the financial system.