China's market economy, shadow banking and the frequency of growth slowdown
China's market economy, shadow banking and the frequency of growth slowdown
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DOI：
10.1111/manc.12318
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发表时间：
2020-05-07
影响因子：
1.1
通讯作者：
Xiao, Zhiguo
中科院分区：
文献类型：
--
作者：
Le, Vo Phuong Mai;Matthews, Kent;Xiao, Zhiguo
近年来，影子银行在中国的活动一直是人们相当感兴趣的话题。影子银行贷款总额已达到GDP的60%以上，增长速度快于常规银行贷款。有人认为，不受监管的影子银行助长了信贷繁荣，对金融体系的稳定构成了风险。本文使用DSGE框架估算了一个中国经济模型，该模型适用于银行业，该银行业将包括影子银行贷款在内的私人部门贷款的影响隔离开来。该模型的改进允许银行贷款，包括影子银行的贷款，以影响私人投资的信贷溢价。主要结论是，虽然金融冲击是重大的，但占主导地位的是真实的冲击。该模型用于模拟中国增长放缓的频率，并得出结论，这些更有可能是由真实的部门冲击，而不是金融部门，包括影子银行冲击。与其他应用不同的是，本文使用间接推断来测试拟合模型对通货膨胀，产出缺口和利率的三个方程VAR。
The activity of the Shadow Banks in China has been the subject of considerable interest in recent years. Total shadow banking lending has reached over 60% of GDP and has grown faster than regular bank lending. It has been argued that unregulated shadow banking has fuelled a credit boom that poses a risk to the stability of the financial system. This paper estimates a model of the Chinese economy using a DSGE framework that accommodates a banking sector that isolates the effects of lending to the private sector including shadow bank lending. A refinement of the model allows for bank lending including lending by the shadow banks to affect the credit premium on private investment. The main finding is that while financial shocks are significant, it is real shocks that dominate. The model is used to simulate the frequency of growth slowdowns in China and concludes that these are more likely to be driven by real sector shocks rather than financial sector, including shadow bank shocks. This paper differs from other applications in its use of indirect inference to test the fitted model against a three-equation VAR of inflation, output gap and interest rate.