Shadow banking activity and entrusted loans in a DSGE model of China
Shadow banking activity and entrusted loans in a DSGE model of China
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DOI：
10.1111/manc.12319
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发表时间：
2020-05-24
影响因子：
1.1
通讯作者：
Zhou, Peng
中科院分区：
文献类型：
--
作者：
Wang, Chaowei;Mai Le, Vo Phuong;Zhou, Peng
本文考察了国有企业的高风险贷款活动如何影响影子银行部门的中国货币和财政政策的有效性。我们建立了一个动态随机一般均衡（DSGE）宏观经济模型，其中包含两个生产部门，国有企业可以从商业银行（也主要是国有的）获得低成本资金，并以委托贷款的形式向私营部门转贷。贝叶斯估计的结果表明，对银行信贷的更高限制促使国有企业以这种形式参与更多的影子银行，从而抑制了紧缩性货币政策的有效性。扩张性财政政策增加了产出，但挤出了私人投资，这可能进一步耗尽金融市场，对中国经济产生不利影响。
This paper examines how the risky lending activities of the state-owned enterprises (SOEs) affect the effectiveness of monetary and fiscal policy in China with a shadow banking sector. We develop a dynamic stochastic general equilibrium (DSGE) macroeconomic model with two production sectors, where the SOEs have access to low cost funds from the commercial banks (also mainly state-owned) and on-lend to the private sector in the form of entrusted loans. The Bayesian estimation results show that higher restrictions on bank credit push SOEs to engage in more shadow banking in this form which dampens the effectiveness of contractionary monetary policy. Expansionary fiscal policy increases output, but crowds out private investment, which can further drain the financial market and exert a detrimental effect on the Chinese economy.