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Shadow Banking and the Chinese Economy: A Micro to Macro Modelling Framework

影子银行与中国经济：微观到宏观的模型框架

基本信息

批准号：
ES/P004199/1
负责人：
Kent Matthews
金额：
$ 33.76万
依托单位：
CARDIFF UNIVERSITY
依托单位国家：
英国
项目类别：
Research Grant
财政年份：
2017
资助国家：
英国
起止时间：
2017 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FP004199%2F1
关键词：
Shadow Banking Chinese Economy Micro

项目摘要

The Chinese financial system has served the Chinese economy well in the early stages of development in channelling domestic savings to domestic investment. But, continued financial repression, along with a growing middle class and ageing population has created pressure on savings to 'search for yield'. At the same time, the dominance of lending to state-owned-enterprises, political constraints, inefficiencies and weak risk management practice by financial institutions (FI) have pushed SMEs to alternative sources of funding. The demand for yield from savers and funds from private investment has been met by the rapid growth in shadow banking. This study encompasses two of the identified themes of the research call. The research theme 'alternative strategies for reform and liberalisation' covers the role of the Shadow Bank system in the credit intermediation process. This research is of critical importance because it informs the macroeconomic research necessary for investigating 'the role of the Chinese financial system in sustaining economic growth'. Addressing the first research theme we take a dual track approach to better understand the role of the financial system in sustaining in economic growth.The first track examines the role of bank and non-bank finance in promoting long-term economic growth at the regional level. The second track is aimed at the more short-term issue of identifying the potential frequency of macro-economic crises generated by a banking crisis. The finance-growth nexus is a well-established area of economic development, however the China experience questions the supposition that financial development is a necessary precondition. The empirical findings are mixed. Part of the reason for this could be the failure to distinguish between the quality of financial institutions across regions, and the openness of the local environment in terms of the balance between private and public enterprises. Our research would build on the existing literature in two ways. First, it would utilise imperfect but available data on informal finance to examine direct and spill-over effects on medium term growth from contiguous provinces. Second, primary data on the geographic dimension in shadow bank lending gleaned from Theme 2 research will be used to design a weighting system to adjust financial flows for the quality of the local financial environment. The second prong will develop a small macroeconomic model of a hybrid DSGE type that incorporates a banking sector including shadow banks. Such models have been developed for China in recent times but only a few have attempted to incorporate a banking sector.These models are mostly calibrated versions and make no attempt to test the structure against the data. Recent attempts to test a hybrid New Keynesian-RBC DSGE type model for the Chinese economy using the method of indirect inference have been successful and inclusion of a shadow banks have shown some success. The results of the Theme 2 study will inform the development of a fuller shadow banking sector in the macroeconomic model that will be used to estimate the frequency of economic crises generated by bank crises. Theme 2 research will examine the relationship between the banking system and the shadow banking system as complements or substitutes. It will aim to determine the variable interest rate on the P2P online lending platform on the basis of risk-return, the home bias in online investments, and the signalling and screening in the P2P online lending platform. Finally, it will aim to identify the impact of shadow banking on entrepreneurial activity, the industrial growth rate and regional housing investment and price differentials. These results would inform the theme 1 research on the interconnectedness of shadow banking with the mainstream and the fragility of the financial system to shocks and financial crises.

中国的金融体系在中国经济发展的早期阶段发挥了很好的作用，将国内储蓄引导到国内投资。但是，持续的金融抑制，沿着不断壮大的中产阶级和老龄化的人口，给储蓄带来了“寻求收益”的压力。与此同时，向国有企业贷款的主导地位、政治限制、金融机构的低效率和薄弱的风险管理做法迫使中小企业寻求其他资金来源。影子银行的快速增长满足了储户和私人投资资金对收益的需求。这项研究包括两个确定的主题的研究电话。研究主题“改革和自由化的替代策略”涵盖影子银行系统在信贷中介过程中的作用。这项研究是至关重要的，因为它为调查“中国金融体系在维持经济增长中的作用”所必需的宏观经济研究提供了信息。针对第一个研究主题，我们采取双轨方法，以更好地了解金融体系在维持经济增长中的作用。第一个轨道考察银行和非银行金融在促进区域层面长期经济增长中的作用。第二条轨道针对的是更短期的问题，即确定银行业危机引发宏观经济危机的潜在频率。金融-增长关系是经济发展的一个公认领域，但中国的经验对金融发展是必要前提的假设提出了质疑。实证结果好坏参半。造成这种情况的部分原因可能是未能区分各地区金融机构的质量，以及当地环境在私营企业和公共企业之间的平衡方面的开放性。我们的研究将以两种方式建立在现有文献的基础上。首先，它将利用不完善但可用的非正规金融数据来研究相邻省份对中期增长的直接和溢出效应。第二，从主题2研究中收集的影子银行贷款的地理维度的原始数据将用于设计一个加权系统，以根据当地金融环境的质量调整资金流动。第二步是开发一个小型的混合DSGE宏观经济模型，其中包括影子银行在内的银行业。近年来，已经为中国开发了这样的模型，但只有少数几个模型试图纳入银行业。这些模型大多是校准版本，并没有试图根据数据测试结构。最近尝试使用间接推理方法测试中国经济的混合新凯恩斯主义-RBC DSGE类型模型已经取得成功，并且将影子银行纳入其中也取得了一定的成功。主题2研究的结果将为在宏观经济模型中发展更全面的影子银行部门提供信息，该模型将用于估计银行危机引发的经济危机的频率。主题2研究银行体系和影子银行体系之间的互补或替代关系。其目的是根据风险回报、在线投资的本土偏好以及P2P在线借贷平台的信号和筛选来确定P2P在线借贷平台的可变利率。最后，它将旨在确定影子银行对创业活动、工业增长率、区域住房投资和价格差异的影响。这些结果将为关于影子银行与主流银行的相互联系以及金融体系对冲击和金融危机的脆弱性的主题1研究提供信息。