市场与监管双重约束下的监管套利、影子银行与金融稳定——基于动态随机一般均衡的分析

本课题的研究将市场约束和监管约束相结合，构建包含商业银行部门和影子银行部门的动态随机一般均衡模型（Dynamic Stochastic General Equilibrium Model，简称DSGE model），考察商业银行和影子银行间基于监管套利和风险分担机制的互动反馈机理以及金融机构资产配置和信贷行为的动态调整规律，仿真推衍其宏微观金融经济影响，并进一步据此讨论最优金融监管政策设计问题。立足于后危机时代国情和监管实践，本课题引入中国影子银行体系的“期限错配”及“多重违约”机制对模型进行扩展，重点考察市场和监管双重约束下我国商业银行和影子银行的行为调整及其影响的特殊性，并在此基础上提出政策建议。从学术角度讲，本课题有助于丰富和拓展现有金融稳定性分析和宏观经济波动理论；从实践角度讲，本课题为后危机时期我国金融稳定的评价、金融稳定实现路径的探讨以及相关监管政策设计提供了科学手段和工具。

We develop a macroeconomic model under dual restrain of regulation and market in which commercial banks can offload risky loans to a ‘shadow’ banking sector, and financial intermediaries trade in securitised assets in order to pursue regulatory arbitrage . We analyse the interactions and spillover effects between financial institutions affect credit dynamics and macroeconomy; under this framework we argue the point of optimal regulatory policy and introduce characters of China shadow banking to analyze financial stability under given regulatory regime. This project proposes a framework that can comprehensively evaluate the impact of different regulatory regimes on both the regulated and unregulated banking sectors.