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

在发展的早期阶段，中国的金融体系很好地服务于中国经济，将国内储蓄引导到国内投资。但是，持续的金融抑制、不断壮大的中产阶级和老龄化的人口给储蓄带来了“寻找收益”的压力。与此同时，向国有企业放贷的主导地位、政治制约、效率低下以及金融机构(FI)风险管理不力的做法，促使中小企业转向其他融资来源。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。这项研究包括研究电话会议确定的两个主题。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。这项研究至关重要，因为它为调查“中国金融体系在维持经济增长中的作用”所需的宏观经济研究提供了信息。针对第一个研究主题，我们采取了双轨方法，以更好地理解金融体系在维持经济增长中的作用。第一轨考察了银行和非银行金融在促进区域层面长期经济增长方面的作用。第二个轨道针对的是更短期的问题，即确定由银行业危机引发的宏观经济危机的潜在频率。金融与增长的关系是经济发展中一个久负盛名的领域，然而，中国的经历质疑了金融发展是必要前提的假设。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不同地区金融机构的质量，以及在私营和公共企业之间的平衡方面当地环境的开放性。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获得的非正规金融数据，来考察毗邻省份对中期增长的直接和溢出效应。其次，将使用从主题2研究中收集的关于影子银行贷款地理维度的原始数据来设计一个加权系统，以根据当地金融环境的质量调整资金流动。第二个方面将开发一种混合动态随机一般均衡模型的小型宏观经济模型，将包括影子银行在内的银行业纳入其中。这类模型是最近为中国开发的，但只有少数几个试图纳入银行业。这些模型大多是经过校准的版本，并没有试图根据数据来测试结构。最近，使用间接推断的方法对适用于中国经济的新凯恩斯-加拿大皇家银行混合模型进行测试的尝试取得了成功，纳入影子银行也取得了一些成功。专题2的研究结果将为在宏观经济模型中发展一个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产生经济危机的频率。主题2研究将考察银行体系和影子银行体系之间的关系，作为补充或替代。它将旨在根据风险收益、在线投资的本土偏好以及P2P网贷平台的信号和筛选来确定P2P网贷平台的浮动利率。最后，它将旨在确定影子银行对创业活动、工业增长率以及地区住房投资和价格差异的影响。这些结果将为主题1研究影子银行与主流银行的相互联系以及金融系统对冲击和金融危机的脆弱性提供信息。

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.