| Shadow banking system has developed into a credit intermediary system that can't be ignored in China's economy.Although strict supervision of shadow banking has led to its scale contraction from the past stage of rapid expansion to the current stage of scale contraction since the implementation of the de-leveraging policy in 2017,its scale still occupies a considerable proportion in China's current economy,and the impact can't be ignored.China's economy has changed from a stage of high-speed growth to a stage of high-quality development.The mode of monetary policy regulation is in the transitional stage from a quantitative mode to a price mode.The scale of shadow banking has changed from expansion to contraction due to strict supervision.It will help to supervise and guide shadow banking,eliminate its interference in the implementation of monetary policy,accelerate the transformation of monetary policy framework,and enhance the efficiency of monetary policy serving the real economy in the stage of high-quality economic development by studying the influence mechanism of shadow banking on the implementation of monetary policy in China under this background.Firstly,this paper summarizes the causes and operation mechanism of shadow banking in China and foreign countries,and introduces the development process of shadow banking in China.Secondly,this paper summarizes the evolution of the operational framework of China's monetary policy.Thirdly,this paper studies the influence mechanism of shadow banking on China's monetary policy objectives,monetary policy instruments and monetary policy transmission through empirical methods.Finally,this paper puts forward some suggestions according to the research conclusion.The empirical research process and conclusions are as follows:First,the impact of shadow banking on monetary policy objectives.This paper studies the cyclical characteristics of shadow banking and its impact on monetary policy objectives,and discusses the impact of the shrinkage of shadow banking scale caused by the stringent financial supervision on the real economy in recent years from the perspective of shadow banking's periodicity.The TVP-VAR model is constructed by using the data of macroeconomic variables from January 2008 to June 2019.The time-varying impulse response results show that:(1)The cyclical characteristics of shadow banking have changed from pro-cyclical to anti-cyclical,and then to pro-cyclical again,and the cyclical characteristics of shadow banking shows time-varying characteristics during the sample period.(2)Shadow banks generally diverted M2 indicators before the first half of 2016,while in the later period of strict financial regulation,shadow banks expanded M2 indicators.(3)Shadow banking has a long-term positive impact on the price level.It can promote economic growth in the pro-cyclical stage and restrain economic growth in the counter-cyclical stage as a whole.(4)The rapid shrinkage of shadow banking scale caused by strict regulation has no obvious negative impact on output,but it has increased the fluctuation of inflation rate to a certain extent,which is not conducive to the smooth operation of the price level in recent years.Second,the impact of shadow banking on monetary policy instruments.This paper studies the impact mechanism of shadow banking on the same monetary policy instruments under two monetary regulatory frameworks,and the impact mechanism of shadow banking on different monetary policy instruments under the price-based regulatory framework from the perspective of quantitative and price-based regulatory frameworks.Based on the data from January 2008 to December 2018,this paper constructs the SVAR model of quantitative regulation framework and price regulation framework,studies the influence of shadow banking on the regulation effectiveness of reverse repurchase under quantitative regulation framework and price regulation framework,compares the regulation effectiveness of rediscount policy and MLF under price regulation framework,and analyses the influence of shadow banking on rediscount policy and MLF underprice-based regulatory framework.The results of impulse response analysis show that:(1)Shadow banking reduces the regulation efficiency of reverse repurchase operation on M2,but improves the transmission efficiency of market benchmark interest rate on M2 under the framework of quantitative regulation.(2)Shadow banking improves the transmission efficiency from reverse repurchase interest rate to market benchmark interest rate,and the transmission efficiency from market benchmark interest rate to maturity yield of corporate bonds under the framework of price-based regulation.(3)The traditional rediscount rate's guidance ability to the market-oriented maturity rate of corporate bonds is lower than the new medium-term lending facilitation rate's guidance ability to the maturity rate of corporate bonds under the framework of price-based regulation.(4)Shadow banking reduces the transmission efficiency of rediscount rate to maturity rate of corporate bonds,and improves the transmission efficiency of medium-term lending facilitation rate to maturity rate of corporate bonds under the framework of price-based regulation.Third,the impact of shadow banking on monetary policy transmission.This paper studies the influence of shadow banking on the transmission of monetary policy from the perspective of the correlation between intermediate and final objectives of monetary policy.The VAR model is constructed by using the data from January 2008 to June 2019.This paper compares the correlation of money supply index,social financing scale index and interest rate index with the ultimate goal of monetary policy,and discusses the influence of shadow banks on the correlation under the unified framework.The results of impulse response function show that:(1)the final goal of monetary policy has the greatest feedback on the impact of social financing scale index,followed by the impact of interest rate,and the impact of money supply is the weakest.(2)The interest rate shocks lasted the longest,while the shocks of money supply and social financing scale lasted the shorter as for the response duration of the final objective of monetary policy to the shocks of various intermediary indicators.(3)The correlation between money supply and output or inflation is weakened by the effect of shadow banking,while the correlation between social financing scale and output is reduced by the effect of shadow banking,but the correlation between interest rate and output is increased by the impact of shadow banking.(4)The correlation between money supply,social financing scale and inflation rate is higher in the stage of shadow banking scale expansion.The correlation between money supply,social financing scale,interest rate and output is higher in the stage of shadow banking scale reduction.The possible innovations of this paper include: Firstly,research perspective innovation.This paper analyzes the correlation of different types of intermediary targets in the unified model,studies the regulatory effectiveness of the same policy tool under different monetary regulatory frameworks,and the regulatory effectiveness of different policy tools under the same monetary regulatory framework.Secondly,innovation of research method selection.The fifth chapter of this paper uses the TVP-VAR model to study the time-varying characteristics of the operating cycle of shadow banking,and discusses the impact of shrinking shadow banking scale,due to strict financial supervision,on the ultimate goal of monetary policy.This model can better fit the time-varying effects of variables,and effectively capture the structural changes and other possible non-linear features in the system.Compared with the traditional linear model,it is more conducive to reach the research purpose of Chapter 5.Thirdly,research conclusion innovation.The existing literature on research conclusions of the periodicity of shadow banking are not uniform.Many literature believe that shadow banking has pro-cyclical characteristics.In this paper,we find that the shadow banks in China have changed periodically during the sample period.At the same time,the existing literature mostly studies the impact of the expansion of shadow banking scale.This paper analyses the imp act of the shrinkage of shadow banking scale on the real economy in recent years,which supplements the lack of empirical research on this issue. |
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