%0 Journal Article
%T 影子银行规模变动的金融资产价格效应*<br>THE EFFECT OF SHADOW BANKINGS SCALE CHANGE ON FINANCIAL ASSET PRICES
%A 方先明
%A 权威
%J 经济理论与经济管理
%D 2018
%X 摘要 本文基于所构建的TVPVAR模型，检验了我国影子银行规模变动对金融资产价格的溢出效应。研究结果发现，影子银行规模的增加对商业银行同业拆放利率、房地产价格、股票市场价格指数和人民币实际有效汇率指数具有正向冲击。宏观经济政策调整使经济系统结构发生改变，从而导致金融资产价格对影子银行规模变动的冲击响应具有时变性。由于信息传导需要时间，因此影子银行规模变动的溢出效应具有时滞性。因此，应规范与引导影子银行的发展，在发挥其配置金融资源功能的同时提高资源配置效率，促进实体经济健康发展。<br>Abstract： On the one hand, the development of shadow banking can improve the efficiency of resource allocation in financial market. On the other hand, plenty of money flows into the shadow banking system, triggering the turbulence of financial asset prices. Based on the constructed TVPVAR model, this paper examines the spillover effects of the scale change of shadow banking on financial asset prices, using the data from January 2006 to November 2016. The result shows that the increase of the shadow banking has positive impact on the Libor, the real estate price, the stock market yield and the RMB real exchange rate index. The structural change of the economic system leads to the timevarying nature of the impact of shadow bankings scale change on financial asset prices. Because the information transmission takes time, the spillover effect of shadow bankings scale change has time lag. To this end, we should regulate and guide the development of shadow banking to play its role in allocating financial resources. At the same time, we should improve the efficiency of resource allocation and promote the healthy development of the real economy.
%K 影子银行
%K 金融资产
%K 溢出效应
%K TVPVAR模型
%K shadow banking
%K financial asset
%K spillover effect
%K TVPVAR model
%U http://jjll.ruc.edu.cn/CN/abstract/abstract12960.shtml