影子银行与通货膨胀、实体经济的联动效应

北京邮电大学学报(社科版) ›› 2017, Vol. 19 ›› Issue (4): 66-71.

影子银行与通货膨胀、实体经济的联动效应

上海理工大学管理学院，上海200093

收稿日期:2017-03-28 出版日期:2017-08-30
基金资助:
沪江基金研究基地专项基金资助项目(D14008)

Coupling Effect between Shadow Banking, Inflation and Real Economy

Business School, University of Shanghai for Science and Technology, Shanghai 200093, China

Received:2017-03-28 Online:2017-08-30

摘要/Abstract

摘要： 基于我国2007—2016年的各项宏观经济月度数据，运用季节调整的春节模型对其进行调整，并且以更大的口径测算影子银行规模，再结合结构向量自回归模型进行实证，研究影子银行规模与通货膨胀、实体经济的联动效应。结果表明：影子银行与实体经济存在单向的格兰杰因果关系，即实体经济的发展影响着影子银行规模的变化。一定时期内，实体经济上行对影子银行的发展起到正向推动作用。而影子银行规模与通货膨胀互为格兰杰因果关系，从长期来看，通货膨胀会给影子银行规模带来持续的正向效应，但影子银行并不能持续地影响通货膨胀；在不同时期内，影子银行对通货膨胀的影响呈现波动状态。

关键词: 影子银行, CPI, 汇丰PMI指数①

Abstract: Based on the macroeconomic monthly data of China from year 2007 to 2016, the seasonal adjustment of Spring Festival model is used to adjust the macroeconomic data, and the size of shadow bank is estimated with a lager caliber Structural vector autoregressive model is used to study the coupling effect between the size of shadow bank, inflation and real economic development The results show that there is a one-way Granger causality relationship between the size of shadow bank and the development of the real economy,which is, development of real economy affects the change of the size of shadow bank During a certain period of time, the development of the real economy has boosted the development of the shadow bank The size of shadow bank and inflation show Granger causality relationship with each other In the long run, inflation will have sustained positive effectson the size of shadow bank; and in different periods, the impact of shadow bank on inflation is fluctuating, and will not last for a long time

Key words: shadow bank, CPI, HSBC PMI Index

中图分类号:

F830

吴晓，孙英隽，周令. 影子银行与通货膨胀、实体经济的联动效应[J]. 北京邮电大学学报(社科版), 2017, 19(4): 66-71.

WU Xiao, SUN Ying-jun, ZHOU Ling. Coupling Effect between Shadow Banking, Inflation and Real Economy[J]. JOURNAL OF BEIJING UNIVERSITY OF POSTS AND TELECOM, 2017, 19(4): 66-71.