影子银行、地方政府债务及金融发展动态关系研究——基于省级面板VAR模型

基于2004—2017年中国省级面板数据,运用面板向量自回归(PVAR)模型,使用系统GMM估计、脉冲响应函数、方差分解以及格兰杰因果关系检验等方法分析了影子银行、地方政府债务及金融发展之间的动态关系.结果表明:影子银行、地方政府债务与金融发展水平三者之间存在动态耦合关系.在地方政府融资能力受到约束的情况下,影子银行为地方政府提供了多元的融资方式,在增加政府融资能力的同时提升了政府债务水平;而地方政府债务需求显著推动了影子银行规模的快速发展.同时,影子银行过度扩张危害了金融市场的健康发展,降低金融发展水平,继而使地方政府的融资渠道受到约束.但金融发展并不能有效约束影子银行规模,原因在于,政府融资需求是影子银行的主要动力,若不能控制地方政府的借贷行为则无法从源头解决问题.监管机构在去杠杆的过程中,应该综合考虑影子银行与地方政府债务、金融发展之间的动态关系,如此才能够实现预期的政策效果.

Study on dynamic relationship between shadow banking, local government debt and financial sector development: Based on provincial PVAR Model

Based on a panel dataset of 28 provinces in China from 2004 to 2017, the paper employs a panel vector autoregressive (PVAR) model to establish the impulse response function, variance decomposition and Granger causality test, analyzing the relationship between shadow banking, local government debt and financial development. The results show that there is a dynamic coupling relationship between shadow banking, local government debt and financial sector development. The shadow banking provides diversified funding for local governments and promotes government debts when local government is confronted with financing constraints by the central government. In addition, the funding demand of the local government further increases shadow banking rapidly. Meanwhile, the excessive expansion of shadow banks jeopardizes the healthy development of financial markets, reduces the level of financial sector development, and then makes the local government financing constraints. However, financial development can''t effectively restrict the shadow banking, because the government debt is the main driving force of shadow banking. The problem of shadow banking can''t be solved effectively unless the local government''s lending behavior can be controlled. Only through comprehensive consideration of the dynamic relationship between shadow banking, local government debt and financial sector development, can the regulars achieve the expected policy effect in the process of deleveraging.