关键词: 银行异质性, 系统性风险, 经济波动, 双支柱调控, DSGE模型

Abstract: This paper integrates heterogeneous banks,systemic risks and macroeconomic operations into a unified analytical framework,constructs a DSGE model to analyze the impacts and mechanisms of different banks on financial and economic variables under monetary policy shocks,macroprudential policy shocks and banks' own behavioral shocks, and uses welfare analysis to explore the optimal two-pillar policy mixes for different banks.The main conclusions of the study are as follows:First,the existence of shadow banking has obvious magnifying effect on the fluctuation of output,inflation and systemic risk.Second,state-owned banks are more effective than other joint-stock banks in implementing and transmitting monetary policy,and the impact of capital adequacy ratio on the risk spillover between them is asymmetric.Third,under the low interest rate environment,highly leveraged banks will crowd out low-leveraged banks,leading to an increase in systemic risk.Combined with the impulse response and the welfare analysis,this study draws the following policy implications:It is ineffective to adopt macro-prudential policies represented by capital adequacy ratio for shadow banking governance,and special capital and provisions should be made for shadow business.In the deleveraging process focus should be placed on banks with high leverage.In addition,a moderately tight regulatory policy should be adopted to restrain the excessive risk-taking behavior of other joint-stock banks.

Key words: Bank Heterogeneity, Systemic Risk, Business Cycle, Two-pillar Policy, DSGE Models