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

摘要： 将异质性银行、系统性风险与宏观经济运行纳入统一分析框架,构建DSGE模型分析货币政策冲击、宏观审慎政策冲击及银行自身行为冲击下不同银行对金融经济变量的影响及作用机制,并运用福利分析探索针对不同银行最优的双支柱政策组合搭配。研究发现:影子银行的存在对产出、通胀和系统性风险波动具有明显放大效应;国有银行对货币政策的执行与传导效果优于其他股份制银行;低利率环境下,高杠杆银行会对低杠杆银行形成挤出,导致系统性风险上升。结合脉冲响应和福利分析,得出启示:对传统银行影子业务的治理采用以资本充足率为代表的宏观审慎政策效果不佳,应针对影子业务计提专门的资本和拨备;应重点关注高杠杆率银行;对其他股份制银行应采取适度偏紧的调控政策,约束其过度风险承担行为。

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