Shadow Banking System and Money Supply
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DOI: 10.25236/icess.2019.051
Corresponding Author
Rumeng Zeng
Abstract
In recent years, the size of China's shadow banking has been increasing. It has had an unnegligible impact on China's monetary policy. This paper examines and analyzes the dynamic relationship between the shadow bank and the money supply in our country through the establishment of Vector Autoregressive Model (VAR), cointegration test based on VAR, Granger causality test, variance decomposition and impulse response function analysis. The result shows that there is a stable co-ordination relationship between money supply and shadow banking over a long period of time, and both parties have a positive stimulating effect on each other in the long run.
Keywords
Shadow bank, Money supply, VAR model