Do contractionary monetary policy shocks expand shadow banking?
基于美国VAR模型发现，紧缩性货币政策冲击会减少商业银行资产，但增加影子银行资产和证券化活动，并用新凯恩斯模型解释这种“水床效应”，对政策制定者评估货币政策对金融部门的非对称影响有参考价值。
Summary Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the assets of shadow banks and securitization activity. To explain this “waterbed” effect, we propose a standard New Keynesian model featuring both commercial and shadow banks, and we show that the model comes close to explaining the empirical results. Our findings cast doubt on the idea that monetary policy can usefully “get in all the cracks” of the financial sector in a uniform way.