Share pledge lending, monetary policy, and shadow banking nexus

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-04-03 DOI:10.1016/j.pacfin.2025.102772

Cheng Yan , Yujun Lian , Xiangxiang Xu , Chang-Chih Chen

引用次数: 0

Abstract

We study how monetary policy affects brokers' shadow banking activities in the context of share pledge lending. Using China loan-level data and the quantity-based monetary model of Chen et al. (2018), we find a strong positive association between brokers' share pledge loans and monetary policy shocks. This association is more pronounced among brokers with stronger profit-seeking motives. The broker-borrower relationship helps borrowers get through political shocks and shapes value-destroying collusion. Also, we conduct a difference-in-difference (DiD) test to identify a new broker lending channel of monetary policy — policies for restricting shadow banking significantly curb brokers' lending via share pledge loans, embodying the effectiveness of monetary policy. Our finding reveals the transmission mechanism through which monetary policies intervene shadow banking underlying the share pledge lending market.

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股票质押贷款、货币政策与影子银行的关系

本文以股票质押借贷为背景，研究货币政策对券商影子银行活动的影响。利用中国贷款水平数据和Chen等人（2018）的基于数量的货币模型，我们发现经纪人的股权质押贷款与货币政策冲击之间存在很强的正相关关系。这种关联在追求利润动机更强的经纪商中更为明显。经纪人-借款人关系帮助借款人度过了政治冲击，并形成了破坏价值的共谋。此外，我们还通过差分检验（DiD）发现了货币政策中新的券商借贷渠道——限制影子银行的政策显著抑制了券商通过股权质押贷款的借贷行为，体现了货币政策的有效性。我们的发现揭示了货币政策干预股票质押贷款市场背后影子银行的传导机制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.