杠杆率结构、水平与金融稳定理论与经验.PDF

中国人民银行工作论文 No.2017/1 PBC Working Paper No.2017/1 2017 年2 月14 日 February 14,2017 杠杆率结构、水平和金融稳定：理论与经验 中国金融论坛课题组1 摘要：在对宏、微观杠杆率内涵及其关系进行分析的基础上，本文分别通过MM 定理的微观 视角和增长方式的宏观视角，对中国杠杆率结构和水平的经济学机理，及其与金融稳定的关 系进行了分析。微观杠杆率与宏观杠杆率的差异，主要反映了资本收益率变化，与经济周期 阶段密切相关。基于MM 定理的微观分析表明，信息和交易成本、税收负担和预算软约束激 励机制等差异，与不同企业杠杆率的差异密切相关；宏观分析表明，高储蓄支撑的投资导向 增长模式，决定了中国总体上较高水平的杠杆率。尽管高杠杆可能引发系统性金融风险，但 债务可持续性在不同情况下的差异，导致杠杆率水平的风险阈值并不稳健。基于此，我们认 为，一方面应合理把握去杠杆和经济结构转型的进程，避免过快压缩信贷和投资可能引发的 流动性风险和 “债务—通缩”风险，也要避免杠杆率上升过快而引发的资产泡沫。 Abstract: In this article, we analyzed China’s leverage issue, focusing on the level and structure of financial leverage and its relationship with financial risks. We found that the different trends between micro leverage ratios and macro leverage ratios mainly reflect the change of return on capital, which is in turn driven by the economic cycle. Our micro analysis based on the MM theorem shows that information and transaction costs, taxation, and incentive mechanisms (such as the soft budget constraint) are closely related to the leverage structure. Our macro analysis indicates that the investment-oriented growth pattern with high savings helps explain the high leverage ratio in China. Although high leverage may lead to systemic financial risks, the “crisis” thresholds are statistically unstable. We believe that the process of deleverage should be managed prudently, i.e., efforts should be made to avoid a liquidity crisis and a “debt-deflation” trap due to rapid deleveraging, and to avoid asset bubbles due to a rapid increase in leverage. 关键词：杠杆率、经济增长、金融风险 声明：中国人民银行工作论文发表人民银行系统工作人员的研究成果，以利于开展学术交 流与研讨。论文内容仅代表作者个人学术观点，不代表人民银行。如需引用，请注明来源 为《中国人民银行工作论文》。 Disclaimer: The Working Paper Series of the Peoples Bank of China (PBC) publishes research reports wri