企业杠杆率、宏观经济景气指数与系统性金融风险

打赢防范化解重大金融风险攻坚战是打好"三大攻坚战"的重要任务之一。本文在对企业杠杆率、宏观经济景气指数与系统性金融风险关联性进行理论分析的基础上,利用复合系统性压力指数法测度了我国系统性金融风险,并建立了马尔可夫区制状态转换模型,以挖掘企业杠杆率、宏观经济景气指数及系统性金融风险之间的非线性动态关联机制。研究表明,样本期内我国系统性金融风险水平波动明显;企业杠杆率、宏观经济景气指数与系统性金融风险间存在动态关联,且两区制特征明显,高压力时期的关联效应比低压力时期更显著;企业杠杆率对系统性金融风险的直接影响不显著,但会通过影响宏观经济对系统性金融风险产生间接影响;宏观经济景气指数与系统性金融风险相互间存在负向影响。鉴此,现阶段应控制好从"结构性去杠杆"向"稳杠杆"转变的节奏,利用"双支柱调控"熨平局部金融失衡和杠杆结构性问题;同时,密切关注部门间金融风险的交叉传染,提升经济发展质量,进而从根本上防范化解系统性金融风险。

Enterprise Leverage Ratio,Macroeconomic Prosperity Index and Systemic Financial Risk

It is one of the important tasks to win the "three critical battles" to forestall and defuse major financial risks. Based on the theoretical analysis of the relationship between corporate leverage, macroeconomic prosperity index and systemic financial risk, the paper draws on the composite indicator systemic stress method to construct China’s financial stress index, using MS-VAR model to investigate the nonlinear dynamic correlation between enterprise leverage ratio, composite index and systemic financial risk. The results suggest that China’s systemic financial risk fluctuated significantly during the sample period. There is a dynamic correlation between enterprise leverage ratio, composite index and systemic financial risk, and the characteristics of the two-zone system are obvious, and the correlation effect in high pressure period is more significant than that in low pressure period. The direct impact of enterprise leverage ratio on systemic financial risk is not significant, however, it will have an indirect impact on the systemic financial risk by influencing the macro-economy: there is a negative impact between the macro-economic prosperity index and the systemic financial risk. Therefore, it is now necessary to grasp the rhythm of the transition from "structural deleveraging" to "stabilizing leverage" and use "two-pillar regulation" to iron out local financial imbalances and structural problems of leverage. Moreover, we should pay close attention to the cross-infection of financial risks between departments and improve the quality of economic development to fundamentally prevent systemic financial risks.