中国企业杠杆:一个周期性问题?

一直以来,企业部门杠杆率在中国宏观杠杆率中占有重要的地位。通过构建企业杠杆率的动态局部调整模型,本文区分了经济周期对企业杠杆率的直接和间接影响,并利用中国工业企业数据库对二者进行测算。结果显示,用观察经济周期哑变量估计系数的方式来判断经济周期对企业杠杆率的影响,会显著高估企业杠杆率顺周期调整的程度,因为这只捕捉了周期的直接影响。在同时考虑了经济周期对杠杆率的间接影响后,我们发现:第一,中国企业杠杆率总体仍具有顺周期性。这表明货币政策在维护物价水平、熨平经济周期波动时,能够对企业杠杆率稳定产生一定的正向溢出效应。因此,双支柱调控框架具有内在一致性,可以形成政策合力。第二,中国企业杠杆率变动的顺周期性较弱,尤其是国有企业。因此,想要在保持物价和经济增长稳定的同时实现稳杠杆,货币政策和宏观审慎政策需相互协调配合。本文的研究为思考双支柱调控框架的分工与协调提供了有益的微观基础。

Corporate Leverage in China: Is it a Cyclical Problem?

The business cycle can influence corporate leverage through various channels.It not only affects firms'financial needs,but also alters their financing environments and the speed of their adjustment to target capital structures.However,most of the empirical literature addressing the relationship between the business cycle and corporate leverage overlooks the potential indirect effects,and tends to draw conclusions about leverage dynamics merely from the coefficients of recession dummies or macroeconomic variables in empirical models.This practice is criticized by Halling et al.(2016),who regard it as a ceteris paribus approach that captures only the marginal effect of the business cycle on corporate leverage.Based on a dynamic partial adjustment model of capital structure,this paper moves away from the ceteris paribus approach and presents a comprehensive empirical analysis of actual corporate leverage dynamics over the business cycle.Following Halling et al.(2016),we identify the direct effect of the business cycle by observing the estimated coefficient of the recession dummy and capture its indirect effects through variation in explanatory variables and model parameters such as the following:(1)changing firm characteristics;(2)changing relationships between firm characteristics and leverage;and(3)changes in the speed of adjustment to the firm's target capital structure.We then quantify the impact of the business cycle on corporate leverage using the 1996-2013 annual data from the Chinese Industrial Enterprises Database.Our results indicate that the direct effect of the business cycle on corporate leverage is pro-cyclical,as previous studies suggest,while the indirect effects consistently and robustly contribute to the counter-cyclical behavior of corporate leverage across all empirical specifications.Due to these counter-movements,the overall effect of the business cycle on leverage dynamics is statistically significant but economically trivial.In other words,the actual firm leverage exhibits a weak pro-cyclical characteristic.We also categorize the firms according to their ownership and examine whether the impact of the business cycle differs between kinds of ownership.The leverage ratio of state-owned enterprises(SOEs)experiences even less cyclicality than that of private enterprises.This partially explains the time-varying divergence in leverage ratios observed in China between SOEs and private enterprises.The leverage ratio of private enterprises fluctuates as the economic environment changes,while the less financially constrained SOEs can maintain a more stable leverage ratio.The differences in their sensitivity to the business cycle cause variation along the time dimension.Our paper contributes to and broadens the literature on business cycles and leverage dynamics.By decomposing leverage dynamics into different sources,we document that both the direct and indirect effects of the business cycle play important roles in causing leverage variations.We therefore quantify the overall influence of the business cycle on corporate leverage and provide new evidence for the cyclicality debate in leverage dynamics.Unlike many previous studies,which rely on data from listed companies,the dataset we use eliminates the bias caused by public offering.Our paper offers a more thorough investigation of the relationship between the business cycle and corporate leverage,and it improves our understanding of the mechanisms of leverage dynamics.Most importantly,our study's empirical findings provide preliminary micro-foundations for reflecting on the division and coordination of the two-pillar framework.Countercyclical monetary policy works against the ongoing boom or recession trend and aims at eliminating the fluctuations associated with the business cycle.Therefore,the weak pro-cyclical characteristic of firm leverage suggests that countercyclical monetary policy will not automatically stabilize corporate leverage.Other policy tools,such as macro-prudential policies,are indispensable to keep leverage levels stable and prevent systemic risk.China needs to improve the two-pillar regulatory framework further to strike a balance between stabilizing growth and preventing risks.