储蓄率与杠杆率:一个U型关系

近年来,中国呈现典型的“高储蓄—高杠杆”特征,高储蓄率也被认为是中国杠杆率偏高的主要原因之一。能否通过降低储蓄率的方式来去杠杆成为了广泛讨论的问题。为此,本文构建了一个含有融资约束的动态宏观模型,研究了储蓄率对杠杆率的影响机理。并且,基于41个代表性经济体1966-2017年的面板数据,对储蓄率与杠杆率之间的关系进行了实证分析,主要有两点研究发现:(1)虽然高储蓄率会导致高杠杆率,但是储蓄率与杠杆率不是简单的正相关关系,而是呈现显著的U型关系。结合测算的U型曲线拐点值与中国实际情况,预计储蓄率下降在降低杠杆率方面的作用效果有限。(2)高杠杆下,较高的储蓄率可以有效降低发生金融危机的概率,而储蓄率下降则会加大发生金融危机的概率。基于此,本文认为中国不能通过降低储蓄率的方式来降低杠杆率,反而需要对近年来储蓄率下滑的现象予以高度重视,从而更好地守住不发生系统性金融风险的底线。

Savings Rate and Leverage Ratio: A U-shaped Relationship

The coexistence of a high savings rate and high leverage ratio has been a typical feature of China's economy in recent years. The high savings rate is also considered one of the main reasons for China's high leverage. Therefore, whether deleveraging can be achieved by reducing the savings rate has become a widely discussed issue. Unfortunately, the research has not definitively answered this question. Moreover, in reality, the following two phenomena do not support a positive correlation between the savings rate and leverage ratio. First, a high savings rate is a long-standing phenomenon in China's economy, but high leverage is a problem that only emerged after the 2008 global financial crisis. Second, at the international level, countries with low savings and high leverage are more common than countries with high savings and high leverage.
Accordingly, this paper conducts a more systematic analysis of the relationship between savings rate and leverage ratio by means of theoretical models and empirical tests. In terms of theoretical models, this paper constructs a dynamic general equilibrium model based on the Samuelson-Diamond-Tirole OLG framework with financing constraints, including households and enterprises. The model depicts the two main effects of savings rate on leverage. For example, a decline in the savings rate will enable the household sector to allocate more funds to in consumption and financial assets, which is reflected in the increase in leverage incentives in the household sector; at the same time, it will reduce the size of loanable funds available to the corporate sector, which will affect the lending and investment decisions of that sector. The numerical simulation results show that the relationship between the savings rate and leverage ratio is not monotonic but U-shaped.
Furthermore, based on the theoretical model, this paper finds that in the high leverage state, the lower savings rate means a greater probability of financial crisis in the economy. In contrast, higher savings rates usually correspond to the highly leveraged state of the corporate sector, often leading to inefficient credit allocation in the corporate sector. Although this problem will bring about the loss of economic efficiency, it is less likely to trigger a financial crisis.
In terms of empirical tests, this paper takes 41 representative economies commonly used by the Bank for International Settlements as a sample. Based on panel data from 1966 to 2017, this paper empirically analyzes the relationship between savings rate and leverage ratio. Both a static panel fixed-effect regression model and a dynamic panel Arellano-Bond system estimation method show a robust U-shaped relationship between savings rate and leverage ratio. The conclusion is consistent with the numerical simulation results of the theoretical model. Based on the financial crisis data of major economies from 1966 to 2010 and using Probit and Logit models, this paper finds that a higher savings rate under high leverage can effectively reduce the probability of a financial crisis, while a decline in the savings rate increases the probability of a financial crisis, which agrees with the conclusions reached by the theoretical model.
In addition to the preceding results, it is expected that changes in China's savings rate will have two effects. First, because the savings rate and leverage ratio show a U-shaped relationship with an inflection point at around 39%, reducing China's savings rate (47% in 2017) will help to reduce leverage. However, further calculations show that this leverage reduction effect is more limited. Even if China's savings rate is reduced to the inflection point, the leverage ratio can only drop by about 4 percentage points. Second, the critical value of the impact of the savings rate on the probability of a financial crisis under high leverage is around 48%; that is, when the savings rate is lower than 48%, it will not be enough to offset the risk of financial crisis caused by the increase in leverage. The decline in China's savings rate in the future will exacerbate financial risks and increase the likelihood of a financial crisis.
Consequently, this paper argues that China cannot reduce the leverage ratio by reducing the savings rate. Instead, it needs to address the decline in the savings rate in recent years. The research in this paper will not only help deepen public understanding of China's high leverage problem and how to deal with it but will also serve as a reference for the formulation of macro policy in China's structural deleveraging process.