摘要
通过构建一个具备微观基础的局部均衡模型,研究了企业和商业银行两部门杠杆联动与资本市场信贷风险溢价之间的动态关系。并将企业分为国有企业和民营企业,运用SVAR模型进行实证分析,发现国有企业杠杆率与商业银行杠杆率之间不存在明显的因果关系,而民营企业杠杆率与商业银行杠杆率相互之间存在正相关关系,且商业银行杠杆率的冲击是民营企业杠杆率变动的主要原因。宏观政策制定者应着重从企业和金融两部门关注当前"去杠杆"进程,在保持相对宽松的货币政策前提下,辅以预期管理,为经济转型造成良好的宏观环境。
This paper analyses the dynamics of the relationship between the leverage of enterprises and commercial banks co - movement and credit premium spread by building a micro -foundation partial equilibrium model. Next, the empirical analysis is conducted by SVAR model to investigate leverage ratios between the enterprises into state - owned enterprises, private enterprise and commercial banks. It finds that there is no significant causal relationship between state -owned enterprises＇ and commercial banks＇ leverages, whereas the relationship is positive between private enterprises＇ and commercial banks＇ leverages. Furthermore, the leverage shock of commercial bank is the main cause of changes in private enterprises＇ leverages. As policy suggestion, it is important to focus on ＂deleveraging＂ in both enterprises and financial sectors; relatively easy monetary policy plus expectation management is taken to generate a better macro environment for economic structural reform.
作者
古昕
崔庭菲
胡滢泉
段颖
GU Xin;CUI Ting-fei;HU Ying-quan;DUAN Ying(School of Finance, Zhejiang Gongshang University, Hangzhou Zhejiang 310018;School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou Zhejiang 310018)
出处
《湖南财政经济学院学报》
2017年第5期46-56,共11页
Journal of Hunan University of Finance and Economics
基金
教育部人文社会科学研究青年基金项目"自我实现式经济波动背景下货币政策的有效性"(项目编号:16YJC90019)
浙江省人文社科重点研究基地建设应用经济学项目"新常态下中国货币政策的逆周期性效应研究"(项目编号:1060XJ3316003G)
关键词
信贷风险溢价
杠杆
局部均衡
credit risk premium
leverage
debt - deflation
partial equilibrium
