非金融企业杠杆率及其有效性与实体经济的联动关系研究

Research on the Linkage Relationship between Leverage Ratio and Its Effectiveness inNon-financial Enterprises and Real Economy

非金融企业高杠杆和经济增速的下滑是当前中国经济面临的突出问题,本质上反映了杠杆有效性下降、有效性不足是中国债务的核心问题。抓住杠杆有效性核心,尝试提出相关经济含义,即企业债务资金用于实体投资的程度和负债所形成资产的使用效率,构建债务投资比和资本产出比指标,并对其进行刻画,将其引入企业杠杆与实体经济研究中,构建MSMH(2)-VAR(1)模型探究不同有效性状态下企业杠杆率与实体经济的时变动态关联。研究发现:企业杠杆率与实体经济的关系具有显著的区制转换特征,由企业杠杆率、杠杆有效性和实体经济构成的系统可以划分为“杠杆高效区制”和“杠杆低效区制”两区制。在“杠杆高效区制”内,企业杠杆率的上升能够促进经济增长,经济增长也能够有效去杠杆,杠杆率与实体经济能够实现良性循环;在“杠杆低效区制”内,企业杠杆率的上升不利于经济增长,杠杆率将脱离实体经济运行,同时影响程度在两区制内具有非对称性;通过构建TVAR模型估计得出,当债务投资比和资本产出比增长率高于0.0113和0.0132,即杠杆有效性下降至一定程度时,整个系统将由“杠杆高效区制”转向“杠杆低效区制”,经济金融脆弱性上升,表明提升杠杆有效性对于实现杠杆率与实体经济的良性循环并化解债务风险具有重要价值。

Since the outbreak of the international financial crisis in 2008,the leverage ratio of non-financial enterprises has been separated from the operation of the real economy,unable to effectively drive economic growth,gathering a large number of risks,and becoming an important“gray rhinoceros”faced by Chinese economy.High leverage of non-financial enterprises and increasing downward pressure on economy have become prominent problems faced by Chinese economy.In fact,what this phenomenon really reflects is the decline in the effectiveness of leverage,rather than the high value,the effectiveness of insufficient is the key issue of China’s debt problem.Most of the existing literature focus on the relationship between the leverage ratio and the real economy,while few research deeply explore the real logic behind the relationship between corporate leverage and the real economy by focusing on the effectiveness of leverage,so as to find out the dynamic balance between debt development and the real economy.Based on the core of leverage effectiveness,relevant economic implications are put forward.In terms of methods,by integrating enterprise leverage ratio,leverage effectiveness and real economy into the same system,MSMH(2)-VAR(1)model is used to analyze the dynamic time-varying correlation mechanism.Compared with the ordinary VAR model,the advantage of this model is that,the nonlinear dynamic correlation among variables is closely related to the state of variables.It has good applicability to explore the relationship between leverage ratio and real economy under different leverage effectiveness states.Then,the critical value of leverage effectiveness is estimated by TVAR model which has the advantage of critical point estimation,which provides quantitative basis for maintaining the dynamic balance between enterprise leverage and real economy.It is found that,the relationship between the corporate leverage ratio and the real economy has significant characteristics of regional system transformation.In the“leverage efficient zone system”,the rise of the corporate leverage ratio can promote economic growth,and economic growth can effectively deleverage,and the leverage ratio and the real economy can achieve a virtuous cycle.In the“leverage inefficient zone system”,the corporate leverage ratio is not conducive to economic growth.The deleveraging effect of economic growth is relatively weak,the leverage ratio will be separated from the operation of the real economy,and the influence degree is asymmetrical in the two-zone system.By constructing the TVAR model,it is estimated that when the growth rates of debt-investment ratio and capital-output ratio are higher than 0.0113 and 0.0132,that is,when the leverage effectiveness decreases to a certain extent,the whole system will shift from“leverage efficient zone system”to“leverage inefficient zone system”,and the economic and financial vulnerability increase.The research shows that improving the effectiveness of leverage is of great value to realize the virtuous cycle between leverage ratio and real economy to resolve debt risks.