居民加杠杆是否会加大系统性金融风险?

Does Household Sector Adding Leverage Increase Systemic Financial Risk?

近年来,我国居民杠杆率的快速攀升引起了各界广泛关注。基于此背景,本文分析了金融危机以来我国居民杠杆率的变化特征。从总量风险角度,构建了系统性金融风险指数,采用TVP-VAR-SV模型刻画了居民加杠杆与系统性金融风险之间的动态影响机制,结果表明居民加杠杆加大了系统性金融风险的积聚,但风险总体可控。进一步,从结构性风险角度,分析了居民加杠杆对消费、投资的影响,结果表明居民加杠杆过快对实体经济的负面影响逐步显现。因此,要警惕居民杠杆过快上升的风险,特别是杠杆增量的高增长带来的不确定性风险。

In recent years,the increasing household sector leverage has attracted wide attention.This paper analyzes the typical characteristics of household sector leverage changes since the financial crisis.From the perspective of gross risk,this paper constructs systematic financial risk index,and analyzes the dynamic influence mechanism between household sector adding leverage and systemic financial risk by using the TVP-VAR-SV model.The results show that household sector adding leverage has increased the accumulation of systemic financial risk,but risk is generally controllable.Meanwhile,From the perspective of structural risk,this paper analyzes the impact of household sector adding leverage on the consumption,investment and current account.It confirms that the negative impact of high growth speed of household sector adding leverage on the macroeconomy and current account gradually come.Accordingly,we should be vigilant against the risk of household sector excessive leverage,especially the uncertainty risk caused by the high growth of leverage.