金融机构杠杆率的周期性特征及其决定因素

On the Cyclical Nature of Leverage of Financial Institutions and its Determining Factors

不同类型金融机构由于运作方式、业务结构和风险管控模式等方面的差异,其杠杆率变化呈现出固定杠杆率约束与风险资本约束两种典型模式。通过结构化地分析中国银行业与非银行金融机构杠杆率的周期性变化,发现不同于美国的情况,中国上市商业银行尽管较好地遵循了风险资本约束特征,杠杆率却呈现出较强的波动性;从水平上看,商业银行的杠杆率高于非银行类金融机构;通过采用双重差分的计量方法证实,非银行金融机构的杠杆率呈现出较强的亲宏观周期性。

For different types of financial institutions, due to differences in operation mode, business structure and risk management methods, there are such two kinds of typical pattern as fixed leverage-constraints and risk capital constraints. By making structural analysis on the cyclical changes of China＇s banking and non-banking financial institutions leverage rate, we find that it is different from the case in America. Although the listed commercial banks in China follow risk-based capital model, its leverage rate has stronger fluctuation. Commercial banks＂ leverage is higher than that of non-banking financial institutions. By the empirical study with difference-in-difference meth- od, we confirm that there is a stronger macro cyelieity of leverage rate of non-banking financial in- stitutions.