宏观杠杆率、结构性扭曲与系统性金融风险--基于跨国面板数据的经验研究

Macro Leverage Ratio,Structural Distortion and Systemic Financial Risk,Empirical Research Based on Multinational Panel Data

宏观杠杆率高和经济出现结构性扭曲是当前一些国家面临的重要问题,如果不能妥善处理,二者容易引发系统性金融风险。本文使用国际清算银行(BIS)、华尔街日报社与美国传统基金会等统计的全球35个国家1995～2016年的面板数据,运用系统GMM、面板logit等模型对宏观杠杆率、结构性扭曲和系统性金融风险之间的关系进行了实证检验。研究结果发现:宏观杠杆率偏低时对经济自由度较为有利,但伴随着宏观杠杆率数值的增加,就会对经济自由度形成显著的抑制作用,而且前者数值越大,起到的抑制作用就越大,即引致的结构性扭曲也越大;在"宏观杠杆率拐点后阶段",一国经济的结构性扭曲会导致金融体系的不稳定性上升,甚至会增加金融危机爆发的概率。最后,本文通过对中国的情况进一步分析,给出了相关的政策建议。

High macroeconomic leverage ratio and structural distortion in the economy are major problems faced by some countries.If they are not handled properly,they can easily lead to systemic financial risk.Using the panel data of 35countries in 1995-2016,which is from the Bank of International Settlements (BIS),the Wall Street Daily and the American Heritage Foundation,this paper uses the system GMM and panel logit models to test the relationship among macro leverage ratio, structural distortion and systemic financial risk.The results show that:When the macro leverage ratio is low,it is more favorable to economic freedom.However,with the increase of the macro leverage ratio,the economic freedom will be inhibited significantly.And the greater the macro leverage ratio,the greater the inhibitory effect,that is,the greater the structural distortion.In the "post-macro leverage ratio phase",the structural distortions of a country's economy will lead to a rise in the instability of the financial system and even increase the probability of the financial crisis.Finally,through further analysis of China's situation,this paper gives relevant policy recommendations.