银行信贷、资产价格与债务负担

Bank Credit, Asset Price and Debt Service Burden

基于信贷约束下的单部门模型,本文从理论层面阐释了银行信贷、资产价格与企业债务负担之间的作用机制,并采用有向无环图分析方法、脉冲响应分析和预测方差分解技术进行了实证分析。结果表明,企业债务水平不断上升并达到担保约束后,外部融资成本会相应上升,并压低资产价格,促使内生的担保约束进一步束紧,银行信贷也随之紧缩。根据预测误差方差分解结果,与杠杆率相比,债务负担比率对银行信贷和资产价格的波动具有更高的解释比例,这表明债务负担比率在衡量企业债务负担上更具有效性。因此,应尝试不同行业或地域内企业部门债务负担比率的计算与监测,这不仅有助于优化信贷结构,降低系统性风险,而且能够为我国分阶段、有步骤地实现企业去杠杆提供政策依据。

Based on a single sector model with credit constraints, this paper explains the mechanism of bank credit, as- set price and corporate debt service burden theoretically, and carries on the empirical analysis through directed aeyclic graphs, pulse response analysis and variance decomposition technology. The results indicate that when the corporate debt keeps rising and reaches collateral constraints, external financing cost will increase accordingly and depress asset prices, fur- ther tightening endogenous constraints and bank credit. According to the forecast variance decomposition results, debt service ratio has a higher interpretation proportion on volatility of bank credit and asset price than leverage ratio, which indicates the debt service ratio is more effective in measuring enterprises＂ debt service burden. Thus, we should try to construct and monitor the debt service ratio involved in enterprises from different industries or regions. This not only helps to optimize the credit structure and reduce systematic risk, but also provides policy basis in China for deleveraging step by step.