异质性条件下的杠杆周期行为:基于资产价格视角的研究

Leverage cycle under the heterogeneity condition:A study from the perspective of asset price

本文在杠杆异质性条件下构建包含两类杠杆投资者、一类非杠杆投资者的金融系统动态模型,从风险资产价格角度分析了金融机构投资者杠杆的周期性特征,并以2006年到2015年中国上市银行和证券公司的季度数据为样本,采用动态面板模型进行了实证分析.结果表明,杠杆异质性的存在可以降低金融机构的目标杠杆,有利于金融系统稳定;金融机构杠杆相对于资产价格表现出明显的顺周期性特征,但不同类型金融机构之间的杠杆顺周期行为具有明显差异;证券公司杠杆随股票价格的变化程度明显大于银行杠杆,银行杠杆随房地产价格变化的顺周期行为比证券公司杠杆更为显著;两者在股票价格和房地产价格大涨大跌时期的杠杆调整方向亦不相同.论文研究结论为金融机构灵活运用杠杆工具和监管当局完善监管体系提供了新的理论思路和经验证据.

Considering the heterogeneity of the leveraged investors, this paper build a dynamical financial system coraposed of two leveraged investors and one non-leveraged investor, to analyze the cyclical nature of the leverage of financial intermediaries from the perspective of risk asset price. Exploiting a quarterly panel data of the listed banks and securities firms in China during 2006-2015, the empirical results indicate： the leverage heterogeneity, which could reduce the target leverages of financial intermediaries, benefits the stability of financial system; the leverage of list banks and securities firms in China is procyclical over the asset price cycle, but there are differences in the periodical behaviors of financial intermediaries; securities companies leverage present a much more significant positive correlation with the stock prices than banks leverage; corresponding to housing prices, the pro-cyclical behavior of banks leverage is more significant than securities companies leverage; and the leverage adjusting directions of banks and securities companies during the boom and bust period are opposite. In this paper, we provide new evidence for the financial intermediaries to use leverage and for the regulatory authorities to improve the regulatory system.