债务展期与结构性去杠杆

Debt Rollover and Structural Deleveraging

本文基于一个银行债务展期的理论框架,考察经济不确定性对银行债务展期决策和企业杠杆的影响机制。研究发现:经济不确定性会扭曲银行的债务展期决策,其后果是,当经济不确定性较高时,对于一些资不抵债、缺乏自生能力的企业,银行不但不对其提起破产清算,反而以债务展期的方式为其持续"输血",企业成为僵而不死的僵尸企业;另一方面,当经济不确定性较高时,对于一些具备偿债能力的正常企业,银行反而对其实行信贷紧缩式的去杠杆,导致企业面临资金链断裂的风险。基于银行债务融资的特性,只有当经济环境相对稳定时,银行才有充分的意愿执行"优胜劣汰"的去杠杆决策。反之,在一个充满不确定性的经济环境中,很有可能出现僵尸企业僵而不死、正常企业被动去杠杆的困境。

Summary： The debt ratio of Chinese enterprises has risen dramatically since the ＂four-trillion stimulus plan＂. To reduce the financial risk brought about by this high leverage, the economic affairs committee of the central government has made deleveraging a high priority. The goal is to lower firms＇ leverage and force ＂zombie firms＂ to exit the market. However, some low-efficiency and insolvent firms have survived deleveraging and received financial support from banks while some very competitive and promising firms （mainly privately owned） have had their loans suspended by banks, seriously undermining the real economy and leading to a decline in nongovernmental investment. Our study provides an interpretation of the recent structural delcveraging in China using the theoretical framework of bank debt rollover. Leverage here refers to the amount of loans that an enterprise has borrowed from a bank and deleveraging refers to the bank＇s behavior in withdrawing these loans or refusing to provide refinancing for the enterprise when the loans expire. We use a theoretical model to compare two strategies of the bank, debt rollover and deleveraging. The bank can choose to rollover an expired loan by providing a new loan for the enterprise （refinancing） in which case the enterprise＇s leverage ratio remains unchanged or rises. Alternatively, the bank can choose deleveraging by withdrawing the loan＇s principal and interest and refusing to refinance the enterprise. In this case, the enterprise＇s leverage ratio declines and the enterprise can go bankrupt if it is insolvent after repaying the loan. We investigate how economic uncertainty influences banks＇ decisions between debt rollover and deleveraging. Our findings suggest that economic uncertainty distorts a bank＇s incentive to rollover debt in such a way that the bank maintains some ＂bad＂ loans while eliminating some ＂good＂ ones. For zombie firms, uncertainty can encourage the bank to rollover the debt. For normal firms, economic uncertainty causes the bank to terminate loans and the firms to fall into the dilemma of capital shortage. When there is economic uncertainty, a bank can suffer a loss from a firm＇s failure but it does not share the firm＇s extra profits if the firm＇s investment turns out to be a success as the bank＇s payoff is capped above by the principle plus the interest. So for the bank, risk is not proportionally compensated. Our paper contributes to the literature in three ways. First, previous studies attribute structural deleveraging to firms＇ ownership or to the implicit guarantee given by the government. We prove that banks can still choose to maintain ＂ bad＂ loans and reduce ＂ good＂ ones without considering the ownership of the firm or the implicit guarantee. Structural deleveraging can reflect market inefficiencies caused by economic uncertainty and the characteristics of debt financing. Second, our paper provides a new explanation for the survival of zombie firms. In the literature, the main opinion on zombie firms is that they are due to the intervention of the government to prevent large-scale unemployment resulting from the bankruptcy of zombie firms or to a bank＇s intention to hide bad loans （ Caballero et al. , 2008 ; Bruche and Llobet, 2014）. To our knowledge, this is the first paper to suggest that economic uncertainty and banks＇ distorted rollover incentives contribute to the survival of zombie firms. Lastly, our research sheds light on deleveraging policy. The purpose of deleveraging is to keep the ＂good＂ loans and reduce the ＂bad＂ ones. According to our model, excessive economic uncertainty and the government＇s implicit guarantee for zombie firms distorts banks＇ debt rollover incentives, which results in the wrong loans being kept. To achieve the policy goals of deleveraging, the government should endeavor to reduce economic uncertainty and remove its implicit guarantee to nonviable firms.