金融资源行业配置与宏观经济风险——基本事实、理论分析和实证证据

Industrial-level Financial Allocation and Macroeconomic Risk in China:Stylized Facts, Theory, and Evidence

当前中国宏观经济风险防控受到高度关注。本文从我国金融资源配置高度集中于少数行业的基本事实出发,以扩展的资产组合理论分析金融资源的行业配置对经济风险的影响,并给出基于省级面板数据的实证证据。研究发现：（1）我国金融资源高度集中于房地产、基础设施建设和重化工业,注重抵押品的信贷决策是金融集中现象的主要原因;（2）理论模型表明,高度集中的金融资源配置能够通过降低产业多样化增加经济体的风险;（3）基于2004—2016年省级面板数据的静态面板模型和动态面板模型均表明我国金融资源的行业集中度与实际人均GDP增长率的波动具有显著、稳定的正向关系。根据以上发现,本文指出：高度集中的金融配置增加了经济体的风险,当今中国宏观经济风险的本质是产业转型风险,通过调整信贷抵押政策、鼓励金融机构承担社会责任,推进产业结构调整是防控宏观经济风险的重要手段。

China＇ s risk draws attention in recent years. Starting from the fact that financial resources in China is concentrating in several key industries, this research gives theoretical analysis based on portfolio selection and provide empirical evidence of the relationship between financial concentration and growth volatility. It is found that： （1） financial recourses in China highly concentrates in key industries including real estate, infrastructure, and heavy industries; this phenomenon is caused by collateral-based credit decision of banks in China; （2） theoretically, fi- nancial concentration will harm the stability of economy through less industrial diversification; （3） financial allocation exerts a strong positive effect on growth volatility. Itis argued that industrial-level financial concentration in China is harmful for stability, providing better services and diversifying credit allocation can be helpful for both banks and the entire economy, since it will lower the risks and promote industrial transformation.