宏观杠杆率变动对不同金融部门边际风险贡献的影响研究

Research on the Impact of Macro Leverage Rate Change on the Contribution of Marginal Risk in Different Financial Sector

本文运用边际期望损失(MES)方法测度银行业、证券业和保险业三个金融部门对系统性风险的边际贡献,并实证分析宏观杠杆率、实体经济杠杆率和金融杠杆率变动对金融风险的影响。结论表明,我国各类杠杆率对金融风险都有着显著性的正向影响,但总体和实体杠杆率对保险部门的影响较大,金融杠杆率对银行的作用较大,说明应该注意风险防范的异质性。同时,目前杠杆率有稳中有降的趋势,有利于降低金融风险,政策上还是应该坚持稳杠杆的策略,同时注意对保险和银行部门的监管。

This paper studies the relationship between macro-leverage rate and financial risk, measures the marginal contribution of three financial sectors to systemic risk by using marginal expected loss(MES) method, and uses econometric analysis method to judge the financial risk caused by macro-leverage rate, real economy leverage rate and financial leverage rate change. The conclusion shows that all kinds of leverage ratios have significant positive effects on financial risks in China, but the overall and physical leverage ratios have a greater impact on the insurance sector, and the financial leverage ratios have a greater impact on banks, indicating that attention should be paid to the heterogeneity of risk prevention. At the same time, the current leverage rate has a steady downward trend,which is conducive to reducing financial risks. Policy should still adhere to the strategy of stable leverage, while paying attention to the supervision of insurance and banking departments.