减债牺牲率乘数及结构性去杠杆的成本核算——基于G7国家的国际经验证据

Cost Accounting of Sacrifice Ratio Multiplier for Debt Reduction and Structural Deleveraging一Based on G7 Countries'International Empirical Evidence

金融或实体经济领域去杠杆是国家经济工作的重点之一,本文使用时变参数模型测算我国与G7国家的减债牺牲率时变冲击乘数、累积乘数和现值乘数,并实证分析减债牺牲率的影响因素。研究结果表明:中国减债存在成本,但减债并不会持续危及经济发展。资本市场发展有助于降低宏观减债成本;杠杆相关变量均有门限效应,高杠杆时去杠杆有利于降低企业减债成本。通过对比最优杠杆率发现,2018年我国的宏观和企业杠杆均高于最优杠杆率,尤其是企业杠杆,但家庭杠杆率尚存上升空间。未来,监管部门可采用加大家庭杠杆和降低企业杠杆的结构性措施进一步稳步推进去杠杆进程。与此同时,还应加快资本市场发展,以平抑宏观减债对经济增长可能带来的负面影响。

This paper uses the time-varying parameter model to construct the debt reduction sacrifice ratio composed of shock multiplier, cumulative multiplier and present value multiplier, and uses the macro quarter data of China from the first quarter of 1996 to the first quarter of 2017 to calculate these three multipliers of sacrifice ratio for debt reduction in the macro-economic field as well as the corporate and the household sectors. Following that, the paper compares the result with the G7 countries’ sacrifice ratio for debt reduction. Finally, the panel threshold model with leverage ratio as the threshold variable is used to empirically analyze the influencing factors of the sacrifice ratio for debt reduction.The results show that there is a cost of debt reduction in China, but debt reduction will not permanently endanger the economic development. The central bank pays more attention to the restraining effect of debt in economic stability and development. The development of capital market helps to reduce the cost of macro debt reduction,leverage-related variables have a threshold effect, and deleveraging is conducive to reducing the cost of corporate debt when leverage is high. Comparing the optimal leverage ratio, China’s macro and corporate leverage ratios in 2018 were both higher than the optimal leverage,especially enterprise leverage, but there is still room for growth in household leverage.In the future, regulators can further steadily advance the deleveraging process by adopting structural measures to increase household leverage and reduce corporate leverage. At the same time, the development of the capital market should be accelerated to stabilize the negative impact that macro-leverage may have on economic growth.