“收益率宽幅”是导致宏观杠杆率攀升的原因吗

Does “Return Spread” Lead to the Rise in Macro Leverage

从会计学收益的微观视角研究宏观经济运行风险,发现货币性资产与投资性房地产之间的资产收益率差距持续拉大的经济现象,诱发宏观杠杆率攀升、金融风险加大。选取中国2000—2018年的年度数据,构建Koyck模型,实证检验不同类型资产之间的收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率的相关关系。结果表明,收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率之间存在着显著的正相关关系,收益率宽幅持续拉大,各部门宏观杠杆率不断攀升,资产泡沫难以抑制,宏观经济运行风险较大,这为平缓去杠杆、守住不发生系统性金融风险的底线提供了新视角。

From the micro perspective of accounting income,this paper studies the risk of macro-economic operation,finds that the gap between the return on assets between monetary assets and investment real estate continues to widen,which leads to the increase of macro leverage and financial risk.Based on the annual data of China from 2000 to 2018,the Koyck model is constructed to empirically test the relationship between the return spread of different types of assets and the leverage ratio of the government departments,the leverage ratio of the household sector,the leverage ratio of non-financial enterprises and the leverage ratio of the real economy.The results show that there is a significant positive correlation between the return spread and the leverage of government departments,the leverage of household sector,the leverage ratio of non-financial enterprises and the leverage ratio of the real economy.When "return spread" has continued to widen,and the macro leverage of various departments has been rising,asset bubbles will be hard to be suppressed,and macroeconomic risks will be great.This study has provides a new perspective for the smooth deleveraging and keeping the bottom line of no systemic financial risk.