债务与经济危机——基于分部门债务及债务波动性视角

Debt and Economic Crisis——From the Perspective of Sub-Sector Debt and Debt Volatility

本文聚焦债务与经济危机的关系,总结债务问题与危机爆发之间关联的背后机理,通过构建跨国面板Logit模型,从实证角度探究债务/GDP水平及波动对经济危机发生概率的影响。本文通过实证分析发现:第一,私人部门债务累积将提升危机发生概率,而政府部门债务累积在一定阶段内有助于降低危机发生概率。第二,各部门债务(包括总债务、私人债务、政府债务及外债等)/GDP水平在短期内过快上升或下降均会提高危机发生概率。第三,债务/GDP水平在短期内过快上升或下降对危机发生概率的影响程度高于债务/GDP水平本身。基于实证结果及相关分析,本文认为,当前我国财政政策还有一定空间,相关机构可以通过增加支出、减税等手段进行逆周期调节。但目前我国广义政府债务与GDP之比或已接近阈值,需保持审慎,注意关注地方融资平台债务规模。进一步研究发现,相较于总债务水平,应更多从分部门视角关注政府债务与私人债务风险;外债风险更难以控制且可能与汇率风险相叠加,需对其予以关注。

This paper focuses on the connection between debt and economic crisis,summarizes the mechanism behind,and attempts to explore the impact of the rise of debt/GDP level and volatility on the probability of crisis by using transnational panel data and building a Logit model.Through empirical analysis,this paper finds the following results.Firstly,the accumulation of private debt will increase the probability of crisis,while the accumulation of government debt will reduce the probability of crisis.Secondly,the quick rise or decline of debt/GDP level of any sector(including total debt,private debt,government debt and external debt)in the short term will increase the probability of crisis.Thirdly,the quick rise or decline of debt/GDP level in the short term has a more significant impact on the probability of crisis than debt/GDP level itself.Based on the empirical results and related analysis,this paper holds the view that currently there is still some space for fiscal policy in our country,therefore government could take counter-cyclical adjustments through increasing spending,tax abatement and other methods.Nevertheless,at present the proportion of China's general government debt to GDP is close to the threshold,which should be considered seriously,and government should pay attention to monitor debt accumulation of local government financing platforms at the same time.In addition,our conclusions illustrate that government debt level and private debt level are more important than total debt level,while external debt risk is more difficult to control and may be accompanied with currency risk,which also needs attention.