地方政府杠杆率与银行信贷风险研究——基于中国31省市空间面板的实证分析

The Study of Local Government Leverage Ratio and Bank Credit Risk—An Empirical Analysis Based on Spatial Panels of 31 Provinces in China

本文利用我国地方政府2005—2016空间年度数据构建了以资产负债率指标衡量的政府杠杆率。空间杜宾模型估计表明:(1)政府杠杆率每降低1%,银行不良贷款规模降低0.17%,信贷波动率下降0.09%。(2)从负债和资产两个角度来看,分子债务总额主要通过直接效应影响地区信贷风险,而分母资本总额则通过间接效应来影响信贷风险。(3)双区制空间杜宾模型回归结果表明政府杠杆率对银行信贷风险的影响存在空间非线性效应,本地金融发展水平、房地产投资强度等越高,则地区信贷风险的空间溢出效应越显著;而GDP增速区制变量则没有区别,该结论表明各级地方政府的决策仍然存在明显的唯GDP论的内在倾向。

Using the spatial data of China’s 31 provinces and cities in 2005-2016,this paper constructed the government leverage ratio measured by the asset-liability ratio(debt/asset).The study found that:(1)The Durbin model with fixed effect space estimates that for every 1%increase in government leverage,the credit risk(elasticity)increases by 0.17%and financial volatility increases by 0.09%.(2)From the perspective of debt and assets,increasing the total amount of molecular debt is more likely to affect macro financial risks through direct effects,while total denominator capital reduces financial risks through indirect effects.(3)The empirical results of the two regime spatial Dubin model show that the higher the local financial development and the real estate investment intensity,the more significant the spatial spillover effect of local bank credit risks;the regime regression of GDP growth rate is not significantly different.This conclusion confirms that the decision-making behavior of Chinese local governments still has obvious internal orientation of GDP-only.