企业高杠杆率一定会引发银行系统性风险吗?——基于企业资产质量视角的再检验

Does the Rise of Enterprise Leverage Lead to the Systemic Risk of Banks?A Re-examination Based on the Perspective of Enterprise Asset Quality

既有研究关于企业杠杆率对系统性风险的影响存在争论,而以银行资产质量表征企业资产质量存在一定的缺陷。本文基于企业实际经营情况测度资产质量,分别从风险边际贡献和尾部关联两个维度测算中国上市银行系统性风险水平,并最终建立门限面板模型考察企业杠杆率水平和结构对银行系统性风险的非线性影响,以及企业资产质量在其中起到的调节效应。实证检验发现:在研究企业杠杆率对银行系统性风险的影响时需要考虑企业资产质量的作用,并且银行规模使得三者之间的关联关系带有非线性特征;企业杠杆率从边际贡献和关联溢出两维度对银行系统性风险产生不同的影响,且企业资产质量的调节效应亦存在差异。研究结果还表明:在系统性风险不同维度下,企业资产质量的调节效应也会因企业性质不同而存在显著差异性。鉴于企业资产质量所起到的重要调节作用,监管部门可考虑将国有、非国有企业资产质量分别纳入宏观审慎体系实现动态监管,并为防范金融风险提供分类施策工具。

Current studies show great different conclusions on the impact of leverage on systemic risk.And bank’s non-perform loan cannot perfectly represent the asset quality of the enterprises either.This paper evaluates the asset quality of the enterprises through their actual facts and measures the systemic risk of listed commercial banks in China from two different dimensions:risk marginal contribution and tail risk spillover.Finally,this paper models the nonlinear dependencies of the level and structure of the enterprises’leverage and the systemic risk through a threshold panel model,and adds the asset quality in the model to investigate its moderating effects.The empirical results show that:enterprise asset quality plays an important role in capturing the impact of enterprise leverage on bank systemic risk,and the bank size makes the correlation between the three have nonlinear characteristics.Corporate leverage has different effects on bank systemic risk from the two dimensions of marginal contribution and related spillover,and the regulatory effect of corporate asset quality is also different.The paper also finds that under different dimensions of systemic risk,the regulatory effect of enterprise asset quality is also significantly different due to the different nature of enterprises.In view of the important regulatory role played by the asset quality of enterprises,the regulatory authorities should incorporate financial facts of state-owned/non-state-owned enterprise when establishing macro prudential regulation system to realize dynamic supervision and providing different types of policy tools for preventing systemic risk.