储蓄、偿债压力与金融稳定

Savings,Debt Servicing Pressures and Financial Stability

本文引入储蓄构建一个简明的偿债压力分析框架,研究了杠杆率与储蓄率相对变化对金融稳定的影响。理论分析认为,随着杠杆率/储蓄率上升,借款人“入不敷出”使贷款逾期率上升,将恶化银行资产质量;抵押品抛售加剧“资不抵债”放大了坏账损失,形成银行业危机连锁反应。基于国别数据及ROC方法的实证分析发现:杠杆率/储蓄率刻画的偿债压力对银行业危机具有良好预警力,在美国及欧债五国危机事件中预警效果明显优于杠杆率;杠杆率/储蓄率上升在发展中经济体和银行主导型金融体系导致的危机风险,显著高于发达经济体和市场主导型体系;资产质量下降及资产价格泡沫是偿债压力触发危机的关键环节。进一步研究表明,杠杆率/储蓄率兼容了偿债压力的流量-流量属性,对我国金融稳定实践具有重要参考价值。本文结论为探索完善我国宏观审慎政策的路径,防范储蓄变动带来“增长与稳定”双重掣肘提供了启示。

This paper constructs a concise analytical framework of debt service pressure,with savings being incorporated,and studies the impact of relative changes in the leverage ratio and savings rate on financial stability.According to the analysis,with the increase of leverage ratio/savings rate,borrowers’ “spending beyond their means” increases the delinquency rate of loans,which deteriorates the asset quality of banks;Collateral selling exacerbates “insolvency” and amplifies bad debt losses,eventually forming a chain reaction of banking crises.The empirical analysis and ROC test based on the country-level data show that the debt servicing pressure characterized by the leverage ratio/savings rate is a good early-warning indicator of banking crisis,and the early-warning effect is significantly better than that of the leverage ratio in the crisis events of the United States and the five European debt-ridden countries.The increase in the leverage ratio/savings rate leads to a significantly higher risk of crisis in developing economies and bank-led financial systems than in advanced economies and market-led systems.The decline of asset quality and the bubble of asset price are the key parts of the crisis triggered by debt repayment pressure.Further analysis shows that the leverage ratio/savings rate is compatible with the flow-flow attribute of debt servicing pressure,which has important implications for China’s financial stability practice.The conclusions provide enlightenment for exploring the path to improve the macro prudential policy in China,and preventing the double constraints on economic growth and financial stability caused by the fluctuation of savings rates.