金融结构、非金融企业部门杠杆率与系统性风险——基于2008—2020年跨国面板数据的研究

Financial Structure,Non-Financial Corporate Sector Leverage and Systemic Risk——A Study Based on Cross-Country Panel Data from 2008 to 2020

本文基于2008—2020年44个国家(地区)的数据,探讨金融结构对系统性风险的影响及非金融企业部门杠杆率的中介效应。研究表明:金融结构市场化程度提高有利于降低系统性风险,但存在国别异质性,对中低收入国家(地区)的降低作用强于高收入国家(地区);非金融企业部门杠杆率是两者关系的重要传导渠道。进一步研究发现,金融结构对系统性风险存在双重门槛效应,当金融结构指数低于第一门槛值和高于第二门槛值时,金融结构市场化程度提高对系统性风险的抑制作用最强。此外,国家(地区)国民储蓄率越低、银行经营越稳健、政府治理能力越强,金融结构市场化程度提高对系统性风险的抑制作用越显著。

Based on the data of 44 countries and regions from 2008 to 2020,this paper implores the impact of financial structure on systemic risk and the mediation effect of leverage in the non-financial corporate sector. The research shows that increased marketization of the financial structure is conducive to reducing systemic risk,but there is country heterogeneity and the reduction effect is stronger for low-and middle-income countries than for high-income countries;the leverage ratio of the non-financial corporate sector is an important transmission channel between financial structure and systemic risk. Further research finds that the effect of financial structure on systemic risk has a double threshold effect. When the financial structure index is lower than the first threshold and higher than the second threshold,the marketization of financial structure has the strongest inhibitory effect on systemic risk. In addition,the lower the national savings rate, the more robust the bank operations, and the stronger the governance capacity of the government in a country(region),the more significant the suppressive effect of increased marketization of the financial structure on systemic risk.