多部门杠杆波动与系统性金融风险

Leverage Volatility in Multiple Sectors and Systemic Financial Risk

本文基于SV-TVP-VAR模型,对不同微观部门杠杆波动与系统性金融风险各方面的关系进行时变分析。研究发现:(1)不同部门的杠杆波动在短期会滋生系统性金融风险,而长期则会对风险起到缓释作用;(2)系统性金融风险的变动会导致相应领域杠杆水平发生调整,不同部门间存在显著差异;(3)政府重心不同的“去杠杆”举措,会造成风险即期的异质性变动,但风险水平会逐渐回落。因而,当前需灵活制定不同部门的杠杆调控政策,依托宏观审慎监管体系实现结构性“稳杠杆”与防范系统性金融风险的动态平衡。

Based on SV-TVP-VAR model,combined with different lag periods and three rounds of “deleveraging” measures of the government,this paper analyzes a temporal change in the relationship between leverage fluctuations in different micro sectors and systemic financial risks.The study found the following results.Firstly,leverage fluctuations in different sectors will lead to systemic financial risks in the short term,but they will mitigate risks in the long term.Secondly,The change of systemic financial risk will lead to the adjustment of leverage level in corresponding fields,and there are significant differences between different departments.Thirdly,The government pays attention to different “deleveraging” measures,which will cause immediate heterogeneous changes in risk,but the risk level will gradually decline.In a word,it is important to flexibly formulate leverage control policies for different departments,and rely on the macro-prudential supervision system to achieve a dynamic balance between structural “stabilizing leverage” and preventing systemic financial risks.