金融不确定性、企业违约风险与宏观经济下行

Financial Uncertainty,Corporate Default Risk and Macroeconomic Recession

内容:金融不确定性对经济体的负面影响不容忽视。本文构建包含银行与企业的两部门模型,结合模型推导以及数值模拟研究金融不确定性对经济下行风险的影响及其传导机制,并基于分位数回归对理论模型的结论进行检验。主要的研究结论如下:第一,金融不确定性对5%分位点产出增长率(即在险增长)有显著的负面影响,且该负面影响数倍于其他分位点,金融不确定性上升将加剧经济下行风险。第二,金融不确定性上升将紧缩银行信贷条件,影响企业的投资与生产,导致企业破产违约概率上升,加剧经济下行风险,而且企业违约风险上升后,会进一步放大金融不确定性对经济下行风险的负面影响。第三,房价下跌将加剧金融不确定性对经济下行风险的负面影响。本文为理解金融不确定性与经济增长的关系提供了新证据,为实现稳增长目标提供了新思路。

Financial uncertainty refers to exogenous and unpredictable shocks in the financial market,whose economic impacts cannot be neglected.Therefore,studying the economic effects of financial uncertainty is of great significance to China's goal of stabilizing the economy.This article constructs a two-sector model including banks and enterprises,combining model derivation and numerical simulation to study the impact of financial uncertainty on economic downside risk and its transmission mechanism.The conclusions of the theoretical model are tested based on quantile regression.This article shows that:firstly,financial uncertainty has a significant negative impact on the output growth rate at the 5th quantile,known as the growth at risk,with its negative impact several times higher than that observed at other quantiles.This suggests that the increase in financial uncertainty exacerbates economic downside risk.Secondly,the increasing financial uncertainty may tighten bank credit conditions,affect the investment and production of enterprises,lead to an increase in the probability of corporate bankruptcy default,and then exacerbate the economic downside risk.What's more,the increase in corporate default risk will further amplify the negative impact of financial uncertainty on the economic downside risk.Thirdly,falling housing prices will exacerbate the negative impact of financial uncertainty on downside risks to the economy.Regarding how to address the negative impacts of financial uncertainty on economic downside risk,this article gives three suggestions.Firstly,strengthen the financial uncertainty monitoring and management system,especially enhancing the capabilities of forecasting,analyzing,and responding to financial uncertainty.Secondly,flexibly utilize various financial policy tools to effectively handle post-event responses,particularly paying more attention to the risks of capital flow disruption and default risks in the corporate sector caused by financial uncertainty.Thirdly,it is necessary to focus on housing price fluctuations and coordinate with real estate regulatory policies in a timely manner to maintain stable housing prices.