债务杠杆与系统性风险传染机制--基于CCA模型的分析  

Leverage and Systemic Risk Contagion Mechanism:An Analysis Based on CCA Model

作　　者：苟文均[1] 袁鹰[1] 漆鑫[2] 

机构地区：[1]中国人民银行,北京100800 [2]中国银行间市场交易商协会,北京100033

出　　处：《金融研究》2016年第3期74-91,共18页Journal of Financial Research

摘　　要：本文以CCA模型为基础,对债务杠杆与系统性风险传染之间的内在联系进行了理论和实证分析。结果表明,债务杠杆攀升能够通过推升国民经济各部门风险水平,并使风险积聚于占据网络结构中心的金融部门,进而通过债务和股权两个渠道显著影响系统性风险的生成与传递。基于我国数据的实证分析显示,我国国民经济尤其是非金融企业部门债务杠杆的大幅攀升,已显著推升我国系统性风险水平,而在国民经济部门间实施杠杆转移,通过大力发展企业股权融资改善企业融资结构等措施能有效提升我国宏观经济和金融体系的整体稳健性。Based on CCA model,we analyze the relationship between leverage and systemic risk theoretically and empirically. It shows that rising leverage could push up risk level across all economic sectors,and further accumulate risk in the financial sector which is the keynote of all economic sectors. As a result,systemic risk will be generated and transmitted through both debt channel and equity channel. Empirical study based on China data indicates that the remarkable rise of leverage,especially in the non- financial corporate sector,has significantly pushed up systemic risk. We suggest transferring leverage between sectors and developing equity financing to improve the robustness of the macro economy and financial system.

关 键 词：债务杠杆 系统性风险 风险传染 

分 类 号：F832.4[经济管理—金融学] F224