部门杠杆率、部门储蓄与我国宏观金融系统传染性  

Research on the Leverage Rate of Economic Sectors, Sector Savings and Macro-financial Network Contagion in China

作　　者：刘勇[1] 白小滢[2] 

机构地区：[1]武汉大学经济与管理学院 [2]中南财经政法大学金融学院

出　　处：《国际金融研究》2017年第10期3-13,共11页Studies of International Finance

基　　金：国家自然科学基金项目"收入断层背景下中国宏观金融风险传导机理与去杠杆化政策模拟研究"(项目编号:71403194);教育部人文社科基金项目"我国宏观金融稳定研究:基于网络传染乘数的视角"(项目编号:13YJC790099);教育部哲学社会科学发展报告建设项目"中国金融发展报告"(项目编号:11JBG006)资助

摘　　要：我国国民经济的部门杠杆率及负面冲击在部门间的传染路径对我国宏观金融系统稳定和去杠杆政策的制定及执行具有重要参考价值。既往研究由于忽视部门储蓄的内生再平衡机制,可能高估部门杠杆导致的总体风险传染性。本文基于宏观金融网络分析框架,首次通过构建传染乘数,在部门储蓄终止损失传染的模式下测度了我国宏观金融系统的传染性,并进而量化模拟了去杠杆与系统传染性之间的关系。模型研究发现,传染乘数由冲击的平衡效应和反弹效应构成,部门去杠杆可通过直接和间接两种效应降低系统传染性。量化模拟结果表明,国外、住户和金融机构部门的去杠杆能显著减小源自其部门内部负面冲击的传染乘数,而政府与非金融企业部门的去杠杆效果较弱;多部门杠杆率联动下非金融企业部门大幅度去杠杆能有效降低我国宏观金融系统传染性。The leverage rate of economic sectors and the contagion effect of negative shocks between and among the sectors can shed light on the ongoing deleveraging efforts and the macro-financial stability policy in China. Existing research- es overestimate the macro-financial risk for they underestimate the endogenous rebalancing mechanism of the sectors created by sectors saving. Based on the analysis on macro-financial network, this paper measures the contagion effect of China＇s macro-financial system and evaluates the relationship between deleveraging and macro-financial stability by constructing contagion multiplier and introducing the loss-absorbing effect of the sectors. The paper finds that the contagion multiplier is a composite of balance effect and rebound effect, while deleveraging can decrease the contagion of the system through direct and indirect effect. The quantitative analysis shows that deleveraging in foreign sector, household sector and financial institu- tion sector could decrease the contagion of the negative shocks originating from their own sectors. However, deleveraging in government sector and non-financial corporation sector may hardly stabilize the macro-financial system which could be flipped out by government shock and non-financial shock. Deleveraging in non-financial corporation sector sufficiently can reduce the contagion effect of macro-financial system in China.

关 键 词：宏观金融稳定 传染乘数 部门杠杆率 部门储蓄 

分 类 号：F832.5[经济管理—金融学]