中国非金融部门信贷杠杆演变、特征和风险评估  

China's Non-financial Sector Credit Leverage: Evolution,Characteristics and Risk A ssessment

作　　者：陈暮紫[1] 李楠[2] 杨晓光[3,4] Chen Muzi;Li Nan;Yang Xiaoguang(Central University of Finance and Economics,Bejjing 100081;Shandong Normal University,Jinan 250014;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;University of Chinese Academy of Sciences,Beijing 100049)

机构地区：[1]中央财经大学,北京100081 [2]山东师范大学,济南250014 [3]中国科学院数学与系统科学研究院,北京100190 [4]中国科学院大学,北京100049

出　　处：《科技促进发展》2019年第11期1255-1268,共14页Science & Technology for Development

基　　金：国家自然科学基金面上项目(71673315):高波动率资本市场与银行体系间多层、立体风险传导网络研究,负责人:陈暮紫;国家自然科学基金应急项目(71850008):中国银行业信贷整体性风险的防范与化解,负责人:杨晓光;国.家社科基金重大项目(15ZDA011):新常态下我国宏观经济监测和预测研究,负责人:陈磊。

摘　　要：信贷杠杆一方面反映债务投资的效率,另一方面与信货风险管理息息相关。本文通过分部门、分企业产权、分行业和分地区的多维度视角.考察了中国2006-2017年非金融部门信贷杠杆的演变轨迹和特征。从严权结构来看,高效率的私营部门一度去杠杆速度太快;从分行业角度看,水利、电力和交通仓储等基础建设类行业近年来杠杆率增速最快;从分地区角度看,东部沿海区域杠杆增速相对稳定,中西部出现杠杆率区域聚集性的加速上行。本文进一步引入归一化最大熵赋权的方法,从信贷质量和经济发展两个维度的10余个指标对我国信贷风险进行了评估,通过动态信货风险得分结果可以看出,2015年整体信贷风险水平最高,2016-2017年在“稳经济、控杆杆”政策的推行下,信贷风险有所媛解;当前地域和行业的信贷风险仍存在结构性分化。东北、西北地区和基础建设批发零售和采矿业的信贷投资效率相对较低,风险偏大。Credit leverage reflects both the efficiency of credit allocation and its risk.This paper examines the evolution path and characteristics of China's non-financial sector credit leverage from 2006 to 2017 through a multi-dimensional perspective include economic sectors,enterprise property rights,industries and regions.From the perspective of property rights structure,the private firms which are more efficient once suffer much more.From the perspective of industries,infrastructure industries such as water conservancy,electric power and transportation and warehousing have the fastest growth rate of leverage in recent years.From a regional perspective,the growth rate of the easterm coastal region's leverage is relatively stable,and the central and western regions have risk aggregation area.Furthermore,this paper employs the method of normalized maximum entropy weighting,and evaluates China's credit risk from more than ten indicators of credit quality and economic development.Through the dynamic credit risk score results,the year with the highest risk is 2015,the credit risk has been alleviated under the implementation of the“"stable economic and control leverage”policy in 2016-2017;the current regional and industry credit risks still have structural differentation,northeast,northwest region and infrastructure,wholesale and retail.mining industry is relatively inefficient and risky.

关 键 词：信贷杠杆 稳杠杆 分地区 分行业 分产权 

分 类 号：F832.4[经济管理—金融学]