债务违约的生成机理与风险测度——基于资本收支均衡的经济学逻辑  

Debt Default Generation and Risk Measurement

作　　者：丁志国[1,2] 丁垣竹 赵宣凯 Ding Zhiguo;Ding Yuanzhu;Zhao Xuankai(Center for Quantitative Economics,Jilin University;Business School,Jilin University;School of Economics,Central University of Finance and Economics;China Center for Internet Economy Research)

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院 [3]中央财经大学经济学院 [4]中央财经大学中国互联网经济研究院

出　　处：《数量经济技术经济研究》2022年第4期127-146,共20页Journal of Quantitative & Technological Economics

基　　金：2019年国家社会科学基金青年项目“上市公司原始股东减持的主观动机、时机选择及市场影响研究”(19CJY060)资助。

摘　　要：研究目标:基于理论模型推演,分析债务违约的生成机理,明晰企业融资规模的合理范围和债务违约的边界条件,测算中国市场债务违约风险特征,以及美国货币政策转向对中国实体经济部门违约风险的可能冲击。研究方法:基于企业资本收支均衡方程,理论推演债务违约的生成机理,选取2003~2020年A股市场数据,实证判别中国债务违约风险特征,以及外部政策转向的冲击效应。研究发现:理论推演表明:企业资本结构选择存在确定的债务安全边界和债务违约边界,可以划分为债务安全区、失速区和违约区三种状态,企业一旦进入债务失速区,就会在自我加强机制的作用下加速滑向违约区;资本收益率、债务成本和资本结构共同决定了企业所处的债务状态,资本收益率的下降和债务成本的上升,都可能引发企业在既有资本结构下陷入债务困境;委托代理问题是企业债务违约的内在动因,宏观经济冲击则是实体经济部门“违约潮”可能的外生触发机制。实证结果表明:当前中国市场债务违约风险总体可控,但局部风险和潜在风险不容小觑;美国货币政策转向对中国实体经济部门违约风险具有刺激作用,必须借助宏观政策积极应对。研究创新:基于理论模型推演,给出企业债务风险的定量判别依据、债务违约生成机理的自我加强机制以及实体经济“违约潮”的可能触发机制,为资本结构选择以及重大金融风险防范的理论研究提供新的视角和分析框架;基于市场数据,测度中国实体经济部门的债务违约风险,为预判外部政策转向对中国实体经济的冲击效应提供经验证据。研究价值:为企业管理者制定融资方案提供定量的参考依据,为宏观管理部门精准预判和科学防范重大金融风险提供理论依据和数据支持。Research Objectives:Based on theoretical deduction,analyze the generation of debt default,give the reasonable range of corporate financing and the boundary of default,estimate the default risk in Chinese market,and the possible impact of future US monetary policy shift on Chinese corporate sector default risk.Research Methods:Based on the capital balance equation,this paper theoretically deduces the generation of debt default,measures the default risk of China using A-share market data from 2003 to 2020,and judges the impact of external policy change.Research Findings:Theoretical deduction shows that there are definite debt safety boundary and debt default boundary in corporate financing.Capital structure can be divided into three states:safety zone,stall zone and default zone.Once enterprises enter stall zone,they will accelerate to default zone under self-reinforcing mechanism.Capital return,debt cost and capital structure jointly determine the debt status of enterprises.The decline of capital return and the rise of debt cost will cause enterprises to fall into difficulties under the existing capital structure.Principal-agent problem is the intrinsic cause of corporate default,while macroeconomic shock is the external possible trigger of“default tide”in real economy sector.The empirical results show that the current default risks in the Chinese market are generally under control,but local risks and potential risks should not be underestimated.The shift of US monetary policy can stimulate default risk of the enterprise sector,which requires active response from macro policies.Research Innovations:Based on the theoretical deduction,the paper gives the quantitative basis of default risk,the generation of debt default and the trigger of“default tide”,which provides a new perspective and framework for the theoretical research of capital structure selection and financial risk prevention.Based on market data,this paper measures the default risk of China’s real economy sector,providing empirical evidence for

关 键 词：债务违约 资本结构 货币政策 资本收益率 债务成本 

分 类 号：F270[经济管理—企业管理] F275[经济管理—国民经济]