宏观经济冲击、企业杠杆与银行风险  

Macroeconomic shocks,firm leverage and bank risk

作　　者：郭晔[1,2] 渠宇轩 陈凌凌 GUO Ye;QU Yuxuan;CHEN Lingling(School of Economics,Xiamen University,Xiamen 361005,China;The Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China)

机构地区：[1]厦门大学经济学院,厦门361005 [2]厦门大学王亚南经济研究院,厦门361005

出　　处：《系统工程理论与实践》2022年第6期1463-1480,共18页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金重大项目(20&ZD106)。

摘　　要：宏观经济冲击引致的风险将通过实体和金融领域之间的联系蔓延至金融体系,本文从理论与实证两个方面对这一过程进行了深入分析.本文首先构建了包含家庭、企业和银行部门的两期一般均衡模型,揭示宏观经济冲击下银企风险的传导和联动;在此基础上,选取了2017-2020年中国上市银行及其借贷关联企业的微观数据作为样本,以新冠肺炎疫情为例,实证检验了宏观经济冲击、企业杠杆与银行风险三者的关系.结果表明:1)企业杠杆增加会显著推升信贷关联银行的风险水平;2)宏观经济冲击会进一步强化企业杠杆上升对银行风险的推升作用;3)宏观经济冲击下企业杠杆增加对银行风险的推升效果存在异质性,在股份制银行、国有企业和大型企业中尤为明显.此外,宏观经济冲击下企业杠杆对银行风险的影响具有非对称性,对银行风险分布的50%及以下分位数存在显著影响且越趋于左尾效果越明显.In this paper,we explore the transmission of risks induced by macroeconomic shocks from real economy to financial sector.We first construct a two-period general equilibrium model that includes households,firms and banks,to reveal the mechanism of macroeconomic shocks affecting bank risks.Based on a quarterly dataset of 14 major listed banks and their lending-related firm clients from 2017 to 2020,we empirically test the firm leverage channel through which macroeconomic shocks(Corona Virus Disease2019 as an instance) affect bank risks.The results show that:1) The increase in the firm leverage will significantly push up the risk of banks that provide credit services for these firms;2) macroeconomic shocks could further intensify the positive correlation between firm leverage and bank risk;3) the previous findings are more prominent among joint-stock banks,state-owned and large enterprises.In addition,the impact of firm leverage on bank risk under macroeconomic shocks is more pronounced for the 50% and lower quantiles of the distribution.

关 键 词：宏观经济冲击 企业杠杆 银行风险 

分 类 号：F832[经济管理—金融学]