商业银行杠杆与宏观经济波动关系研究  

Study on the Correlation of Commercial Bank Leverage and Macroeconomic Fluctuations

作　　者：李劲娴 杨有振[1] 范瑞[1] LI Jin-xian;YANG You-zhen;FAN Rui(School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006,China)

机构地区：[1]山西财经大学金融学院,山西太原030006

出　　处：《统计与信息论坛》2022年第9期75-89,共15页Journal of Statistics and Information

基　　金：国家社会科学基金项目“流动性风险约束与中国商业银行资本结构的动态调整机制研究”(15BJY178);山西省高等学校哲学社会科学研究项目“‘双碳’背景下绿色金融发展对山西碳减排的影响研究”(2021W072);山西省哲学社会科学规划课题“资源型地区产业结构转型升级中数字金融驱动效应研究”(2021YY196)。

摘　　要：商业银行杠杆具有明显的顺周期效应,可见商业银行杠杆的周期调整都有可能引起宏观经济的巨大变动。基于2004年第1季度至2020年第4季度的相关数据,采用谱分析方法从时间序列的频域角度实证考察了商业银行杠杆变化对中国宏观经济波动的影响,并利用交叉谱方法研究了二者之间波动在时间上的领先滞后关系。实证结果表明:商业银行杠杆变化与中国宏观经济波动在短周期上表现为共变性,即商业银行杠杆与中国宏观经济的周期波动是一致的;商业银行杠杆变化与中国宏观经济波动在中长周期表现为非一致性,即商业银行杠杆与中国宏观经济的周期波动是不一致的;商业银行杠杆变化领先于中国宏观经济波动,说明商业银行杠杆变化对中国宏观经济波动具有一定的预警能力。进一步,通过机制检验发现:在短周期,实体投资是商业银行杠杆变化影响中国宏观经济波动的重要途径;而在中长周期,商业银行风险承担是商业银行杠杆变化影响中国宏观经济波动的重要渠道。因此,政府等部门在实施调整商业银行杠杆的相关政策时,应当重视商业银行杠杆变化和宏观经济波动的周期性以及阶段性波动规律,对不同周期的波动采取具有针对性以及自适应性的管理,从而使中国商业银行杠杆变化在适度的水平下支持宏观经济健康发展,切实发挥中国商业银行对实体经济增长的助推效应。The leverage of commercial banks has an obvious pro-cyclical effect,which shows that the cyclical adjustment of commercial banks may cause great changes in macroeconomic leverage.From the first quarter of 2004 to the fourth quarter of 2020,this paper empirically examines the relationship between Chinese macro-economy and commercial bank leverage from the point of view of frequency domain by using spectral analysis method.We also study the time-leading lag relation between the two fluctuations using the cross-spectrum method.The empirical results show that:(1)China’s macro economy and the commercia bank leverage cycle are covariant in the short cycle,that is the leverage of commercial banks is consistent with the cycle fluctuations of China’s macro economy;(2)China’s macro economy and the commercia bank leverage cycle are inconsistent in the medium and long cycle,that is the leverage of commercial banks and the cyclical fluctuations of China’s macroeconomic economy are inconsistent;(3)China’s macro economy behind the commercia bank leverage cycle,it shows that the leverage changes of commercial banks have a certain early warning ability for China’s macroeconomic fluctuations.In addition,using the mechanism for inspection,it is found that in the short period,real investment is an important way for the commercia bank leverage to affect China’s macro-economy;In the medium and long-term cycle,bank risk is an important channel for the commercia bank leverage to affect China’s macro-economy.Therefore,the government and other departments in implementing the relevant policies of commercial bank leverage,should pay attention to the commercial bank leverage changes and periodic fluctuations,and the fluctuations of different cycles of targeted and adaptive management,so that the commercial bank leverage change in a moderate level could support the healthy development of macro economy,give play to the effect of Chinese commercial banks boosting the growth of the real economy.

关 键 词：商业银行杠杆 宏观经济 主成分分析 谱分析 马尔可夫转换动态回归模型 

分 类 号：F222[经济管理—国民经济]