资产负债表关联视角下的政府债务违约风险传染研究  

Research on Contagion of Government Debt Default Risk from the Perspective of Balance Sheet Correlation

作　　者：李程 刘涵 Li Cheng;Liu Han(School of Economics and Management Tiangong University,Tianjin 300387;School of Statistics Tianjin University of Finance and Economics,Tianjin 300222)

机构地区：[1]天津工业大学经济与管理学院,天津300387 [2]天津财经大学统计学院,天津300222

出　　处：《上海经济》2023年第4期56-76,共21页Shanghai Economy

基　　金：教育部哲社后期资助项目,资产负债表关联与风险溢出双重视角下的政府杠杆率结构性优化研究(批准号:21JHQ068)。

摘　　要：本文以政府部门为切入点,从理论和实证上分析政府债务对于宏观经济部门的影响。根据不同的金融工具构建分部门资产负债表关联矩阵,并运用未定权益分析(CCA)模型测度2007—2019年间我国系统性金融风险,模拟了政府部门在遭受债务违约情况下各部门系统性金融风险传染过程,研究结果表明:(1)考虑地方政府隐性债务后,政府部门的实际宏观杠杆率正在加速攀升;(2)政府部门隐性债务掩盖了部门内部系统性风险的实际积累水平,存在约1~2年的时滞效应;(3)政府部门债务违约后,金融部门遭受的损失最大;但考虑隐性债务后,非金融企业部门遭受的损失最为严重且形成的系统性风险停留时间更长,化解难度更大,对经济体的损害更深。因此要将地方政府隐性债务控制在合理区间,更注重杠杆监管的长期性,处理好经济部门间的债务转化关系,为地方政府有效控制风险留出空间。This paper takes the government sector as the starting point,and analyzes the impact of government debt on the macroeconomic sector theoretically and empirically.According to different financial instruments,a sub-sectoral balance sheet correlation matrix is constructed,and the Contingent Claims Analysis(CCA)model is used to measure my country's systemic financial risk from 2007 to 2019,and simulate the systemic financial risk of each department when the government sector suffers from debt default.The research results show that:(1)after taking into account the implicit debt of local governments,the actual macro leverage ratio of the government sector is accelerating;(2)the implicit debt of the government sector conceals the actual accumulation level of systemic risks within the sector,and there are The time lag effect of about 1-2 years;(3)After the debt default of the government sector,the financial sector suffers the most losses;but after considering the implicit debt,the non-financial corporate sector suffers the most serious losses and the resulting systemic risk stays for a long time Longer,more difficult to resolve,and deeper damage to the economy.Therefore,it is necessary to control the implicit debt of local governments within a reasonable range,pay more attention to the long-term nature of leverage supervision,handle the debt transformation relationship between economic departments,and leave room for local governments to effectively control risks.

关 键 词：资产负债表关联 债务杠杆 地方政府隐性债务 部门间风险传染 

分 类 号：F222[经济管理—国民经济]