银行家问卷调查与信贷周期理论的再检验  

Bank Lending Surveys and Credit Cycles Revisited

作　　者：刘岩 赵雪晴 LIU Yan;ZHAO Xueqing(Economics and Management School,Wuhan University;School of Economics,Peking University)

机构地区：[1]武汉大学经济发展研究中心,湖北武汉430072 [2]北京大学经济学院,北京100871

出　　处：《金融研究》2023年第12期188-206,共19页Journal of Financial Research

基　　金：国家自然科学基金(72173091);国家社会科学基金重大项目(20&ZD105)的资助。

摘　　要：信贷周期理论认为,金融体系信贷供给扩张造成的宏观杠杆率上升,将导致未来总产出紧缩甚至经济危机。本文收集了42国央行的银行家问卷调查数据,利用其中银行贷款标准指标测度信贷供给情况,并将其作为宏观杠杆率的工具变量,从而在控制内生性偏误的基础上,对信贷周期理论进行再检验。主要发现:第一,信贷标准放松所带来的私人部门宏观杠杆率增速每提高1%,未来1年的总产出增速将下降0.23-0.43%,5年的平均增速将下降0.15%左右;且该效应由非政策性因素带来的信贷标准放松所导致。第二,信贷供给驱动的家庭部门杠杆上升在短期会推动总产出上升,但长期会引起总产出下降;而企业部门杠杆上升则会更快地引起持续的产出下降。第三,新兴市场经济体信贷周期现象更突出,且集中在企业部门杠杆变动。本研究表明,保持信贷标准及信贷供给稳定,是实现经济平稳运行的必要条件,新兴市场经济体尤其要警惕企业部门信贷驱动下杠杆率快速上升带来的风险。The 2008 global financial crisis underscores the risks of high macroeconomic leverage and highlights the classic credit-driven financial cycle theories of Kindleberger(1978)and Minsky(1977),fueling extensive theoretical and empirical research post-crisis(Eggertsson and Krugman,2012;Schularick and Taylor,2012).Concurrently,China witnessed a significant rise in its macro leverage ratio,drawing concentrated policy attention.In 2015,China embarked on a deleveraging policy,and in recent years,it has implemented a series of measures to curb the growth of leverage.However,stimulus policies due to the COVID-19 pandemic in 2020 have reignited concerns about macro leverage risks.Global liquidity stimulus policies increase macro leverage ratios,raising a critical,unresolved question about their impact on the global economy.The core of credit-driven financial cycle theory pertains to the excessive flow of credit from the financial sector to non-financial sectors,creating investment surpluses and asset bubbles.This illusory prosperity fails to generate real output,leading to defaults,asset crashes,and economic downturns through Fisher's(1933)debt-deflation mechanism.The theory predicts that credit supply-induced increases in the macro leverage ratio(credit stock/total output)result in reduced future output.Although the literature confirms a negative relationship between macro leverage and future total output,it fails to establish causality,making it unable to provide credible validation of debt-driven financial cycle theory.Understanding the dynamics of changes in leverage is crucial for devising precise macro leverage management policies.The key mechanism of debt-driven financial cycles is excessive credit supply,marking supply-side-driven leverage changes as particularly hazardous.Accurately identifying supply-side credit effects on future output is vital for optimal macro policy decisions.In this study,we manually collect a novel cross-country dataset(from the Bank Lending Survey),covering quarterly data for 42 countries f

关 键 词：信贷周期 信贷标准 宏观杠杆率 总产出 

分 类 号：F831[经济管理—金融学]