金融周期视角下政策不确定性对杠杆率的影响研究  

Impact of Policy Uncertainty on Leverage Ratio from the Perspective of Financial Cycle

作　　者：李程 王雨莹 游弋 LI Cheng;WANG Yuying;YOU Yi(School of Economics and Management,Tiangong University,Tianjin 300387,China;School of Economics and Business Administration,Chongqing University,Chongqing 400030,China)

机构地区：[1]天津工业大学经济与管理学院,天津300387 [2]重庆大学经济与工商管理学院,重庆400030

出　　处：《山东财经大学学报》2024年第4期14-25,共12页Journal of Shandong University of Finance and Economics

基　　金：教育部人文社会科学后期资助项目“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”(21JHQ068)。

摘　　要：为了研究在金融周期的不同阶段如何优化各部门的杠杆率,选取2007年至2021年的经济政策不确定性指数与企业、金融和政府部门杠杆率数据,采取马尔科夫区制转换向量自回归(MS-VAR)模型,将金融周期识别为扩张阶段与收缩阶段,分区制研究经济政策不确定性指数对各部门杠杆率波动的影响。实证研究发现,这种影响存在异质性与非对称效应:各部门杠杆率在金融周期扩张阶段对政策不确定性的响应程度高于金融周期收缩阶段;政策不确定性在金融周期扩张阶段降低企业和政府杠杆率,在收缩阶段则是提高作用,而对金融部门杠杆率在任何阶段都是正向冲击。因此,应该根据杠杆率的顺逆周期特征判断政策调整方向,降低政策不确定性的不良影响,减少金融周期带来的不利冲击。In order to research how to optimize the leverage ratio of various sectors at different stages of the financial cycle,this study,by selecting the data of the economic policy uncertainty index and the leverage ratio data of enterprises,finance and government sectors from January 2007 to December 2021 and adopting the Markov-Switching Vector Autoregressive Model(MS-VAR),identifies the financial cycle as an expansion stage and a contraction stage,and researches on partition system on the impact of economic policy uncertainty index on the volatility of various sectors’leverage ratio.The empirical research has found that there exist heterogeneity and asymmetric effects in this impact:the response degrees of various sectors’leverage ratios to policy uncertainty during the expansion stage of the financial cycle are higher than those during the contraction stage of the financial cycleand meanwhile,policy uncertainty reduces the leverage ratio of enterprises and governments during the expansion stage of the financial cycle and increases during the contraction stage of the financial cycle,and it has a positive impact on the leverage ratio of the financial sectors at any stage.Therefore,it is necessary to judge the direction of policy adjustment based on the pro-and anti-cyclical characteristics of leverage ratio so as to reduce the adverse effects of policy uncertainty and minimize the adverse impact of financial cycles.

关 键 词：经济政策不确定性 金融周期 各部门杠杆率 MS-VAR 模型 

分 类 号：F832[经济管理—金融学]