金融杠杆如何影响系统性金融风险——U型关系与空间溢出
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摘要
本文基于我国30个省份2005—2016年的面板数据,采用固定效应两阶段最小二乘法(FE2SLS)和空间杜宾模型实证检验金融杠杆对系统性金融风险水平的作用。研究发现:(1)金融杠杆与系统性风险水平呈现U型关系,金融部门与实体经济发展的不适配会通过资本配置扭曲导致系统性风险水平增加;(2)各类过度金融化指标均显著为正,表明不合理的金融杠杆水平将推升系统性金融风险;(3)在不同空间距离权重下,金融杠杆对系统性风险基本呈现显著的负向直接效应,但东部金融杠杆已越过产生风险集聚效应的拐点,且各地区均呈现显著空间溢出效应。因此,维持合理的金融杠杆水平,分地区实施差异性金融政策,对于防范系统性金融风险具有重要意义。
Based on panel data from 30 provinces over the year of 2005 to 2016, this paper analyzes the effects of financial leverage on systemic financial risk by using FE2 SLS estimation and Spatial Durbin Model. The empirical analysis yields the following results:(1) there is an U-shaped relationship between financial leverage and systemic risk level, the inadequacy of financial sector and real economy will lead to increasing systemic risk level via capital allocation distortion;(2) all types of over-financialization indicators are significantly positive, indicating that unreasonable financial leverage level would boost systemic financial risk;(3) under different spatial distance weights, financial leverage basically exerts significant negative direct effect on systemic risk, except for the eastern region, whose financial system has crossed the inflection point and produce risk agglomeration effect, and each region presents significant spatial spillover effect.Therefore, maintaining reasonable financial leverage level and implementing differentiated financial policies by region,is of great significance for preventing systemic financial risks.
Based on panel data from 30 provinces over the year of 2005 to 2016, this paper analyzes the effects of financial leverage on systemic financial risk by using FE2 SLS estimation and Spatial Durbin Model. The empirical analysis yields the following results:(1) there is an U-shaped relationship between financial leverage and systemic risk level, the inadequacy of financial sector and real economy will lead to increasing systemic risk level via capital allocation distortion;(2) all types of over-financialization indicators are significantly positive, indicating that unreasonable financial leverage level would boost systemic financial risk;(3) under different spatial distance weights, financial leverage basically exerts significant negative direct effect on systemic risk, except for the eastern region, whose financial system has crossed the inflection point and produce risk agglomeration effect, and each region presents significant spatial spillover effect.Therefore, maintaining reasonable financial leverage level and implementing differentiated financial policies by region,is of great significance for preventing systemic financial risks.
引文
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[3]张杰,杨连星.资本错配、关联效应与实体经济发展取向[J].改革,2015(10):32-40.
[4]Era D,S Narapong.Revisiting the Link Between Finance and Macro-economic Volatility[J].IMF Working Papers 13/29,2013.
[5]Turner A.What do banks do?Why do credit booms and busts occur and what can public policy do about it?”,in:A.Turner et al(eds),The Future of Finance:The LSE Report[R].London Publishing Partnership,2010.
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[7]Wagner W.Diversification at Financial Institutions and Systemic Crises[J].Journal of Financial Intermediation,2010,19:373-386.
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[9]Borio C,Drehmann M.Assessing the Risk of Banking Crises-Revisited.BIS Quarterly Review,2009(3):29-46.
[10]Gertler P,Hofmann B.Monetary Facts Revisited.BIS Working Papers,No.556,2016.
[11]马勇.系统性金融风险:一个经典注释[J].金融评论,2011(4):1-17.
[12]Elekdag S A,Wu Y.Rapid Credit Growth:Boon or Boom-Bust?[J].IMF Working Paper,NO.11/241,2011.
[13]李扬.“金融服务实体经济”辨[J].经济研究,2017,52(6):4-16.
[14]潘晶.我国非金融企业杠杆率高企原因及去杠杆路径[J].武汉金融,2016(12):58-60.
[15]陶玲,朱迎.系统性金融风险的监测和度量--基于中国金融体系的研究[J].金融研究,2016(6):18-36.
[16]Wurgler J.Financial Markets and the Allocation of Capital[J].Journal of Financial Economics,2000:58.
[17]Elhorst J P,Freret S.Evidence of Political Yardstick Competition in France Using a Two-Regime Spatial Durbin Model with Fixed Effects[J].Journal of Regional Science,2009,49(5):931-951.
[18]LeSage J P,Pace R K.Introduction to Spatial Econometrics.Boca Raton,CRC Press,London:Taylor Francis Group,2009.
[19]马宇,王群利.人口老龄化对政府债务风险影响的实证研究--基于20个发达国家动态面板数据的分析[J].国际金融研究,2015(5):46-55.
[20]郭丽虹,张祥建,徐龙炳.社会融资规模和融资结构对实体经济的影响研究[J].国际金融研究,2014(6):66-74.