金融结构性杠杆、资产回报与经济波动

摘要金融机构的资产负债表对于预测时间序列的资产超额回报具有一定的信息价值。基于其他存款性公司的表内杠杆、结构性杠杆和表外杠杆,通过建立结构向量自回归模型考察金融结构性杠杆、资产价格与经济波动的关系。实证研究表明:我国金融机构结构性杠杆对于时间序列上股票和债券超额回报具有一定的预测能力,金融机构资产负债表、信用利差和宏观经济变量之间存在着动态关系。金融机构资产负债表变量扩张越快,市场风险越大,从而影响产出、通胀等宏观变量。

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	张鑫

关键词：金融结构性杠杆结构负债收益率预测经济波动

Abstract： The balance sheet variables of financial institutions have information value for predicting the excess return of assets in time series. Commercial banks’ deposit liabilities are often unable to meet the flexible expansion of their balance sheets, and their marginal financing is also got through repurchase, capital market and other financial market means. The US financial market is dominated by direct financing represented by capital market. The balance sheet variables of securities companies and shadow banks are often more representative of their financial market risk preference. This paper proposes to use the structural liabilities and structural leverage of other deposit companies to represent the risk preference relationship in China’s financial market. On the one hand, the indirect financing represented by commercial banks is the main part of China’s financial market. On the other hand, the use of structural liabilities can more accurately represent the marginal changes in the balance sheet of commercial banks, thus more accurately depicting the risk preference relationship in China’s financial market. Empirical research shows that the structural leverage variable of Chinese financial institutions has predictive ability for the excess return of stocks and bonds in time series. Furthermore, it can use structural vector autoregressive model to examine the relationship between financial structural leverage, asset prices and economic fluctuations. The study finds that there is a dynamic relationship among financial institutions’ balance sheets, credit spreads and macroeconomic variables.

Keywords： Financial Structural Leverage Structural Liabilities Yield Forecasting Economic Volatility

收稿日期 2018-11-08; 接受日期 ;

作者简介: 张鑫(1985— ),男,山东莱芜人,博士研究生,主要从事资产定价、宏观金融研究。

引用本文:

张鑫.金融结构性杠杆、资产回报与经济波动[J]. 经济经纬, 2020,1: 159-166

ZHANG Xin.Financial Structural Leverage, Asset Return and Economic Volatility[J] Economic Survey, 2020,V37(1): 159-166

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2020/V37/I1/159