负债与实体经济间的非线性作用机制——理论与证据
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| Title | The Nonlinear Interaction Mechanism between Debt and Real Economy——Theory and Evidence
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| 作者 | 彭方平 连玉君 樊海潮 展凯 |
| Author | Peng Fangping, Lian Yujun, Fan Haichao and Zhankai |
| 作者单位 | 中山大学；上海财经大学；广东外语外贸大学 |
| Organization | Sun Yat-sen University; Shanghai University of Finance and Economics;Guangdong University of Foreign Studies |
| 作者Email | wuhanpengfp@163.com；lianyj@mail.sysu.edu.cn；fan.haichao@mail.shufe.edu.cn；zhank97@163.com |
| 中文关键词 | 金融压力 过度杠杆 非线性预测控制 传导效应 |
| Key Words | Financial Stress; Over-leveraging; NMPC; Transmission Effect; |
| 内容提要 | 如何评估负债对我国实体经济的影响？我国是否面临“债务悬崖”？是学术界当前关注的热点。本文考虑到我国经济自身的特殊性，应用非线性模型预测控制方法，从理论上分析了负债与实体经济间的非线性作用机制。理论研究结果表明，当经济处于低金融压力状态时，负债对实体经济有显著的驱动作用；而随着过度负债所引发的金融压力上升，当金融压力到达某一阈值后，对投资产生所谓“金融拖拽效应”，导致投资和实体经济下行，甚至危机的发生。研究还发现，在负债水平过高的情况下，金融与利率市场化很可能引发经济下滑和危机的发生。本文进一步应用非线性动态面板模型,从公司层面实证研究证实了负债对实体经济存在的非线性影响。上述研究结果所派生的政策含义是，一方面在当前经济整体负债较高的情况下，不宜过快推进利率市场化和金融自由化；另一方面，进一步杠杆化的刺激政策并无益于解决当前经济增速下滑问题，要重在通过资本重组、发展股权市场等方式来去杠杆和刺激投资。 |
| Abstract | How to assess the impact of debt on the real economy in China and whether China is facing a "debt cliff" have become a hot topic in the academic circle today. In this paper, On account of China`s reality characters, we theoretically analyze the nonlinear interaction mechanism between debt and real economy by using nonlinear model predictive control method. Theoretical results show that when the economy is in a low financial stress state, the real economy is driven significantly by debt positively. But when financial stress rises caused by increasing debt and reaches a certain threshold, the so-called "financial drag effect" on the investment appears and causes the investment and the real economy downward. The study also finds that, in the case of high debt in China today, financial and interest rate liberalization is likely to lead to the economic downturn and even crisis. This paper further makes an empirical research by using nonlinear dynamic panel model from the firm level and confirms the above nonlinear relationship between debt and real economy. The policy implications of the above results are that: On the one hand, on account of high debt level at present, it is not suitable to promote market-oriented interest rate and financial liberalization too fast. On the other hand, further leveraged stimulus policies and cannot help to solve the current economic downturn. On the contrary, deleveraging and stimulating investment by developing stock market and using capital reorganization should be adopted. |
| 文章编号 | WP947 |
| 登载时间 | 2015-11-03 |
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