异质性条件下的杠杆周期行为:基于资产价格视角的研究

发布时间：2018-03-23 20:03

本文选题：杠杆周期性　切入点：杠杆异质性　出处：《系统工程理论与实践》2017年10期

【摘要】：本文在杠杆异质性条件下构建包含两类杠杆投资者、一类非杠杆投资者的金融系统动态模型,从风险资产价格角度分析了金融机构投资者杠杆的周期性特征,并以2006年到2015年中国上市银行和证券公司的季度数据为样本,采用动态面板模型进行了实证分析.结果表明,杠杆异质性的存在可以降低金融机构的目标杠杆,有利于金融系统稳定;金融机构杠杆相对于资产价格表现出明显的顺周期性特征,但不同类型金融机构之间的杠杆顺周期行为具有明显差异;证券公司杠杆随股票价格的变化程度明显大于银行杠杆,银行杠杆随房地产价格变化的顺周期行为比证券公司杠杆更为显著;两者在股票价格和房地产价格大涨大跌时期的杠杆调整方向亦不相同.论文研究结论为金融机构灵活运用杠杆工具和监管当局完善监管体系提供了新的理论思路和经验证据.
[Abstract]:Under the condition of leverage heterogeneity, this paper constructs a dynamic model of financial system which includes two types of leveraged investors, one kind of non-leveraged investors, and analyzes the cyclical characteristics of leverage of financial institutional investors from the point of view of risk asset price. Based on the quarterly data of Chinese listed banks and securities companies from 2006 to 2015, the empirical analysis is carried out using dynamic panel model. The results show that the existence of leverage heterogeneity can reduce the target leverage of financial institutions. It is beneficial to the stability of financial system, the leverage of financial institutions shows obvious pro-cyclical characteristics relative to asset prices, but there are obvious differences between different types of financial institutions in the pro-cyclical behavior of leverage. The degree of securities company leverage changing with stock price is obviously greater than that of bank leverage, and the pro-cyclical behavior of bank leverage with real estate price is more significant than that of securities company leverage. The research conclusions of this paper provide new theoretical ideas and empirical evidence for financial institutions to flexibly use leverage instruments and regulatory authorities to improve the regulatory system.
【作者单位】：东南大学经济管理学院;
【基金】：国家自然科学基金面上项目(71473036,71273048) 中央高校基本科研业务费专项资金江苏省普通高校研究生科研创新计划(KYLX-0176)~~
【分类号】：F833.51

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