Abstract:
Current researches have been used to measure leverage and debt risk of one country with debt ratio, but the analysis of its applicability and prerequisites is insufficient. The theoretical analysis shows that debt ratio neglects assets related to debt paying ability, which means there are flaws in theoretic basis and it may lead to a fuzzy positioning in policy practice. Thus, the current debt ratio is not a perfect indicator of assessing debt risk. In contrast, asset-liability ratio can make up for these shortcomings. Combining these two indicators, we can better assess debt risk, while the difficulty lies in accurate estimation of assets. Using the conversion relationship between asset-liability, debt and capital output, this paper overcomes the difficulty of estimating leverage. With BIS and PWT data, this paper revalues leverage data of 42 major countries in the world from 1950 to 2015, and preliminarily tests risk-forecasting ability of the new indicator. Besides, combining these two indicators, debt risk of China is reappraised. The results show that the rise of Chinese debt ratio is mainly due to the increase of capital output, rather than the increase of leverage, and the core problem of Chinese debt lies not in leverage ratio, but in the quality of assets and the efficiency of its output. This is essentially different from the phenomenon in Europe and the United States that the rise of debt is mainly from the rise of leverage, thus, there should be different solutions accordingly.
刘晓光, 刘元春. 杠杆率重估与债务风险再探讨[J]. 金融研究, 2018, 458(8): 33-50.
LIU Xiaoguang, LIU Yuanchun. Revaluation of Leverage and Further Discussion of Debt Risk. Journal of Financial Research, 2018, 458(8): 33-50.
Acemoglu, D. 2009. Introduction to Modern Economic Growth. New Jersey: Princeton University Press.
[12]
Barro, R. J., and Sala-I-Martin, X. 2004. Economic Growth. Cambridge, Massachusetts: MIT Press.
[13]
Bernanke, B. S., Gertler, M., and Gilchrist, S. 1999. “The Financial Accelerator in a Quantitative Business Cycle Framework.” Handbook of Macroeconomics. Armsterdam: North Holland, pp. 1231~1745.
[14]
Cuerpo, C., Drumond I., and Lendvai J. 2013. “Indebtedness, Deleveraging Dynamics and Macroeconomic Adjustment.” European Commission, Directorate-General for Economic and Financial Affairs.
[15]
Diamond, D. W. 1991. “Debt Maturity Structure and Liquidity Risk”. Quarterly Journal of Economics, 106(3), pp. 709~37.
[16]
Fan, J. P. H., and Twite, G. 2011. “An International Comparison of Capital Structure and Debt Maturity Choices.” Journal of Financial & Quantitative Analysis, 47(1), pp. 23~56.
[17]
Feenstra, R. C., Inklaar, R., and Timmer, M. P. 2015. “The Next Generation of the Penn World Table.” American Economic Review, 105(10), pp. 3150~3182.
[18]
Fisher,I. 1933. “The Debt Deflation Theory of Great Depressions.” Econometrica, 4(1), pp. 337~357.
[19]
IMF, International Monetary Fund. 2015. “Vulnerabilities, Legacies, and Policy Challenges Risks Rotating to Emerging Markets.” IMF Global Financial Stability Report, (Washington).
[20]
Laeven, L. and Valencia F. 2013. “Systemic Banking Crises Database.” IMF Economic Review, 61(2), pp. 225~270.
[21]
Levine, R. 2006. “Finance and Growth: Theory and Evidence.” In P. Aghion and S. Durlauf (Eds.), Handbook of Economic Growth, pp. 865~934. New York: Elsevier North-Holland.
[22]
McKinnon, R. I. 1973. “Money and Capital in Economic Development.” Washington, D.C.: Brookings Institution.
[23]
Minsky, H. P. 1986. “Stabilizing an Unstable Economy.” New Haven: Yale University Press.
[24]
Minsky, H. P. 1994. “The Debt Deflation Theory of Great Depressions.” Prepared for the Encyclopedia of Business Cycles.
[25]
Reinhart, C. M., and Rogoff, K. S. 2010. “Growth in a Time of Debt.” American Economic Review, 100(2), pp. 573~578.
[26]
Shaw, A.S.. 1973. “Financial Deepening in Economic Development.” New York: Oxford University Press.
[27]
Shen, C. and Lee C. 2006. “Same Financial Development Yet Different Economic Growth: Why?” Journal of Money Credit & Banking, 38(7), pp.1907~1944.
[28]
Tobin, J.. 1975. “Keynesian Models of Recession and Depression”. The American Economic Review, 65(2), pp. 195~202.
