|
|
|
| Financial Leverage, Economic Growth, and Financial Stability |
| MA Yong, TIAN Tuo, RUAN Zhuoyang, ZHU Junjun
|
| School of Finance/China Financial Policy Research Center, Renmin University of China |
|
|
|
|
Abstract Based on panel data from 91 countries over the year of 1983 to 2012, this paper analyzes the effects of financial deleveraging and financial leverage volatility on economic growth and financial stability by using system GMM estimation. The empirical analysis yields the following results: (1) there is a robust negative relationship between financial deleveraging and economic growth and the deleveraging process is generally associated with higher probability of financial crisis; (2) the volatility of financial leverage has a negative impact on both economic growth and financial stability. These conclusions have explicit policy implications for economic growth and financial stability. First, to prevent the excessive leverage of the financial system, preemptive measures should be taken to strengthen the macroeconomic management of financial leverage. Second, in the passive deleveraging process of the post-crisis period, to escape economic recession and financial instability caused by fast financial deleveraging, the policy authority should adopt progressive strategies and fully consider the smoothing operation of policy implementation.
|
|
Received: 02 September 2015
Published: 13 April 2018
|
|
|
|
|
| [1] |
陈雨露和马勇,2013,《大金融论纲》,中国人民大学出版社,第420~435页。
|
| [2] |
陈雨露、马勇和李濛,2010,《金融危机中的信息机制:一个新的视角》,《金融研究》第3期,第1~15页。
|
| [3] |
陈雨露、马勇和徐律,2014,《老龄化、金融杠杆与系统性风险》,《国际金融研究》第9期,第3~14页。
|
| [4] |
李扬、张晓晶和常欣,2013,《中国国家资产负债表2013——理论、方法与风险评估》,中国社会科学出版社,第2~60页。
|
| [5] |
马勇和陈雨露,2013,《宏观审慎政策的协调与搭配:基于中国的模拟分析》,《金融研究》第8期,第57~69页。
|
| [6] |
田拓和马勇,2013,《中国的短期跨境资金流动——波动性测度及影响因素分析》,《金融研究》第12期,第87~99页。
|
| [7] |
杨明秋,2011,《发达国家金融系统的去杠杆化趋势及其影响》,《中央财经大学学报》第2期,第33~38页。
|
| [8] |
张明和贺军,2013,《中国经济去杠杆化的潜在风险》,《金融市场研究》第12期,第4~9页。
|
| [9] |
钟伟和顾弦,2009,《从金融危机看金融机构的去杠杆化及其风险》,《中国金融》第2期,第24~25页。
|
| [10] |
Adrian, T., and N. Boyarchenko, 2015, “Intermediary Leverage Cycles and Financial Stability,” Federal Reserve Bank of New York Staff Reports, No. 567.
|
| [11] |
Arellano M., and O. Bover, 1995, “Another Look at the Instrumental-Variable Estimation of Error-Components Models”, Journal of Econometrics, 68: 29~51.
|
| [12] |
Arellano M., and S. Bond, 1991, “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, Review of Economic Studies, 58: 277~297.
|
| [13] |
Avgouleas, E., 2015, “Bank Leverage Ratios and Financial Stability: A Micro and Macroprudential Perspective”, Levy Economics Institute Working Paper, No. 849.
|
| [14] |
Bezemer, D., and L. Zhang, 2014, “From Boom to Bust in the Credit Cycle: the Role of Mortgage Credit”, Working Paper.
|
| [15] |
Bhattacharya, S., Goodhart, C., Tsomocos, D., A. Vardoulakis, 2011, “Minsky’s Financial Instability Hypothesis and the Leverage Cycle”, LSE Financial Markets Group Paper Series Special Paper, No. 202.
|
| [16] |
Bouis, R., A. Christensen, and B. Cournède, 2013, “Deleveraging: Challenges, Progress and Policies”, Economics Department Working Papers, No. 1077.
|
| [17] |
Buttiglione, L., P. Lane, L. Reichlin., and V. Reinhart, 2014, “Deleveraging? What Deleveraging”, Geneva Reports on the World Economy, No. 16.
|
| [18] |
Cuerpo, C., I. Drumond, J. Lendvai, P. Pontuch, and R. Raciborski, 2013, “Indebtedness, Deleveraging Dynamics and Macroeconomic Adjustment”, European Economy, Economic Papers,No. 477.
|
| [19] |
Dermiguc-Kunt, A.,Karacaovali, B. and L. Laeven, 2005, “Deposit Insurance Around the World: A Comprehensive Database,” World Bank Policy Research Working Paper,No. 3628.
|
| [20] |
Devlin, W., and H. McKay, 2008, “The Macroeconomic Implications of Financial Deleveraging”, Working Paper.
|
| [21] |
Greenlaw. D., A. Kashyap, and K. Schoenholtz, 2012, “Stressed Out: Macroprudential Principles for Stress Testing”, Chicago Booth Paper No. 12~08.
|
| [22] |
Glick, R., and K. Lansing, 2009, “U.S. Household Deleveraging and Future Consumption Growth”, FRBSF Economic Letter, No.16.
|
| [23] |
Hinrichsen, S., 2012, “The Deleveraging Cycle”, Working Paper.
|
| [24] |
Laeven, L, and F. Valencia, 2012, “Systemic Banking Crises Database: An Update”, IMF Working Paper, No. 12/163.
|
| [25] |
Lund, S., C. Roxburgh, and T. Wimmer, 2010, “The Looming Deleveraging Challenge”, McKinsey Quarterly, Working Paper.
|
| [26] |
Mian, A., and A. Sufi, 2011, “What Explains High Unemployment? The Deleveraging – Aggregate Demand Hypothesis”, University of California, Berkeley and NBER, Working Paper.
|
| [27] |
Roxburgh, C.,S.Lund,T. Wimmer, E. Amar, A. Charles, J.H. Kwek, R. Dobbs, and J. Manyika, 2011, “Debt and Deleveraging: The Global Credit Bubble And Its Economic Consequences”, McKinsey Global Institute, Working Paper.
|
| [28] |
Shilling, A., 2012, The Age of Deleveraging, Updated Edition: Investment Strategies for a Decade of Slow Growth and Deflation, New York: John Wiley Press.
|
| [29] |
Tepper, A., and K. Borowiecki, 2014, “A Leverage-Based Measure of Financial Instability”, Federal Reserve Bank of New York Staff Reports, No. 688.[30 Valencia, F., 2014, “Monetary Policy, Bank Leverage, and Financial Stability”, Journal of Economic Dynamics and Control, 47: 20~38.
|
| [31] |
Windmeijer, F., 2005, “A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators”, Journal of Econometrics, 126: 25~51.
|
|
|
|
