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| Leverage and Systemic Risk Contagion Mechanism: An Analysis Based on CCA Model |
| GOU Wenjun, YUAN Ying, QI Xin
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| The People’s Bank of China, NAFMII |
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Abstract Based on CCA model,we analyze the relationship between leverage and systemic risk theoretically and empirically. It shows that rising leverage could push up risk level across all economic sectors, and further accumulate risk in the financial sector which is the keynote of all economic sectors. As a result, systemic risk will be generated and transmitted through both debt channel and equity channel. Empirical study based on China data indicates that the remarkable rise of leverage, especially in the non-financial corporate sector, has significantly pushed up systemic risk. We suggest transferring leverage between sectors and developing equity financing to improve the robustness of the macro economy and financial system.
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Received: 02 November 2015
Published: 01 January 1900
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