金融学院知识库

       在中美贸易摩擦的背景下，我国经济发展的外部环境出现了不利的变化。内部，我 国经济正处于调整经济结构，转变经济发展方式的关键时期，面临着各种矛盾和问题的 相互交织与叠加。因此，经济积累的风险不断增加，经济下行压力也不断加大。所以， 打好防范化解重大风险攻坚战，保持宏观杠杆率基本稳定，仍然是我国今后一段时间的 主要任务之一。虽然适度的杠杆有利于经济增长和发展，但杠杆过度往往容易引发资产 价格大幅波动和泡沫，提高经济和金融的系统性风险，甚至诱发危机，进而危害金融和 实体经济。因此，研究杠杆对资产价格波动的影响，不仅有助于宏观杠杆率的稳定，优 化杠杆结构，保持杠杆的合理水平，而且有助于避免由于资产价格大幅波动引发的系统 性金融风险甚至危机等。         本文的杠杆选择的是四部门杠杆，即政府部门、金融部门、非金融企业部门和家庭 部门四部门杠杆，同时选择房地产价格波动和股票价格波动作为资产价格波动的代表， 具体研究不同杠杆对不同资产价格波动的影响，分析其中的作用机制与具体影响效应。 首先对杠杆等相关概念进行了界定与辨析，对杠杆与资产价格关系的相关文献进行了综 述等。其次，本文基于“债务—通货紧缩”理论和杠杆周期理论，从理论层面进一步分 析杠杆对资产价格影响的机制与效应，进而为实证分析提供了理论指导。最后，通过选 择 1999 年 10 月至 2018 年 12 月，共计 231 组四部门杠杆率和股票与房地产价格波动率 的月度数据，建立 VAR 模型，利用格兰杰因果检验、脉冲响应和方差分解等，实证分析 和检验了杠杆对资产价格波动的影响。结果表明：（1）时间上，杠杆对资产价格波动 的影响具有滞后性；（2）影响效应上，不同的杠杆对不同的资产价格波动影响不同。 其中，政府部门杠杆和非金融企业部门杠杆对房地产价格波动具有向下的负向效应，金 融部门杠杆和家庭部门杠杆对房地产价格波动具有向上的正向效应。政府部门、非金融 企业部门和家庭部门三部门杠杆对股票价格波动没有明显的影响效应，只有金融部门杠 杆对其具有向上的正向效应；（3）杠杆对资产价格波动具有一定的影响，但却不是主 要因素，影响资产价格波动的主要因素是其本身；（4）反之，资产价格波动对杠杆也 具有引致效应影响。

Against the background of Sino-US trade frictions, the external environment of China's economic development has undergone adverse changes. Internally, China's economy is in a critical period of adjusting the economic structure and transforming the mode of economic development, and is facing the interweaving and superposition of various contradictions and problems. Therefore, the risks of economic accumulation are increasing and downward pressure on the economy is increasing. Therefore, it is still one of China's major tasks to continue to fight against major risks and maintain a stable macro-leverage ratio. Although moderate leverage is conducive to economic growth and development, excessive leverage often tends to cause large fluctuations and bubbles in asset prices, raise systemic risks in the economy and finance, and even induce crises, thereby jeopardizing finance and the real economy. Therefore, studying the impact of leverage on asset price fluctuations will not only help stabilize macro leverage, optimize the structure of leverage, and maintain a reasonable level of leverage, but also help avoid systemic financial risks and even crises caused by large fluctuations in asset prices.

The lever of this article is the four-sector lever, that is, the government, financial, non-financial corporate, and household sectors. At the same time, real estate price fluctuations and stock price fluctuations are selected as representatives of asset price fluctuations. Specific studies on different leverages on different The impact of asset price fluctuations, analysis of the mechanism and specific effects. Firstly, the concept of leverage and other related concepts were defined and analyzed, and the related literature on the relationship between leverage and asset prices was reviewed. Secondly, based on the theory of "debt-deflation" and the theory of leverage cycle, this paper further analyzes the mechanism and effect of leverage on asset prices from a theoretical level, and then provides theoretical guidance for empirical analysis. Finally, by selecting 231 sets of monthly data on the leverage ratio of four sectors and the volatility of stock and real estate prices from October 1999 to December 2018, a VAR model was established, using Granger causality tests, impulse responses, and variance decomposition. The empirical analysis and test of the impact of leverage on asset price fluctuations. The results show that: (1) the effect of leverage on asset price volatility is lagging; (2) the effect of impact, different levers have different effects on different asset price fluctuations. Among them, the leverage of the government sector and the leverage of the non-financial corporate sector have a downward negative effect on real estate price fluctuations, and the leverage of the financial sector and household sector have an upward positive effect on real estate price fluctuations. Leverage of the government, non-financial corporate and household sectors has no significant effect on stock price fluctuations, only financial sector leverage has an upward positive effect on it; (3) leverage has a certain effect on asset price fluctuations, but But it is not the main factor. The main factor that affects asset price fluctuations is itself; (4) Conversely, asset price fluctuations also have an effect on leverage.