摘要
从资金存量表视角分析中国实体经济部门的债务负担和资产负债情况,并运用未定权益分析方法(CCA模型)分析2004至2020年住户、非金融企业、广义政府、金融机构和国外五大经济部门的隐含资产负债率及债务违约风险变化趋势。同时,结合中国2020年末资金存量表明细数据,构建部门间关联矩阵,运用宏观金融网络分析方法,模拟测算上述五大经济部门违约风险的传染效应。研究结果表明,住户部门的隐含资产负债率平稳较快上升,但总体债务违约概率较低;企业部门的隐含资产负债率波动较大,部分时点违约概率较高;政府部门的隐含资产负债率小幅稳定增长,整体违约概率较低;金融部门始终处于风险的最前端,在部门间金融资产负债关联网络处于中枢地位,受其他部门的风险冲击影响最大。建议充分发挥金融账户在系统性金融风险评估中的作用,保持宏观调控政策稳健有效,政策发力适当靠前。
This study examined the debt burden and status of assets and liabilities in China's real economy from the perspective of capital stock statement,and it analyzed the trends of change in underlying debt-to-asset ratio and default risk in five economic sectorsthe household sector,non-financial sector,the general government sector,the financial sector,and the foreign sector-based on the contingent claims analysis(CCA)model.At the same time,this study constructed an intersectoral correlation matrix in combination with detailed data in China's capital stock statement at the end of 2020 and then simulated and measured the contagion effect of default risk in the aforesaid five economic sectors based on macro financial network analysis.According to the results of this study,the underlying debt-to-asset ratio in the household sector rose steadily and rapidly,but the overall probability of default in this sector was low,whereas in the corporate sector,the underlying debt-to-asset ratio fluctuated greatly,while the probability of default was high at some points in time.Conversely,the underlying debt-to-asset ratio increased slightly and steadily,while the overall probability of default in this sector was relatively low.At the same time,the financial sector was always at the forefront of risk as it played a central role in the intersectoral financial asset-liability network,causing it to be most affected by risk shocks in other sectors.This study recommended fully realizing the role of financial accounts in the assessment of systemic financial risks and maintaining a sound and effective macro control policy with appropriate policy efforts at the forefront.
作者
高慧颖
周潮
刘安
仝恩有
Gao Huiying;Zhou Chao;Liu An;Tong Enyou
出处
《金融经济学研究》
CSSCI
北大核心
2023年第3期126-144,共19页
Financial Economics Research
基金
国家社会科学基金重点项目(22AJY022)。
关键词
资金流量核算
金融稳定
宏观金融网络
CCA模型
capital flow accounting
financial stability
macro financial network
CCA model
