Research On Linkage And Spillover Of Leverage Ratio In Four Sectors In China

Since the financial collapse of 2008,China initiated the "Four trillion" scheme,and the macro leverage ratio increased significantly,forming the characteristics of rapid growth and unbalanced structure of China’s leverage ratio.China’s economy is currently undergoing a shift from high-speed growth to medium and high-speed growth.Under the pressure of slowing economic growth,structural deleveraging is particularly important,which also requires us to understand the structural relationship between leverage ratios among various departments.China’s macro leverage ratio involves multiple sectors,and the leverage ratios between various sectors are by no means static and isolated,but interconnected and interconnected.Therefore,only analyzing the relationship between leverage ratios in a single sector or two sectors can easily lead to the misconception of "blind people feeling the elephant".It is necessary to observe and analyze within a unified framework of four sectors’ broad vision,so as to comprehensively grasp the changing trend of leverage ratios in various sectors,and explore their impact mechanisms and spillover effects.This article combines the influencing factors of the changes in leverage ratios of various departments and previous literature,and qualitatively deduces the spillover mechanism between various departments’ leverage ratios through logical analysis.Using the quarterly data of the National Center for Asset and Liability Research(CNBS)on the leverage ratio indicators of various sectors from March 2002 to June 2022,four sectors and their subordinate departments(including 8 sectors including the residential sector,central government,local government,government departments,financial sector assets,financial sector liabilities,non-financial enterprise sector,and real economy sector)were selected as nodes of the complex network,Construct a directed weighted four sector leverage ratio network based on correlation matrix and transfer entropy.Correlation analysis reveals that there exists certain spillover effect between the leverage ratios of each sector as a whole.In order to further understand the interaction between the leverage ratios of various sectors in different periods,we take the two major global events of "2008 Economic Crisis Outbreak" and "2020 COVID-19 Outbreak" as two key time nodes,divided into three periods,and establishing three VAR models to assess the spillover effects of the leverage ratios of four sectors as endogenous variables,By vertically comparing the performance characteristics and changes of leverage ratios in various departments at different period of time.The results are as follows: Firstly,in the complex network diagram composed of four sector leverage ratios,the leverage ratio of the residential sector has a greater impact in the network,occupying a more prominent central position,and is directly related to the leverage ratio of each sector.Relatively speaking,the regulatory role of the central government is relatively small,but the leverage ratio of local governments composed of the same government departments has a stronger impact,and has a strong correlation with the leverage ratio of other departments.In the weighted directed complex network constructed based on transfer entropy,the residential sector has the largest amount of information outflow,while the non-financial enterprise sector has the largest amount of information inflow.Secondly,in an empirical study based on a three stage VAR model,the spillover effect of the non-financial corporate sector is significant for the residential sector in the first and second stages;The spillover effect of the residential sector is significant for non-financial enterprises,governments,and financial sectors in the second stage;The financial sector and the government sector have mutual spillover effects in the third stage,and both the financial sector and the government sector have significant spillover effects on the non-financial enterprise sector.Based on the analysis results of this article,the following suggestions are proposed: Firstly,to strengthen countercyclical regulation in the process of structural deleveraging;Secondly,sustained efforts are still needed to stabilize the real estate market;Thirdly,enhance the ability of financial services to serve the real economy;Fourthly,further prevent and resolve local debt risks by standardizing government enterprise relations.