杠杆率如何影响资产价格?——来自中国债券市场自然实验的证据
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摘要
杠杆周期理论表明,杠杆周期会影响金融体系的稳定性,资产的质押率(相应地,杠杆率)上升会提高资产价格;由于杠杆率一般是内生的,所以在实证上一直很难确立杠杆率与资产价格之间的因果关系。本文首次运用2017年1月到8月中国证券交易所债券市场和银行间债券市场的债券发行数据,利用中国银行间债券市场和交易所债券市场对同类债券的不同质押率规定的自然实验,对杠杆率与资产价格之间的因果关系进行了实证检验。结果表明,债券的可质押属性可以提高债券的价值,这验证了杠杆周期理论的预测,即杠杆率上升会使得资产价格上升。因此,杠杆率对资产价格有重要影响,是宏观审慎监管的一种工具,也应该成为货币政策的一种工具。
Asset leverage has been the focus of academic research since the recent global financial crisis,and deleveraging has been at the heart of policy discussion. Leveraging and deleveraging are associated with the rise and fall of asset prices.In the modern financial system,collateral-based financial markets and monetary markets have become increasingly important. Investors can use their assets as collateral to borrow money. For instance,if a haircut is 20%,they can borrow an amount equal to 80% of the asset value( here Loan-to-Value,or LTV is 80%).Generally,for an asset,the following holds: leverage = 1/( 1-LTV) = 1/haircut. The haircut reflects the lender's fear that the value of the collateral will fall in the future. The greater the fear,the higher the haircut,hence the leverage will be lower.Leverage theory a la Geanakoplos shows that an increase in leverage will increase the asset price,because higher leverage better reflects optimism about the price; while due to short-sale constraints,the pessimistic view cannot be incorporated in the price. Leverage-induced boom-bust cycles lead to a fragile financial system and a volatile economy. Leverage cycles are a recurring historical phenomenon. Margin finance in the stock and housing markets is related to the Great Depression of 1929 – 1933 and the Great Recession following the 2008 financial crisis,respectively. China's stock market crash of 2015 is also related to margin finance.Although theory and history both have shown the importance of the leverage cycle,due to the endogeneity of leverage and asset prices in the financial system,it is notoriously hard to establish the causal effect of leverage on asset prices. This study is the first to exploit a natural experiment in China's bond markets in which the same type of bonds traded in both the inter-bank market and the exchange has differential regulatory margin requirements. It exploits this experiment to identify the causal effect of leverage by using data on bonds issued from January 2017 to August 2017 in these two markets.The study makes the following contributions. First,it is among the first to use a natural experiment to identify the causal effects of leverage on asset prices. Second,it sheds light on the market microstructure in the bond market; third,it sheds light on macro-prudential regulation and monetary policy.The natural experiment is as follows. The China Securities Depository and Clearing Corporation Limited( CSDC) is in charge of the registration,depository,and clearing of bonds listed on the exchange,while the Shanghai Clearing House is in charge of those listed in the inter-bank market. On April 7~(th),2017,the CSDCadjusted the pledging qualification for corporate bonds and removed from the collateral basket all corporate bonds listed on the exchange with a rating below AAA. This change only affected bonds issued after April 7 th,2017.In this context,this paper tries to show that the change in spreads of AA bonds listed on the exchange is significantly larger than those listed on the inter-bank bond market.The main idea is to exploit this new regulation as a natural experiment,thus the AA bonds listed on the exchange are taken as the treatment group and those in the inter-bank bond market as the control group. Using a difference-in-differences methodology,we test whether the collateral requirement( hence leverage) caused a change in price. The sample is the AA bonds issued on the exchange( including both the Shanghai and Shenzhen Stock Exchanges) between January and August 2017.The paper finds that leverage can increase the price of a bond by as much as 70 basis points. This finding is consistent with theoretical predictions,and is robust to tests with different time windows for the new regulation and to placebo tests. This paper also tests for parallel trends to see whether companies in the sample strategically choose the venue of issuance,and finds that potential strategic shopping does not affect the results.The paper thus establishes the causal effect of leverage on asset prices. It has important implications for financial markets and monetary policy. For a long time,economists and central bankers have regarded interest rates as the most important variable in the economy. However,in the modern collateral-based financial system,leverage is sometimes more important. In terms of monetary policy,central banks have never regarded leverage as a tool,and this neglect has caused the failure of interest rate-based monetary policy and the recurrence of leverage cycles. An ideal monetary policy should take both leverage and interest rates into account.
Asset leverage has been the focus of academic research since the recent global financial crisis,and deleveraging has been at the heart of policy discussion. Leveraging and deleveraging are associated with the rise and fall of asset prices.In the modern financial system,collateral-based financial markets and monetary markets have become increasingly important. Investors can use their assets as collateral to borrow money. For instance,if a haircut is 20%,they can borrow an amount equal to 80% of the asset value( here Loan-to-Value,or LTV is 80%).Generally,for an asset,the following holds: leverage = 1/( 1-LTV) = 1/haircut. The haircut reflects the lender's fear that the value of the collateral will fall in the future. The greater the fear,the higher the haircut,hence the leverage will be lower.Leverage theory a la Geanakoplos shows that an increase in leverage will increase the asset price,because higher leverage better reflects optimism about the price; while due to short-sale constraints,the pessimistic view cannot be incorporated in the price. Leverage-induced boom-bust cycles lead to a fragile financial system and a volatile economy. Leverage cycles are a recurring historical phenomenon. Margin finance in the stock and housing markets is related to the Great Depression of 1929 – 1933 and the Great Recession following the 2008 financial crisis,respectively. China's stock market crash of 2015 is also related to margin finance.Although theory and history both have shown the importance of the leverage cycle,due to the endogeneity of leverage and asset prices in the financial system,it is notoriously hard to establish the causal effect of leverage on asset prices. This study is the first to exploit a natural experiment in China's bond markets in which the same type of bonds traded in both the inter-bank market and the exchange has differential regulatory margin requirements. It exploits this experiment to identify the causal effect of leverage by using data on bonds issued from January 2017 to August 2017 in these two markets.The study makes the following contributions. First,it is among the first to use a natural experiment to identify the causal effects of leverage on asset prices. Second,it sheds light on the market microstructure in the bond market; third,it sheds light on macro-prudential regulation and monetary policy.The natural experiment is as follows. The China Securities Depository and Clearing Corporation Limited( CSDC) is in charge of the registration,depository,and clearing of bonds listed on the exchange,while the Shanghai Clearing House is in charge of those listed in the inter-bank market. On April 7~(th),2017,the CSDCadjusted the pledging qualification for corporate bonds and removed from the collateral basket all corporate bonds listed on the exchange with a rating below AAA. This change only affected bonds issued after April 7 th,2017.In this context,this paper tries to show that the change in spreads of AA bonds listed on the exchange is significantly larger than those listed on the inter-bank bond market.The main idea is to exploit this new regulation as a natural experiment,thus the AA bonds listed on the exchange are taken as the treatment group and those in the inter-bank bond market as the control group. Using a difference-in-differences methodology,we test whether the collateral requirement( hence leverage) caused a change in price. The sample is the AA bonds issued on the exchange( including both the Shanghai and Shenzhen Stock Exchanges) between January and August 2017.The paper finds that leverage can increase the price of a bond by as much as 70 basis points. This finding is consistent with theoretical predictions,and is robust to tests with different time windows for the new regulation and to placebo tests. This paper also tests for parallel trends to see whether companies in the sample strategically choose the venue of issuance,and finds that potential strategic shopping does not affect the results.The paper thus establishes the causal effect of leverage on asset prices. It has important implications for financial markets and monetary policy. For a long time,economists and central bankers have regarded interest rates as the most important variable in the economy. However,in the modern collateral-based financial system,leverage is sometimes more important. In terms of monetary policy,central banks have never regarded leverage as a tool,and this neglect has caused the failure of interest rate-based monetary policy and the recurrence of leverage cycles. An ideal monetary policy should take both leverage and interest rates into account.
引文
[1]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。
[2]马勇和陈雨露,2017,《金融杠杆、杠杆波动与经济增长》,《经济研究》第6期,第31~45页。
[3]马勇、田拓、阮卓阳和朱军军,2016,《金融杠杆、经济增长与金融稳定》,《金融研究》第6期,第37~51页。
[4]童中文、范从来、朱辰和张炜,2017,《金融审慎监管与货币政策的协同效应---考虑金融系统性风险防范》,《金融研究》第3期,第16~32页。
[5]王爱俭和王璟怡,2014,《宏观审慎政策效应及其与货币政策关系研究》,《经济研究》第4期,第17~31页。
[6]汪莉和陈诗一,2015,《政府隐性担保、债务违约与利率决定》,《金融研究》第9期,第66~81页。
[7]王永钦、陈映辉和杜巨澜,2016,《软预算约束与中国地方政府债务违约风险:来自金融市场的证据》,《经济研究》第11期,第96~109页。
[8]Adrian,T.and H.Shin,2008,“Liquidity and Financial Cycles”,BIS Working Paper,No.256.
[9]Adrian,T.and H.Shin,2010,“Liquidity and Leverage”,Journal of Financial Intermediation,19(3):418~437.
[10]Ashcraft,A.,Garleanu,N.and L.Pedersen,2011,“Two Monetary Tools:Interest Rates and Haircuts”,NBERMacroeconomics Annual,25(1):143~180.
[11]Bian,J.,Z.He,K.Shue and H.Zhou,2018,“Leverage-induced Fire Sales and Stock Market Crashes”,NBERWorking Paper,No.25040.
[12]Cecchetti S.and E.Kharroubi,2012,“Reassessing the Impact of Finance on Growth”,BIS Working Papers,No.381.
[13]Chen,L.,D.Lesmond and J.Wei,2007,“Corporate Yield Spreads and Bond Liquidity”,Journal of Finance,62(1):119-149.
[14]Chen,H.,Z.Chen,Z.He,J.Liu and M.Xie,2018,Pledgeability and Asset Prices:Evidence From the Chinese Corporate Bond Markets”,MIT,Working paper.
[15]Collin-Dufresne,P.and R.Goldstein,and J.Martin,2001,“The Determinants of Credit Spread Changes”,Journal of Finance,56(6):2177~2207.
[16]Dable-Norris,E.and N.Srivisal,2013,“Revisiting the Link Between Finance and Macroeconomic Volatility”,IMFWorking Papers,13(29).
[17]Dang,T.V.,G.Gorton and B.Holmstr9m,2015,“The Information Sensitivity of a Security”,Working Paper,Yale University.
[18]Fostel,A.and J.Geanakoplos,2008,“Leverage Cycles and the Anxious Economy”,American Economic Review,98(4):1211~1244.
[19]Fostel,A.and J.Geanakoplos,2012a,“Tranching,CDS and Asset Prices:How Financial Innovation Can Cause Bubbles and Crashes”,American Economic Journal:Macroeconomics,4(1):190~225.
[20]Fostel,A.and J.Geanakoplos,2012b,“Why Does Bad News Increase Volatility and Decrease Leverage?”Journal of Economic Theory,147(2):501~525.
[21]Fostel,A.and J.Geanakoplos,2015,“Leverage and Default in Binomial Economies:A Complete Characterization”,Econometrica,83(6):2191~2229.
[22]Garleanu,N.and Pedersen,L.H.,2011.Margin-based Asset Pricing and Deviations from the Law of One Price.Review of Financial Studies,24(6):1980~2022.
[23]Geanakoplos,J.,1996,“Promises,Promises”Cowles Foundation Discussion Paper,No.1143.
[24]Geanakoplos,J.,2003,“Liquidity,Default,and Crashes,Endogenous Contracts in General Equilibrium”in Advances in Economics and Econometrics:Theory and Applications II,Published by Cambridge University Press,pp.170~205.
[25]Geanakoplos,J.,2010,“The Leverage Cycle”in NBER Macroeconomics Annual,Eds.by Acemoglu,D.,Kenneth Rogoff and Michael Woodford,University of Chicago Press,pp.1~65.
[26]Geanakoplos,J.and W.Zame,2014,“Collateral Equilibrium I:a Basic Framework”,Economic Theory,56(3),pp.443~492.
[27]Gorton,G.and A.Metrick,2012,“Securitized Banking and the Run on Repo”,Journal of Financial Economics,104(3):25~451.
[28]Gorton,G.and A.Metrick,2013,“The Federal Reserve and Panic Prevention:the Roles of Financial Regulation and Lender of Last Resort”,Journal of Economic Perspectives,27(4),pp.45~64.
[29]Hansman,C.,H.Hong,W.Jiang,Y.Liu and J.Meng,2018,“Riding the Credit Boom”,Working Paper.
[30]Korinek,A.and A.Simsek,2016,“Liquidity Trap and Excessive Leverage”,American Economic Review,106(3):699~738.
[31]Manganelli,S.and A.Popov,2015,“Financial Development,Sectoral Reallocation,and Volatility:International Evidence”,Journal of International Economics,96(2):323~337.
[32]Mian,A.and A.Sufi,2009,“The Consequences of Mortgage credit Expansion:Evidence from the US.Mortgage Default Crisis”,Quarterly Journal of Economics,124(4):1449~1496.
[33]Mian,A.and A.Sufi,2010,“Household Leverage and the Recession of 2007-09”,IMF Economic Review,58(1):74~117.
[34]Mian,A.and A.Sufi,2011,“House Prices,Home Equity-based Borrowing,and the US Household Leverage Crisis”,American Economic Review,101(5):2132~2156.
1Arrow U证券:一种收益取决于下一期状态的证券,即当下一期状态为好时,其获得正的收益;当下一期状态为差时,其获得零收益。
1由于篇幅限制,本文的所有引理与定理的证明可以参阅本文的长版本。
2具体折扣系数规定参见《关于发布〈质押式回购资格准入标准及标准券折扣系数取值业务指引(2017年修订版)〉有关事项的通知》(中国结算发字[2017]47号)内的附件。
3事实上,为了保证后文的市场出清条件成立,可以使债券质押式回购的要求回报率比外部的无风险收益率高一个微小的量ε,使所有持有货币资金的参与人愿意将钱借给债券质押人。
1具体政策变化参见《关于发布〈质押式回购资格准入标准及标准券折扣系数取值业务指引(2017年修订版)〉有关事项的通知》(中国结算发字[2017]47号)。
1参见上海清算所《债券交易净额清算业务质押式回购质押券管理规程》。
1限于篇幅,此处的回归结果没有放进正文,具体结果可以参阅本文的长版本。
1限于篇幅,此处的回归结果没有放进正文,具体结果可以参阅本文的长版本。
[2]马勇和陈雨露,2017,《金融杠杆、杠杆波动与经济增长》,《经济研究》第6期,第31~45页。
[3]马勇、田拓、阮卓阳和朱军军,2016,《金融杠杆、经济增长与金融稳定》,《金融研究》第6期,第37~51页。
[4]童中文、范从来、朱辰和张炜,2017,《金融审慎监管与货币政策的协同效应---考虑金融系统性风险防范》,《金融研究》第3期,第16~32页。
[5]王爱俭和王璟怡,2014,《宏观审慎政策效应及其与货币政策关系研究》,《经济研究》第4期,第17~31页。
[6]汪莉和陈诗一,2015,《政府隐性担保、债务违约与利率决定》,《金融研究》第9期,第66~81页。
[7]王永钦、陈映辉和杜巨澜,2016,《软预算约束与中国地方政府债务违约风险:来自金融市场的证据》,《经济研究》第11期,第96~109页。
[8]Adrian,T.and H.Shin,2008,“Liquidity and Financial Cycles”,BIS Working Paper,No.256.
[9]Adrian,T.and H.Shin,2010,“Liquidity and Leverage”,Journal of Financial Intermediation,19(3):418~437.
[10]Ashcraft,A.,Garleanu,N.and L.Pedersen,2011,“Two Monetary Tools:Interest Rates and Haircuts”,NBERMacroeconomics Annual,25(1):143~180.
[11]Bian,J.,Z.He,K.Shue and H.Zhou,2018,“Leverage-induced Fire Sales and Stock Market Crashes”,NBERWorking Paper,No.25040.
[12]Cecchetti S.and E.Kharroubi,2012,“Reassessing the Impact of Finance on Growth”,BIS Working Papers,No.381.
[13]Chen,L.,D.Lesmond and J.Wei,2007,“Corporate Yield Spreads and Bond Liquidity”,Journal of Finance,62(1):119-149.
[14]Chen,H.,Z.Chen,Z.He,J.Liu and M.Xie,2018,Pledgeability and Asset Prices:Evidence From the Chinese Corporate Bond Markets”,MIT,Working paper.
[15]Collin-Dufresne,P.and R.Goldstein,and J.Martin,2001,“The Determinants of Credit Spread Changes”,Journal of Finance,56(6):2177~2207.
[16]Dable-Norris,E.and N.Srivisal,2013,“Revisiting the Link Between Finance and Macroeconomic Volatility”,IMFWorking Papers,13(29).
[17]Dang,T.V.,G.Gorton and B.Holmstr9m,2015,“The Information Sensitivity of a Security”,Working Paper,Yale University.
[18]Fostel,A.and J.Geanakoplos,2008,“Leverage Cycles and the Anxious Economy”,American Economic Review,98(4):1211~1244.
[19]Fostel,A.and J.Geanakoplos,2012a,“Tranching,CDS and Asset Prices:How Financial Innovation Can Cause Bubbles and Crashes”,American Economic Journal:Macroeconomics,4(1):190~225.
[20]Fostel,A.and J.Geanakoplos,2012b,“Why Does Bad News Increase Volatility and Decrease Leverage?”Journal of Economic Theory,147(2):501~525.
[21]Fostel,A.and J.Geanakoplos,2015,“Leverage and Default in Binomial Economies:A Complete Characterization”,Econometrica,83(6):2191~2229.
[22]Garleanu,N.and Pedersen,L.H.,2011.Margin-based Asset Pricing and Deviations from the Law of One Price.Review of Financial Studies,24(6):1980~2022.
[23]Geanakoplos,J.,1996,“Promises,Promises”Cowles Foundation Discussion Paper,No.1143.
[24]Geanakoplos,J.,2003,“Liquidity,Default,and Crashes,Endogenous Contracts in General Equilibrium”in Advances in Economics and Econometrics:Theory and Applications II,Published by Cambridge University Press,pp.170~205.
[25]Geanakoplos,J.,2010,“The Leverage Cycle”in NBER Macroeconomics Annual,Eds.by Acemoglu,D.,Kenneth Rogoff and Michael Woodford,University of Chicago Press,pp.1~65.
[26]Geanakoplos,J.and W.Zame,2014,“Collateral Equilibrium I:a Basic Framework”,Economic Theory,56(3),pp.443~492.
[27]Gorton,G.and A.Metrick,2012,“Securitized Banking and the Run on Repo”,Journal of Financial Economics,104(3):25~451.
[28]Gorton,G.and A.Metrick,2013,“The Federal Reserve and Panic Prevention:the Roles of Financial Regulation and Lender of Last Resort”,Journal of Economic Perspectives,27(4),pp.45~64.
[29]Hansman,C.,H.Hong,W.Jiang,Y.Liu and J.Meng,2018,“Riding the Credit Boom”,Working Paper.
[30]Korinek,A.and A.Simsek,2016,“Liquidity Trap and Excessive Leverage”,American Economic Review,106(3):699~738.
[31]Manganelli,S.and A.Popov,2015,“Financial Development,Sectoral Reallocation,and Volatility:International Evidence”,Journal of International Economics,96(2):323~337.
[32]Mian,A.and A.Sufi,2009,“The Consequences of Mortgage credit Expansion:Evidence from the US.Mortgage Default Crisis”,Quarterly Journal of Economics,124(4):1449~1496.
[33]Mian,A.and A.Sufi,2010,“Household Leverage and the Recession of 2007-09”,IMF Economic Review,58(1):74~117.
[34]Mian,A.and A.Sufi,2011,“House Prices,Home Equity-based Borrowing,and the US Household Leverage Crisis”,American Economic Review,101(5):2132~2156.
1Arrow U证券:一种收益取决于下一期状态的证券,即当下一期状态为好时,其获得正的收益;当下一期状态为差时,其获得零收益。
1由于篇幅限制,本文的所有引理与定理的证明可以参阅本文的长版本。
2具体折扣系数规定参见《关于发布〈质押式回购资格准入标准及标准券折扣系数取值业务指引(2017年修订版)〉有关事项的通知》(中国结算发字[2017]47号)内的附件。
3事实上,为了保证后文的市场出清条件成立,可以使债券质押式回购的要求回报率比外部的无风险收益率高一个微小的量ε,使所有持有货币资金的参与人愿意将钱借给债券质押人。
1具体政策变化参见《关于发布〈质押式回购资格准入标准及标准券折扣系数取值业务指引(2017年修订版)〉有关事项的通知》(中国结算发字[2017]47号)。
1参见上海清算所《债券交易净额清算业务质押式回购质押券管理规程》。
1限于篇幅,此处的回归结果没有放进正文,具体结果可以参阅本文的长版本。
1限于篇幅,此处的回归结果没有放进正文,具体结果可以参阅本文的长版本。