宏观杠杆率与银行违约风险的研究
重庆大学硕士学位论文
（专业学位）
学生姓名：文莉娜
指导教师：周孝华教授
专业学位类别：金融
研究方向：商业银行风险管理
答辩委员会主席：刘辛教授
授位时间：2023年6月
Research on Macro leverage ratio and Bank
Default Risk
A Thesis Submitted to Chongqing University
in Partial Fulfillment of the Requirement for the
Professional Degree
By
Lina Wen
Supervised by Prof.Xiaohua Zhou
June,2023
重庆大学硕士学位论文中文摘要一个国家的宏观杠杆与其经济发展的有效性和金融市场的风险性有着密切的
关系。在2008年后我国为应对金融危机的影响大幅增加基础设施建设，大规模信
贷扩张使得中国宏观杠杆率整体上扬，企业的冗余问题越发严重，2017年政府提
出“防范化解重大风险”，2022年二十大报告中也多次提到“防范化解重大风险”。
银行业金融风险的防范一直被多方重视，在我国无论是个人还是企业更倾向于向
银行部门借款，并且，在当前国家经济发展形势下，银行违约风险的问题日益处
于风口浪尖，海南银行、包商银行的破产敲响了我国“银行不倒闭”的警钟，河
南村镇银行的流动性危机更是一记重锤，这些都对我国银行业发展带来难以忽视
的影响。因此，为实现经济高质量发展，改善社会民生和公共服务，研究宏观杠
杆率对银行违约风险的影响具有重要的理论和现实意义。
本文首先从国内外对宏观杠杆率、银行违约率以及宏观杠杆率对银行违约风
险影响研究这三个角度对现有的文献进行了整理，理清两者概念定义和计算口径，
对已有的研究思想、理论基础和实际情况进行了深度的剖析，并且对杠杆率对银
行违约风险的影响机制进行分析。运用实证方法对2000-2022年42家上市银行面
板数据进行研究，建立改进后的KMV 模型，求出违约距离和违约概率，进而算出
整个银行业的违约概率。最后建立VAR 模型，求出宏观杠杆率对整个银行违约风
险的脉冲响应并对其进行方差分析。
由实证结果可以得出，近年来，我国宏观杠杆率与银行业整体违约概率呈正
向关系，宏观杠杆率的上升是导致银行业整体违约概率上升的原因之一，但各部
门杠杆率的增加对银行的违约风险起到助长作用程度不同。在非金融部门，杠杆
率的增长会对银行的信贷违约风险产生的作用是较小的，在居民和政府部门中，
两者的杠杆变化会对银行的违约风险表现出较为显著的效果。
目前我国经济处于经济发展的复苏阶段，各行各业需求开始增加，企业开始
着手扩大再生产，资金需求开始上升，实体经济部门的杠杆率会进一步加大，国
家应该在重点领域引导资金流向，银行部门必须合理规划好自身的资产结构，银
行贷款必须严格风控，倾斜资金使用领域，使资金流向还款能力强劲的部门，使
得自身的违约风险处于可控范围内。这与我国的供给侧结构性改革政策一脉相承，
寻找新的经济增长点，提升资金利用效率，防范各部门系统风险的滋生。
关键词：宏观杠杆率；银行违约风险；违约概率
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重庆大学硕士学位论文英文摘要
ABSTRACT
The macroeconomic leverage of a country is closely related to its effectiveness in
economic development and the risk of financial markets.After 2008,China has
significantly increased infrastructure construction to cope with the impact of the
financial crisis.Large scale credit expansion has made China's macro leverage ratio
ratio rise as a whole,and the problem of enterprise redundancy has become more
serious.In 2017,the government proposed "preventing and resolving major risks",and
the report on the 2022Twentieth National Congress also mentioned "preventing and
resolving major risks"many times.The prevention of financial risks in the banking
industry has always been highly valued by multiple parties.In China,both individuals
and enterprises tend to borrow from the banking sector.Moreover,in the current
economic development situation,the issue of bank default risk is increasingly on the
forefront.The bankruptcies of Hainan Bank and Baoshang Bank have sounded the
alarm bell of "banks will not fail"in China,and the liquidity crisis of Henan Rural Bank
is a heavy blow,These have had an undeniable impact on the development of China's
banking industry.Therefore,in order to achieve high-quality economic development
and improve people's livelihood and public services,it is of great theoretical and
practical significance to study the impact of macro leverage ratio on bank default risk.
This paper first sorts out the existing literature from the three perspectives of
domestic and foreign research on macro leverage ratio ratio,bank default rate and the
impact of macro leverage ratio ratio on bank default risk,clarifies the definition and
calculation caliber of the two concepts,analyzes the existing research ideas,theoretical
basis and actual situation in depth,and theoretically analyzes the relationship between
them on this basis.The empirical method is used to study the panel data of 42listed
banks from 2000to 2022,establish an improved KMV model,calculate the default
distance and default probability,and then calculate the default probability of the entire
banking industry.Then,the VAR model is established to calculate the impulse response
of the fluctuation of macro leverage ratio ratio to the default risk of the whole bank and
analyze its variance.
From the empirical results,it can be concluded that in recent years,China's macro
leverage ratio ratio has a positive relationship with the overall default probability of the
banking industry.The rise of the macro leverage ratio ratio is one of the reasons for the
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重庆大学硕士学位论文英文摘要
rise of the overall default probability of the banking industry,but the increase of the
leverage ratio ratio of each department has different effects on the default risk of banks.
In the non-financial sector,the increase of leverage ratio will have a small effect on the
bank's credit default risk.In the residential and government sectors,the change of
leverage will have a more significant effect on the bank's default risk.
At present,China's economy is in the recovery stage of economic development.
The demand of all walks of life begins to increase.Enterprises begin to expand
reproduction.The demand for funds begins to rise.The leverage ratio ratio of the real
economy sector will further increase.The state should guide the flow of funds in key
areas.The banking sector must reasonably plan its own asset structure.Bank loans must
be strictly controlled,and the use of funds must be prioritized,Enable funds to flow to
departments with strong repayment capabilities,keeping their default risk within a
controllable range.This is in line with China's supply side structural reform policy,
seeking new economic growth points,improving fund utilization efficiency,and
preventing the breeding of systemic risks in various departments.
Keywords:Macro leverage ratio;Bank default risk;Default probability
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