李成：Financial leverage interactions: evidence from US households and government sectors

    部门财务杠杆的互动：以美国家庭和政府为例
    作者：李成（中国社会科学院经济研究所）
    来源：《Applied Economics Letters》（《应用经济学快报》）Volume 30,2023-Issue 6
    ABSTRACT:Applying VAR/SVAR analysis to the national balance sheet data of the US, this paper provides evidence that the households markedly interact with those of government sectors through the channel of financial leverage, which is defined as the liabilities-to-assets ratio. In particular, the impulse-response and forecasting error decomposition analysis further show that the federal government plays an important role in absorbing the leverage shocks in households. Nevertheless, it should be emphasized that this role of the federal government as somewhat of a macroeconomic stabilizer also costs it heavily in view of its escalating leverage over time. Among other concerns, this highly leveraged financial position renders the federal balance sheet more vulnerable to macro-financial risks, thus reducing the room for manoeuvre for countercyclical policies. Finally, with a relatively low and stable leverage ratio, the state/local governments seem to be less involved in such interactions. However, their prudent balance sheet position also implies that they play a minor role in fiscal measures supporting households during economic downturns.
    　　摘要：借助结构向量自相关回归（SVAR），本文利用美国宏观资产负债表数据，研究了家庭和联邦及地方政府财务杠杆的互动关联及风险传递。实证结果表明，美国家庭与联邦政府的资产负债率存在显著关联，特别是后者在吸收前者遇到的债务冲击中扮演了重要角色，但相应代价是其杠杆高企，未来政策空间受到挤压。
    　　关键词：Financial leverage;balance sheet;vector autoregression;business cycles
    　　原文链接：https://www.tandfonline.com/eprint
    （编辑：熊晨玮；审校：张佶烨）