关键词: 杠杆率, MF-MS-VAR模型, 混频Granger因果检验, 经济增长

Abstract: Grasping the correlation between leverage, asset price and economic growth can provide ideas for economic growth, deleveraging and preventing financial risks. This study innovatively analyzes the timevarying characteristics, conduction mechanism, and structural differences of the three from the total and structure of leverage using the mixed-frequency Markov regional switching vector auto-regression (MF-MSVAR) model. The results show that: The MF-MS-VAR model at the total leverage is better than the MF-VAR and MS-VAR models, China’s economic operation shows a two-zone characteristic. Total leverage growth and economic growth are counter-cyclical, and a moderate leverage level is the guarantee of stable economic and asset price growth. Stocks and real estate prices both have a positive effect on economic growth, but we should moderate their growth to avoid asset bubbles. Stock and real estate prices have heterogeneous effects on leverage, and when the economy is running high, asset price bubbles need leverage support. The impact of economic growth on real estate and stock prices is heterogeneous. When the economy is low, economic growth squeezes out real estate prices; when the economy is high and in a bubble, real estate prices squeeze out the real economic growth. When the economy is low and growing rapidly but the leverage growth rate is low, but when the economy is high and growing fast, the leverage growth rate is still low, with obvious deleveraging. Structural leverage shows that corporate leverage is dominant in total leverage. The leverage growth rate of government and residents and the economic growth are cyclical. On the whole, the growth of asset prices has brought about the rapid development of China’ s economy, and the relevant economic policies have good control. However, the asset prices of government public investment have little impact on economic growth. The effect of economic growth is mitigated in order on leverage growth of enterprises, government and residents. In a word, the MF-MS-VAR model is of great practical significance in studying the relationship between them.

Key words: Leverage, MF-MS-VAR Model, Mixed-frequency Granger Causality Test, Economic Growth