The leverage ratios of China's state-owned enterprises(SOEs)have consistently ex-ceeded those of non-SOEs.Non-SOEs display pronounced pro-cyclicality in their leverage ratios,while SOEs exhibit weaker pro-cyclicality.This divergence in leverage levels and cyclical fluctu-ations between the two types of enterprises presents a significant structural contradiction in China's economic development.To elucidate the primary drivers behind this divergence,this pa-per first employs an SVAR model to empirically assess the impact of uncertainty shocks on the le-verage ratios of both SOEs and non-SOEs in China.The findings highlight uncertainty shocks as pivotal factors influencing the divergence in leverage ratios and cyclical fluctuations between these two types of enterprises.Building upon this analysis,this paper further develops a multi-sector DSGE model tailored to China's macroeconomic fluctuations and corporate leverage dynamics.This model aims to unravel the underlying reasons for the leverage divergence between SOEs and non-SOEs.It reveals that uncertainty shocks play a crucial role in driving China's macroeconomic volatility.These shocks decrease corporate lending,reduce leverage by elevating corporate risk premiums and external financing costs,and ultimately lead to diminished investment and output,resulting in pro-cyclicality in leverage ratios for both SOEs and non-SOEs.The paper identifies financial market frictions as a key factor contributing to the differentiated response of SOEs and non-SOEs to uncertainty shocks.Non-SOEs,encountering more significant financial frictions,face heightened demands for higher loan returns during periods of uncertainty.Consequently,the risk premium for non-SOEs surpasses that for SOEs,intensifying the pro-cyclicality in non-SOEs'leverage ratios.
万方数据
维普
