| China is facing with highly uncertain domestic and foreign economic environments since the outburst of global subprime crisis in 2008.After high-speed development over years,economic growth in China is adjusted.However,stable economic growth in China is challenged with great uncertainty due to the inadequate new kinetic energy,insufficient power for improvement of total factor productivity as well as underinvestment and underconsumption.Foreign economic finance also brought great uncertainty to China's economy.Various events like “Black Swan” and“Gray Rhino” occurred frequently as a response to the accumulated and intensified contradictions in economically developed countries(e.g.Europe and America)for a long period.For instance,some major events,including the global subprime crisis in2008,European sovereign debt crisis,plummeting oil prices,plummeting stock prices and Brexit,all have brought unprecedented impacts on the world economy.In particular,the global “COVID-19” epidemic in 2020 makes the world economy worse.In the background of globalization,foreign-trade dependence of China's economy is increasing continuously.However,effects of the epidemic lead to significantly declining of China's overseas market demands.Therefore,the world economic upheaval also brought great uncertainty to China's economy.China's economy is facing with great uncertainty because of the trade protectionism which occurs as a result to the Sino-US trade friction as well as the continuously increased financial fragility of some major economic entities.Moreover,China's economic operation is also challenged by various aspects,such as high price of commodities,economic slowdown,increased pressure over structural adjustment,etc.Some deep-seated problems which have been accumulated for a long period began to appear gradually,such as behaviors violating laws and regulations(e.g.insurance,banks and capital markets)and frequent occurrence of financial risk events(e.g.breach of contract of bond market).However,problems like unreasonable maturity structure and short-term borrowing and long-term lending are important causes of bond default and they also can threaten financial stability in China.In a word,the great economic uncertainty in China caused by the changing domestic and foreign economic environments and potential crises from the frequent financial risk events like breach behavior of China's bond market all threaten the safety and stable operation of China's economy and finance.How to prevent and solve systematic risks effectively and maintain the smooth running of China's economic and financial system is a major challenge that China is facing with and an important problem that requires urgent solution.In this study,the indirect influencing mechanism of economic uncertainty on financial stability through debt maturity structure was analyzed.On one hand,results can help policy executors to adopt effective policy measures timely,thus enabling to prevent and solve some potential risks.On the other hand,this study has certain reference contributions and theoretical significances to further disclose the transmission channel of influences of economic uncertainty on financial stability.The first part of the article comprehensively sorts out the relevant theories of economic uncertainty,debt maturity structure and financial stability.After analyzed the influencing factors of debt maturity structure and financial stability,the causes of financial instability and the transmission channels of economic uncertainty,we deduce and analyze theoretical models of economic uncertainty,debt maturity structure and financial stability.When measuring the China's economic uncertainty index,the second part summarizes the existing measurement methods by combing through the literatures.According to the different measurement ideas and methods,they are divided into four categories.Then,it introduces in detail the representative measurement methods in each of the above four categories of measurement methods,focusing on the idea,advantages and calculation steps of the JLN uncertainty index measurement method used in this article.learning from the JLN uncertainty index measurement method,we select 210 variables as factors for calculating uncertainty,which are 141 macroeconomic indicators and 69 financial indicators,according to the actual situation in China.The sample interval is from 2002 to June 2019.Through data processing and iteration,the predicted value of the economic uncertainty index for the previous 1-12 period is obtained,and the uncertainty index is basically in line with China's actual situation,which proves the effectiveness of the index.In the third part of the article,when constructing Chinese financial stability index,it sorts through the literature and summarizes the existing assessment methods of financial stability.At present,the evaluation of financial stability mainly has included two levels: the establishment of an evaluation index system and the construction of a financial stability index according to the different researchers and different purposes.Then,on the basis of the IMF indicator system,drawing on existing research literature and combining with China's actual situation,the financial stability indicators are divided into four major indicators: financial development indicators,financial fragility indicators,financial robustness indicators,and world economic situation indicators.It is composed of 4 first-level indicators and 14 second-level indicators.A total of 209 samples of monthly data from February 2002 to June 2019 are selected.After data processing,the equal variance weight method is used to synthesize,and finally China's financial stability index is obtained.Finally,the synthesized financial stability index is analyzed in conjunction with major economic events over the years.The analysis results show that the trend of the financial stability index is basically consistent with the actual development of my country during the sample period.On the whole,China's financial stability is stabilizing and improving.The fourth part of the article introduces the macro-variable dynamic relationship model VAR and its evolution process when studying the macro-influence mechanism of economic uncertainty through the debt maturity structure on financial stability.TVPVAR is a continuous development based on VAR.Non-linear and time-varying parameter models are suitable for analyzing the time-varying characteristics of variables in this article,so the principle and calculation steps of the TVP-VAR model are introduced in detail.Then,we select the average maturity date of all bonds issued each month in China from June 2002 to June 2019,and weighted them according to the proportion of each bond's issuance to obtain the macro variables of the debt maturity structure.Then,three macro variables including economic uncertainty,debt maturity structure,and financial stability are tested for stability,and the model structure lag period is determined to be 3 periods.The model is tested for stability,and then model parameters are estimated.Finally,according to the results of the impulse response function of the model TVP-VAR,the time-varying impulse response curve and the impulse response curve at a specific time are analyzed.The impulse response results show that:(1)China's financial system is very sensitive and it is vulnerable to financial environment at home and abroad.Besides,financial system has strong ability to absorb external impacts and can assimilate internal impacts quickly.(2)The long-term debt maturity structure is beneficial for financial stability,but such impact has an about three-month lag.(3)The negative impact of economic uncertainty on financial stability fluctuates violently before the subprime crisis,but it becomes relatively stable after the subprime crisis.However,influences of economic uncertainty on financial stability has a certain hysteresis(about 3 months)due to information asymmetry.(4)In the short run,the debt maturity structure makes a quick and strong response to the impacts of economic uncertainty and the intensified economic uncertainty might lead to short-term act of debt maturity structure.In the long run,effects of economic uncertainty on debt maturity structure are faint.To make conclusions more reliable,a robustness test was carried out by replacing the overall debt maturity structure by the final debt maturity structure and enterprise debt maturity structure,replacing the economic uncertainty index by economic policy uncertainty and replacing the debt maturity structure by loan financing term structure.In addition to that short-term financial debt maturity structure is beneficial for financial stability,the conclusions are basically consistent,which verifies reliability of conclusions.Finally,it can conclude that economic uncertainty can cause financial instability except financial bonds through short-term debt maturity structure.In other words,it generally has a transmission channel of influences of economic uncertainty through the debt maturity structure.In the fifth part of the article,when studying the micro-influence mechanism of economic uncertainty on financial stability through debt maturity structure,that is,the impact on corporate financial fragility,it sorts out the literature and proposes research hypotheses.The annual data of China's A-share listed companies from 2002 to 2018 is used to empirically test the relationship between economic uncertainty and the maturity structure of corporate debt,and whether short-term debt expands corporate risk exposures that are impacted by tightening market liquidity.This study find that:(1)the intensified economic uncertainty leads to short-term debt maturity of enterprises and the business credit activity of account payable is the main cause.This conclusion is robust to the annual economic uncertainty which is calculated by different methods and the debt maturity measured by different indexes.(2)The tight market liquidity increases fragility of enterprise finance through the rollover risk caused by economic uncertainty.In other words,short-term debt caused by economic uncertainty amplifies the risk exposure of enterprises to impacts of the tight market liquidity and financial condition of enterprises becomes more fragile when the economic uncertainty is high.(3)The tight market liquidity decreases enterprise investment through the rollover risk caused by economic uncertainty.In China,there's a transmission channel for economic uncertainty to influence debt maturity structure of macro-economy.(4)According to further analysis,non-state-owned enterprises is the main contribution to the short-term enterprise debt maturity when economic uncertainty is high and economic uncertainty mainly influences debt maturity channel of macro-economy indirectly through nonstate-owned enterprises.Based on above macrocosmic and microcosmic empirical analyses on influencing mechanisms of economic uncertainty,debt maturity structure and financial stability,some major conclusions could be drawn.(1)Economic uncertainty has strong negative impacts on financial stability.In other words,intensified economic uncertainty is against financial stability.(2)There's a transmission channel that economic uncertainty influences financial stability indirectly through debt maturity structure.Macroscopically,the intensified economic uncertainty leads to short-term debt maturity structure that may affect financial stability by influencing expectation of people.Microscopically,the short-term debt maturity caused by the intensified economic uncertainty increases the risk exposure of enterprises to the impacts of tight market liquidity,thus making financial condition of enterprises more fragile.The above research conclusions can provide certain enlightenments to policy executors.Firstly,when internal and external uncertainties are increased,currency,fiscal taxation,exchange rate and income policies have to be hedged at appropriate moment to stabilize public expectation.Secondly,the capital market shall be developed energetically to guide entrance of long-term capitals into the real economic fields.Thirdly,many measures shall be implemented simultaneously to relieve difficulties and high cost for financing for non-state-owned enterprises,especially small and middlesized enterprises.Fourthly,financial innovations are needed at appropriate moments to offset financial risks. |
PDF Full Text Request