Ending Over‐lending: Assessing Systemic Risk with Debt to Cash Flow
本文提出用国家及其经济部门的债务与现金流之比作为系统性风险和脆弱性的指标，发现该比率比传统指标更能预警银行和主权危机，并将金融稳定评估分为四个脆弱区域。
Abstract This paper introduces the ratio of debt to cash flow (D/CF) of nations and their economic sectors to macroprudential analysis, particularly as an indicator of systemic risk and vulnerabilities. While leverage is oftentimes linked to the vulnerability of a nation, the stock of total debt and the flow of gross savings is a less explored measure. Cash flows certainly have a well‐known connection to corporations' ability to service debt. This paper investigates whether the D/CF provides a means for understanding systemic risks. For a panel of 33 nations, we explore historic D/CF trends and apply the same procedure to economic sectors. In terms of an early‐warning indicator, we show that the D/CF ratio provides a useful additional measure of vulnerability to systemic banking and sovereign crises, relative to more conventional indicators. As a conceptual framework, the assessment of financial stability is arranged for presentation within four vulnerability zones and exemplified with a number of illustrative case studies. Copyright © 2015 John Wiley & Sons, Ltd.