2024-12-22-国际清算银行-债务偿还总额和私人信贷限额（英）_46页_1008kb

BIS Working Paper Summary: Aggregate Debt Servicing and the Limit on Private Credit

Overview

This paper evaluates the debt service ratio (DSR) as a theoretically grounded indicator for systemic risk and macroprudential policy. The DSR measures borrowers' debt repayment obligations relative to their income, providing clear economic foundations and avoiding the statistical complexities of current credit-based early warning indicators (EWIs).

Key Points

1. DSR vs. Credit-to-GDP Ratio

   • DSR requires no statistical detrending (e.g., HP filter) and accounts for both interest payments and amortizations, making it theoretically robust and intuitive.
   • The credit-to-GDP ratio demands complex detrending to produce meaningful EWIs and lacks clear economic interpretation, leading to ambiguities in policy implementation.

2. Empirical Evidence

   • The DSR issues highly accurate EWI signals, as seen during crises and periods of economic slowdown.
   • Historical data from 1920 – 2023 (10 advanced economies) shows the DSR peaks before crises and stabilizes post-crisis, offering a clean threshold effect on output growth. Credit growth is beneficial only when DSR levels are low; beyond a threshold (e.g., 20th or 80th percentile), credit growth negatively impacts growth.

3. Policymaker Implications

   • The DSR acts as an upper bound to credit expansion, determined by interest rates and loan maturities. Persistently high DSR levels may constrain further financial deepening.
   • Macroeconomic policy should prioritize indicators like DSR to complement (not replace) credit-based EWIs and improve the timing and stability of policy responses.

4. Open Issues

   • Need for more granular micro-data to better capture household/firm-level heterogeneity.
   • Challenges in measuring amortizations and extending DSR coverage to emerging markets.
   • Enhancing data quality, particularly on loan maturities and interest expense.

Conclusion

The DSR is a superior EWI for identifying systemic risks, informing macroprudential policies, and constraining maladaptive credit growth. It offers policymakers clearer communication and policy calibration compared to traditional credit aggregates.