摘要
本文基于银行间质押式债券回购7天加权平均利率的日度数据,采用随机波动模型刻画了中国2000—2017年的货币政策不确定性指数的变动,在厘清货币政策不确定性经由银行信贷影响企业资本结构动态调整机制的基础上,采用PVAR脉冲响应分析描述了中国经济与之相对应的典型事实,并以非金融类上市公司为样本加以检验。研究表明:高货币政策不确定性影响银行信贷决策,继而阻碍企业资本结构动态调整,因而重视货币政策二阶矩对实体经济的影响,提高货币政策的透明度和前瞻性指引能力、降低货币政策的不确定性势在必行。
No matter how clear and efficient the central bank's communication is,uncertainty always goes hand in hand with monetary policy.However,little is known and also rarely discussed on whether and how the monetary policy fluctuation affects the financing behavior as well as the decisions of micro-enterprises,especially the dynamic adjustment of the capital structure which determines the profitability and even the survivability of enterprises.In view of this,this paper takes the uncertainty caused by frequent monetary policy adjustment as the research object,and describes and examines whether and how it affects bank loan decision-making and then the dynamic adjustment of the micro-enterprise capital structure,with a view to further unblocking monetary policy transmission channels and improving the efficiency of financial system to serve the real economy.This paper first uses a stochastic volatility model,based on the 7-day weighted average interest rate of the inter-bank repurchase agreement,to calculate China's monetary policy uncertainty index from 2000 to 2017.Secondly,based on the literature review,it clarifies the role of monetary policy uncertainty in affecting bank credit scale and interest rate and the speed of corporate capital structure adjustment,and outlines typical facts with panel data pulse response.And then,a framework is proposed that the uncertainty of monetary policy affects the loan rate and credit scale through real options,inaction channels,and information asymmetry channels,which in turn affects the dynamic adjustment of micro-enterprise capital structure.Specifically,the increased uncertainty caused by frequent changes in monetary policy will affect the bank's cr decisions,resulting in a decline in bank credit scale and an increase in bank loan rates,which in turn will increase the difficulty and cost of financing for enterprises.The inability of corporate financing to increase the cost of capital structure adjustment in a timely manner increases the fixed cost of capital structure adjustment,which in turn hinders the rebalancing of corporate capital structure and the speed of capital structure adjustment decreases accordingly.Then,based on the annual data of non-financial listed companies in Shanghai and Shenzhen,China,from 2000 to 2017,this paper uses a partial adjustment model to describe the dynamic adjustment process of the capital structure.Based on this,it empirically tests the above research hypothesis.The research results support the research hypothesis that the uncertainty of monetary policy affects the bank credit scale and interest rate and then the dynamic adjustment speed of corporate capital structure.The research conclusions of this paper respond to Friedman(1968)'s second requirement on how monetary policy should operate-monetary authorities should always avoid sharp changes in monetary policy.Therefore,maintaining the stability of monetary policy is of great significance to further unblock the transmission mechanism of monetary policy and enhance the ability to serve the real economy:First,pay full attention to the negative impact of monetary policy uncertainty on the real economy through the transmission of bank credit channels to effectively implement the prudent monetary policy.Second,pay attention to the stability and coherence of monetary policy,improve the transparency and forward-looking guidance of monetary policy,and give full play to the positive role of reducing the uncertainty of monetary policy in easing the constraints on the credit supply side of the bank and promoting“stabilization of leverage”.The main disadvantage of this paper is that the monetary policy uncertainty index measured using the 7-day weighted average interest rate of the inter-bank repurchase agreement is difficult to summarize the full picture of the uncertainty of monetary policy,coupled with the limited availability of data.It is still necessary to further advance the research on the basis of improving the method of characterizing the uncertainty of monetary policy and extending the analysis interval.
作者
何德旭
张雪兰
王朝阳
包慧娜
HE De-xu;ZHANG Xue-lan;WANG Chao-yang;BAO Hui-na(National Academy of Economic Strategy,Chinese Academy of Social Science,Beijing,100028,China;School of Finance,Zhongnan University of Economics & Law,Wuhan,Hubei,430073,China;China Nonferrous Metals Techno-Economic Research Institute,Beijing,100080,China)
出处
《经济管理》
CSSCI
北大核心
2020年第7期5-22,共18页
Business and Management Journal ( BMJ )
基金
国家社会科学基金重大研究专项项目“降低发生债务危机风险研究”(18VFH006)
国家社会科学基金青年项目“货币政策、资本结构与促进产业向中高端升级研究”(15BJY161)。
关键词
货币政策不确定性
银行信贷
资本结构动态调整
随机波动
uncertainty in monetary policy
bank lending
dynamic adjustment of capital structure
stochastic volatility
作者简介
何德旭,男,研究员,博士生导师,研究领域是金融改革与发展,电子邮箱:hedexu@vip.sina.com;通讯作者:张雪兰,女,教授,博士生导师,研究领域是金融结构与金融发展,电子邮箱:cresta@126.com;王朝阳,男,研究员,硕士生导师,研究领域是货币政策,电子邮箱:wangcy@aliyun.com;包慧娜,女,研究员,研究领域是公司金融,电子邮箱:401212661@qq.com。
