基于企业微观的货币政策风险承担渠道理论研究  

Research on Risk-taking Channel Theory of Monetary Policy from the Micro Perspective

作　　者：林朝颖[1,2] 黄志刚[2] 杨广青[2] 石德金[1] 

机构地区：[1]福建农林大学管理学院 [2]福州大学经济与管理学院

出　　处：《国际金融研究》2015年第6期21-32,共12页Studies of International Finance

基　　金：国家自然科学基金"基于微观视角的货币政策组合非对称传导效应研究"(71473039);国家社科基金"定向降准对农业企业的产出与风险传导效应研究";教育部人文社会科学研究项目"利益相关者视角下企业决策的动态博弈与仿真研究"(12YJCZH243)资助

摘　　要：现有货币政策风险承担渠道理论的研究主要集中于货币政策对银行风险承担的影响,而企业的风险承担更直接影响着货币政策的实施效果。本文首先通过构建数理模型分析货币政策对企业风险承担的影响,证明了不同规模企业对货币政策的风险敏感程度存在差异;然后采用面板门限回归模型检验货币政策对企业风险承担影响存在门限效应,即宽松货币政策背景下企业风险承担水平上升,紧缩货币政策背景下企业风险承担水平下降,而且小企业对货币政策的风险敏感性强于大企业。因此,央行在制定货币政策时应纳入微观企业风险感知及响应的考量,避免因过度承担风险导致货币政策实际效力与理论效力的偏离。The research of risk-taking channel of monetary policy focuses mainly on the effect of monetary policy onbanks＇ risk-taking behaviors. Since banks are only the medium of risk transmission, the riak-taking behaviors of corporatehave direct impact on the effect of monetary policy. This paper establishes a model to analyze the impact of monetary policyon corporate risk-taking behaviors, and proves the different risk sensitivity of firms to monetary policy. Then the panel thresh-old regression model is used to analyze the threshold effect of monetary policy on corporate risk-taking behaviors. The empir-ical results show that the expansionary monetary policy encourages corporate risk-taking behaviors, and the tight monetarypolicy discourages corporate risk-taking behaviors. The risk transmission effect of monetary policy on small enterprises isgreater than that on big enterprises. Therefore the risk perception and response of enterprises should be considered whilemaking monetary policy so as to avoid the excessive risk taking behaviors which may result in the deviation of the practicaleffect from the theoretical effect of monetary policy.

关 键 词：货币政策 风险承担 非对称性 门限效应 

分 类 号：F831[经济管理—金融学]