货币政策组合对企业微观的风险传导效应研究  

Effect of Monetary Policy Combination on Risk Taking of Micro Enterprises

作　　者：林建松[1] 黄志刚[1] 林朝颖[2] 

机构地区：[1]福州大学,福建福州350016 [2]福建农林大学,福建福州350002

出　　处：《财贸研究》2017年第4期43-49,共7页Finance and Trade Research

基　　金：国家自然科学基金项目"基于微观视角的货币政策组合非对称传导效应研究"(71473039);福建农林大学杰出青年科研人才计划项目(xjq201516);国际科技合作与交流项目(KXb16004A)的资助

摘　　要：利用2005—2016年一年期贷款基准利率和存款准备金率季度数据,基于熵权法构建货币政策组合,使用KMV模型计算773家A股上市公司的预期违约率,并将其作为企业风险承担代理指标,研究货币政策组合对企业风险传导效应的存在性和非对称性。结果表明:货币政策组合对企业风险承担存在传导效应,货币政策组合越宽松,企业风险承担水平越高;货币政策组合对企业的风险传导效应大于单一货币政策,一年期贷款基准利率对企业的风险传导效应大于存款准备金率;高财务杠杆企业对货币政策组合风险传导更为敏感;小规模企业对货币政策组合风险传导更为敏感。Based on the entropy weight method, the paper uses the quarterly data of one - year loan interest rate and deposit reserve ratio from 2005 to 2016 to construct the monetary policy combination. Based on the KMV model, the expected default rate of 773 A - share listed companies is calculated and used as the risk - taking of enterprise. The paper constructs a panel model to study the existence and asymmetry of mo- netary policy combination on the risk transmission effect. The results show that the monetary policy combination can influence the risk - taking of enterprise, the looser the monetary policy combination is, the higher the enterprise＇s risk - taking level will be. The effect of the monetary policy combination to the enterprise＇s risk - taking is greater than the single monetary policy. The effect of one - year loan interest rate to the enterprise＇s risk -taking is greater than deposit reserve ratio. The high financial leverage enterprises are more sensitive to the risk transmission of the monetary policy combination. The small - scale enterprises are more sensitive to the risk transmission of the monetary policy combination.

关 键 词：货币政策组合 预期违约率 企业风险承担 

分 类 号：F822.0[经济管理—财政学]