货币政策不确定性、银行信贷与企业资本结构动态调整  

Uncertainty in Monetary Policy,Banking Credit and the Dynamic Adjustment of Enterprises'Capital Structure

作　　者：何德旭[1] 张雪兰[2] 王朝阳[1] 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)

机构地区：[1]中国社会科学院财经战略研究院,北京100028 [2]中南财经政法大学金融学院,湖北武汉430073 [3]有色金属技术经济研究院,北京100080

出　　处：《经济管理》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)。

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,w

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 

分 类 号：F822.1[经济管理—财政学]