宏观经济环境、风险感知与政策不确定性  

Macroeconomic Environment,Risk Perception and Policy Uncertainty

作　　者：刘贯春 张军[2] 刘媛媛 Liu Guanchun;Zhang Jun;Liu Yuanyuan

机构地区：[1]中山大学岭南学院 [2]复旦大学经济学院 [3]广东外语外贸大学金融学院广州华南财富管理中心研究基地

出　　处：《世界经济》2022年第8期30-56,共27页The Journal of World Economy

基　　金：国家自然科学基金青年项目(72003116)的资助。

摘　　要：经济增速上升会导致投资者低估外部政策风险,产生感知偏差。本文对实物期权理论进行拓展,并利用上市公司季度数据考察宏观经济环境如何影响投资-政策不确定性敏感度。计量分析结果表明,经济增速上升显著弱化了经济政策不确定性对企业固定资产投资的抑制作用,且该效应在内部财务风险大、资产可逆性低和融资约束轻的企业中更强。进一步的机制检验表明,与低经济增速阶段相比,经济政策不确定性与企业政策风险感知水平的正相关关系在高经济增速阶段显著更小,这为风险感知渠道提供了直接证据。本文强调,企业家的风险感知偏差是投资-政策不确定性敏感度在不同经济增长阶段呈现差异化的重要决定因素,因此在经济增速下滑阶段尤其需要保持宏观政策调控的一致性和连续性,从而稳定市场预期,促进固定资产投资。From the perspective of risk perception,this paper extends the real option theory by incorporating the negative link between economic upturn and risk perception bias.It then examines how the macroeconomic environment affects the sensitivity of real investment to economic policy uncertainty using quarterly data for Chinese listed companies.The results indicate that the inhibitory effect of economic policy uncertainty on corporate fixed asset investment weakens as economic growth increases,and this effect turns out to be stronger in companies with higher internal financial risk,lower asset reversibility and lighter financial constraints.A further mechanism test based on textual analysis reveals that the positive correlation between economic policy uncertainty and the corporate policy risk perception level decreases with economic growth,providing direct evidence for the risk perception channel.The findings suggest that risk perception bias due to the entrepreneurs’ animal spirit is essential to understand the heterogeneous investment-policy uncertainty sensitivity conditioned to the macroeconomic environment.Policymakers should therefore pay more attention to the consistency and continuity of macroeconomic policy adjustments during periods of economic downturn,which would lead to stable market expectations to incentivise the investment in fixed assets.

关 键 词：宏观经济环境 风险感知 动物精神 

分 类 号：F124[经济管理—世界经济] F832.51