海外直接投资与美国货币政策不确定性传导——基于创新行为的视角  

Outward Foreign Direct Investment and Transmission of U.S. Monetary Policy Uncertainty: From the Perspective of Innovation Behavior

作　　者：余静文[1] 李媛媛[2] YU Jing-wen;LI Yuan-yuan(Economics and Management School,Wuhan University)

机构地区：[1]武汉大学经济与管理学院、经济发展研究中心 [2]武汉大学经济与管理学院

出　　处：《中国工业经济》2024年第5期40-59,共20页China Industrial Economics

基　　金：国家自然科学基金面上项目“OFDI生产网络视角下美国货币政策对我国经济的外溢与应对策略研究:理论、实证与数量测度”(批准号72373112);国家社会科学基金重大项目“货币政策分配效应与缩小收入和财富差距的有效路径研究”(批准号20&ZD105)。

摘　　要：美国货币政策是全球金融周期的主要驱动力,其国际传导是新兴市场经济体经济波动、金融动荡的重要来源。美国货币政策一阶冲击的国际传导已得到较为广泛的研究,但是鲜有研究关注美国货币政策的二阶冲击,即美国货币政策不确定性的国际传导。本文尝试从企业创新行为的视角,研究这种不确定性冲击通过对外直接投资(OFDI)对企业的影响。具体而言,本文基于企业层面OFDI数据,利用美联储议息会议引致的货币政策不确定性的意外变动进行因果关系识别。研究表明,美国货币政策不确定性冲击能够影响OFDI企业,其创新投入和创新产出均随着不确定性的提高而提高。机制分析表明,美国货币政策不确定性的溢出效果取决于资本管制程度,OFDI目的地的资本管制程度越低,OFDI企业受美国货币政策不确定性冲击的溢出影响越大。并且,在实物期权渠道和增长期权渠道中,增长期权渠道占据了主导地位。进一步分析发现,支撑OFDI企业创新行为的是企业金融化程度的下降,OFDI企业减少了金融资产的配置。本文提供了美国货币政策二阶冲击对实体经济影响的新证据,对于企业如何应对全球金融周期冲击下的风险外溢具有重要的政策启示。The main driver of the global financial cycle is U.S.monetary policy,and the international transmission of U.S.monetary policy has led to the fluctuation of macro economy and financial turbulence.The first-order impact of U.S.monetary policy has been widely studied.However,less research has focused on the second-order impact,that is,the international transmission of U.S.monetary policy uncertainty.As the frequent occurrence of U.S.monetary policy uncertainty shocks,how do Chinese firms manage risks,seize opportunities,and adjust their innovation behaviors in response to these shocks?The impact of the policy uncertainty on firm innovation remains controversial,with no consensus reached.It is of great theoretical and practical significance to clarify the relationship between U.S.monetary policy uncertainty and innovation behavior of Chinese firms.Under the global financial cycle,the trilemma evolves into a dilemma,where the spillover effects of U.S.monetary policy uncertainty depend on the degree of capital controls.Utilizing the capital account openness indicator developed by Chinn and Ito(2006),this paper finds that China’s level of capital account openness is significantly lower than the world average,while the host countries of Chinese OFDI firms’overseas subsidiaries exhibit notably higher levels of capital account openness than China.This disparity suggests that OFDI firms are directly influenced by monetary policy shocks from developed countries,which may serve as a crucial mechanism for the international transmission of monetary policy.Based on firm-level OFDI data,this paper uses the unexpected changes in monetary policy uncertainty caused by the Federal Open Market Committee(FOMC)meeting for causality identification.The results are as follows.Firstly,the U.S.monetary policy uncertainty shocks can be transmitted through OFDI firms’overseas production networks to OFDI firms,whose innovation inputs and innovation outputs increase with uncertainty.Secondly,the lower level of capital controls in the dest

关 键 词：货币政策的国际传导 不确定性 OFDI企业 创新 

分 类 号：F125[经济管理—世界经济]