摘要
本文利用2008~2021年银行间7天同业拆借加权平均利率日度数据测算出我国货币政策不确定性程度,并考察其对于企业投资效率的影响。研究发现,货币政策不确定性会显著降低企业的投资效率,这一结果在替换相关变量、考虑模型内生性、宏观经济波动以及其他政策冲击等因素影响后依然稳健。机制分析发现,期限错配加剧、信贷可得性下降以及贷款成本上升是上述影响的作用渠道。基于手工整理与文本分析的方法,本文构建了央行沟通频率与预期管理强度两个指标,发现两者均能有效缓解货币政策不确定性对于企业投资效率的负向冲击。同时,“双支柱”调控框架下,无论是数量型货币政策还是价格型货币政策,与宏观审慎政策搭配使用时均能提升企业投资效率。进一步分析发现,货币政策不确定性对于投资不足、市场地位较低、信息不对称程度较高以及民营企业的影响更大。本文的研究对于我国货币当局“精准施策”、夯实“六稳”工作具有一定的政策启示,同时也为我国实施“双支柱”调控的有效性与科学性提供了一定的经验证据。
This study examines the impact of monetary policy uncertainty on corporate investment efficiency in China from 2008 to 2021.Using the weighted average daily rate of 7-day interbank lending,we find that monetary policy uncertainty significantly reduces enterprise investment efficiency,which remains robust after controlling for relevant variables and considering endogeneity,macroeconomic fluctuations,and other policy shocks.Our mechanism analysis reveals that maturity mismatch,credit availability decline,and loan cost rise are the channels through which monetary policy uncertainty affects investment efficiency.Moreover,we construct two indicators of central bank communication frequency and expected management intensity using manual collation and text analysis,and find that both can effectively mitigate the negative impact of monetary policy uncertainty on corporate investment efficiency.Additionally,our results suggest that the"Dual Pillar"regulation framework can improve investment efficiency by using both quantitative and price monetary policies in combination with macro-prudential policies.We further show that monetary policy uncertainty has a greater impact on underinvestment,low market position,high degree of information asymmetry,and private enterprises.Our findings have important policy implications for the"Precision Application"and"Six Stability"of the Chinese monetary authority,and provide empirical evidence for the effectiveness and scientific nature of the"Dual Pillar"regulation.
作者
颜忠宝
张跃化
赵峰
白宗航
YAN Zhongbao;ZHANG Yuehua;ZHAO Feng;BAI Zonghang(School of Economics,Central University of Finance and Economics,Bejing 102206,China;School of International Economics and Management,Beijing Technology and Business University,Beijing 0048,China;Business School,Bejing Normal University,Bejing 100875,China)
出处
《金融评论》
CSSCI
北大核心
2023年第2期67-90,125,126,共26页
Chinese Review of Financial Studies
关键词
货币政策不确定性
投资效率
央行沟通
预期管理
“双支柱”调控
Monetary Policy Uncertainty
Investment Efficiency
Central Bank Communication
Expectation Management
Dual-pillar Regulation
