经济政策不确定性与企业金融化——基于个体异质性EPU指标的实证研究

Economic Policy Uncertainty and Enterprise Financialization——Empirical Study Based on Individual Heterogeneous EPU Index

本文基于2007—2020年我国非金融类上市公司季度面板数据,通过窗口滚动回归模型测度出体现企业个体异质性特征的经济政策不确定性(EPU)指标,重点考察了经济政策不确定性对企业金融化的影响及其作用路径。研究发现,经济政策不确定性上升显著提升了企业金融资产的比重,且这种影响在市场化程度较高区域、竞争较强行业以及初创公司表现得更明显;进一步的机制分析表明,经济政策不确定性上升加剧了企业与外部的信息不对称程度,由此形成的企业融资抑制效应与实体投资风险放大效应抑制了实体投资,相应提高了企业金融化水平。基于以上研究结论,本文在促进企业实体经济投资、市场环境改善和增强金融服务能力等方面提出了相关政策建议。

Based on the quarterly panel data of Chinese non-financial listed companies from 2007 to 2020,the firm-level economic policy uncertainty(EPU)index,which is capable of capturing the individual characterization,is measured whereby the window rolling regression model.We are mainly concerned with the impact of EPU on firm’s financialization and the possible mediating effects.The evidence shows that the EPU significantly increases the proportion of corporate financial asset allocation.The effects are larger in the regions with a high degree of marketization,the industries with strong competition,and samples of start-up companies.The mediating effects test further shows EPU improves the information asymmetry between the enterprises and external markets,forming the two-fold firm-level effects——financing inhibition and physical investment risk rising,which will curtail physical investment and intensify the firm’s financialization.Based on the findings,we provide some policy implications associated with promoting investment in the real economy,improving the market environment,and enhancing financial service capabilities.