基于企业微观的货币政策风险承担渠道理论研究

Research on Risk-taking Channel Theory of Monetary Policy from the Micro Perspective

现有货币政策风险承担渠道理论的研究主要集中于货币政策对银行风险承担的影响,而企业的风险承担更直接影响着货币政策的实施效果。本文首先通过构建数理模型分析货币政策对企业风险承担的影响,证明了不同规模企业对货币政策的风险敏感程度存在差异;然后采用面板门限回归模型检验货币政策对企业风险承担影响存在门限效应,即宽松货币政策背景下企业风险承担水平上升,紧缩货币政策背景下企业风险承担水平下降,而且小企业对货币政策的风险敏感性强于大企业。因此,央行在制定货币政策时应纳入微观企业风险感知及响应的考量,避免因过度承担风险导致货币政策实际效力与理论效力的偏离。

The research of risk-taking channel of monetary policy focuses mainly on the effect of monetary policy onbanks＇ risk-taking behaviors. Since banks are only the medium of risk transmission, the riak-taking behaviors of corporatehave direct impact on the effect of monetary policy. This paper establishes a model to analyze the impact of monetary policyon corporate risk-taking behaviors, and proves the different risk sensitivity of firms to monetary policy. Then the panel thresh-old regression model is used to analyze the threshold effect of monetary policy on corporate risk-taking behaviors. The empir-ical results show that the expansionary monetary policy encourages corporate risk-taking behaviors, and the tight monetarypolicy discourages corporate risk-taking behaviors. The risk transmission effect of monetary policy on small enterprises isgreater than that on big enterprises. Therefore the risk perception and response of enterprises should be considered whilemaking monetary policy so as to avoid the excessive risk taking behaviors which may result in the deviation of the practicaleffect from the theoretical effect of monetary policy.