利率政策、企业预期与现金流风险——基于事件分析的中国工业企业证据

Interest Rate Policy, Corporate Expectation and Cash Flow Risk——Evidence of Chinese Industrial Enterprises Based on Event Analysis

文章分析了在企业对宏观经济的不同预期下,利率政策对其现金流风险的影响。以2010-2015的四次特殊调息事件为例,实证检验发现:在企业预期经济上行的背景下,贷款利率提高将扩大企业现金流风险,但由于预期效应和政策效应作用方向相反,这种影响并不显著;而贷款利率下降将会显著扩大企业现金流风险,这是因为企业预期与利率政策同时从企业内外部驱动现金流风险生成。同理,企业预期经济下行时,利率水平提高将显著降低企业现金流风险;而利率水平下降将降低企业现金流风险,但这种影响并不显著。此外,研究还发现,相对于经济高速发展时期,经济低迷时期企业现金流风险变动幅度较小。

This paper analyzes the influence of interest rate policy on corporate cash flow risk under different corporate macroeconomic ex- pectations. The empirical results in the period from 2010 to 2015, which had four special adjustments to interest rates, show that： In the context of corporate upstream economic expectation, the increase of loan interest rate would expand corporate cash flow risk. However, the effect is not significant because the expected effects and the policy effects are in opposite direction. Whereas the decrease of loan interest rate would expand corporate cash flow risk significantly because the corporate expectation and interest rate policy generate cash flow risk driven from both inside and outside of enterprises simultaneously. Similarly, in the context of corporate downturn economic expectation, the rise of interest rate would significantly reduce cash flow risk, and the decline of interest rate would reduce corporate cash flow risk, but this effect is not significant. In addition, the paper also finds that corporate cash flow risk changes less violently in the period of economic downturn, compared with it in the period of rapid economic development,