货币政策对微观企业的经济效应再检验——基于贷款期限结构视角的研究

Revisiting the Economic Effect of Monetary Policy on Micro Firms from the Perspective of Loan Maturity

本文基于贷款期限结构的异质性视角检验了货币政策对微观企业的经济效应。首先,企业短期借款占比越高,货币政策对企业投融资的影响越大,说明较短的贷款期限会放大货币政策冲击对实体经济投融资的影响。其次,短期借款占比越高,紧缩货币政策条件下过度投资和经理人代理成本下降得越快,说明较短的贷款期限会强化紧缩货币政策与代理成本之间的负向关系。最后,短期借款占比越高,紧缩货币政策条件下企业绩效上升得越快,说明紧缩货币政策条件下贷款期限产生的治理效应超过了流动性风险效应。从非对称效应的角度看,期限结构视角下紧缩货币政策的效果强于宽松货币政策的效果。从异质性的角度看,对于成长期的企业、高成长性行业以及面临融资约束的企业而言,紧缩货币政策条件下短期借款对公司绩效的正向影响减弱。本文从贷款期限的视角进一步揭示了货币政策传导的具体机制,对于经济新常态下如何更好地进行总需求管理具有一定的启示。

Since the 2008 global financial crisis,the impact of debt maturity on the macro economy has received much attention.Evidence from developed countries shows that during a credit crunch,shorter debt maturity can amplify the negative effect of credit shocks on the real economy(Almeida et al.,2009;He&Xiong,2012).The key mechanism is that shorter debt maturity can trigger rollover risk(Diamond,1991).Moreover,debt financing and firms use of short-term loans decline substantially during periods of credit crunch.Another key fact is that in developing countries,compared with their developed counterparts,firms rely more on short-term loan-financing(Fan et al.,2012).An extreme example is that short-term debt accounts for less than 20%of debt financing in American firms but nearly 90%in Chinese firms.In developing countries,where firms have much higher short-term loan ratios than in developed countries,does macro-level credit contraction trigger more liquidity risk and negative effects in the real economy than it does in developed countries?Or does a different mechanism exist?We use a micro-level sample of Chinese firms to investigate how debt maturity affects the micro-economic effect of monetary policy.Tight monetary policy typically leads to macro-level credit contraction.We extract a sample of Chinese firms listed during 2003-2014 from the China Stock Market&Accounting Research Database.We find that more short-term loans amplify the negative effect of tight monetary policy on firm loan-financing and investment.This indicates that shorter debt maturity leads to liquidity risk and amplifies the negative effect of tight monetary policy.In addition,more short-term loans amplify the constraining effect of tight monetary policy on firm over-investment and managerial agency costs.This indicates that shorter debt maturity incurs more monitoring from banks and that this effect is more pronounced during periods of tight monetary policy.Thus,on the whole,the performance of firms with more short-term loans increases more under tighter monetary policy.This indicates that shorter debt maturity can trigger more liquidity risk as well as better corporate governance at times of tight monetary policy,and that the latter effect outpaces the former.Thus,firm performance will increase when tight monetary policy is in place.Our research shows a different mechanism underlying the effect of debt maturity on the macro economy in China.As for firms in developed countries,short-term loans for firms in China can trigger more liquidity risk during credit contraction periods and thus negatively affect firms performance.However,in contrast with the situation in developed countries,short-term loans in China can lead to better corporate governance during credit contraction periods and thus positively affect firms performance.The latter effect dominates,improving Chinese firms performance during such periods.Therefore,the high short-term loan ratio for firms in developing countries will not have a destructive effect during credit crunch periods in the real economy.This helps to explain the phenomenon of high short-term loan ratios in developing countries:during credit crunch,granting more short-term loans can help commercial banks to control credit risk and constrain firms agency costs,thus improving firms performance.Our work makes two major contributions.First,we offer additional evidence of the effect of debt maturity.Previous research on debt maturity generally focuses on its micro effects,i.e.,its liquidity risk effect and corporate governance effect.Recently,a focus on macro effects has led to a general agreement that shorter debt maturity may aggravate the negative effects of credit crunch on macro economies in developed countries(Almeida et al.,2009;He&Xiong,2012).We examine China s background and find that shorter debt maturity can also lead to better corporate governance at times of credit contraction,and that this effect dominates liquidity risk effect,thus improving firms performance.Second,our research extends the literature on monetary policy transmission.Previous research focuses on how monetary policy directly affects micro firm financing and investment(Bernanke&Blinder,1992;Bernanke&Gertler,1995).We introduce the debt maturity concept in our analytical framework,and find that debt maturity affects monetary policy transmission through its liquidity risk effect and corporate governance effect.Our work helps further delineate the transmission of monetary policy.