中国企业去杠杆需考虑美联储货币政策变化吗?——加息和缩表的比较分析

Do Chinese Enterprises Need to Consider Changes in the Federal Reserve’s Monetary Policy while Implementing Deleveraging?--A Comparative Analysis of Interest Rate Changes and Balance Sheet Adjustments

本文构建了一个包含货币政策微观溢出效应的两国开放经济模型,提出企业结构性去杠杆需考虑开放经济因素,并在模型中引入企业融资约束机制,利用2002年第四季度-2018年第三季度中国沪深A股1023家上市公司平衡面板数据,实证检验美联储加息和缩表两类货币政策对我国企业杠杆率的差异性影响。研究发现,美联储缩表在初期对我国企业杠杆率的影响程度较大,但不存在长期溢出效应;而加息在初期影响程度相对较小,但对我国企业杠杆率存在长期溢出影响。在溢出方向上,美联储紧缩性货币政策会显著降低我国企业杠杆率。在溢出结构上,企业融资约束越严重,美联储货币政策对我国企业杠杆率溢出效应越明显。

US monetary policy has an impact on the domestic interest rates, exchange rates and asset prices of emerging economies, and these factors are closely related to the corporate debt and leverage. The purpose of this study is to analyze the impact of US monetary policy on Chinese corporate leverage.This paper constructs a two-country open economy model including the micro-spillover effect of monetary policy, and puts forward a theory that companies need to consider foreign monetary policy while implementing structural deleveraging.Furthermore, this paper introduces the corporate financing constraint in the model, and uses the balanced panel data of 1023 listed companies in Shanghai and Shenzhen A-shares from the fourth quarter of 2002 to the third quarter of 2018 to examine the different effects of the Fed’s interest rate changes and balance sheet adjustments on Chinese corporate leverage ratio.The study finds that the Fed’s balance sheet adjustment has a significant impact on the leverage ratio of Chinese companies at the initial stage, but there is no long-term spillover effect;while interest rates change has a relatively small impact on Chinese corporate leverage ratio at the initial stage, but has a long-term spillover effect. In the direction of spillover, a tightening of monetary policy in the United States significantly reduce the leverage ratio of Chinese enterprises. In addition, our results also show that the more serious the financial constraints of companies, the more obvious the spillover effect of US monetary policy on corporate leverage ratio in China.In order to stabilize the leverage ratio and prevent potential risks triggered by US monetary policy, this article suggests to appropriately lessen the deleveraging efforts of enterprises with high financing constraints and strengthen the deleveraging efforts of enterprises with low financing constraints when the Fed’s implements a tightening monetary policy. Attention should be paid to the different spillover effects of the Fed’s interest rate changes and balance sheet adjustments on Chinese corporate leverage.