美国经济政策不确定性溢出效应研究:来自新兴经济体银团贷款的证据

Spillover Effect of US Economic Policy Uncertainty:Evidence from Syndicated Loan in Emerging Economies

近年来,中国面临外部风险冲击因素明显增多,其中以美国经济政策不确定性溢出效应影响最为突出。为系统评估美国经济政策不确定性对微观市场主体融资的影响,利用1989年1月至2019年7月美国经济政策不确定性数据以及38个新兴经济体企业银团贷款数据,实证分析了美国经济政策不确定性的溢出效应。研究发现:美国经济政策不确定性对新兴经济体企业融资存在溢出效应,即随着美国经济政策不确定性、货币政策不确定性和贸易政策不确定性的增加,新兴经济体企业银团贷款利率会显著提高。进一步研究发现,美国经济政策不确定性溢出渠道包括美元贷款和美国银行贷款等,美国经济政策不确定性和货币政策不确定性会通过美元和美国银行贷款路径显著提高新兴经济体企业银团贷款利率,而贸易政策不确定性仅通过美元贷款渠道对新兴经济体企业银团贷款利率产生溢出效应。

In recent years,the impact of external risk factors has increased significantly,especially the spillover effect of US policy uncertainty.In order to systematically assess the impact of US economic policy uncertainty on the funding of micro-market participants,this paper empirically analyses the spillover effect of US economic policy uncertainty.The empirical findings show that US economic policy uncertainty has a spillover effect on corporate funding in emerging economies.That is,with the increase of uncertainties of US economic policy,monetary policy and trade policy,the interest rate of syndicated loans in emerging economies will increase significantly.Further study shows that spillover channels of US economic policy uncertainty include US dollar and banks.US economic policy uncertainty and monetary policy uncertainty will significantly increase the interest rate of syndicated loans in emerging economies through the US dollar and US bank lending,while US trade policy uncertainty spills over the interest rate of syndicated loans of emerging economy enterprises only through the US dollar loan channel.