经济政策不确定性、银行信贷投放与企业融资约束——基于TVP-VAR模型的动态影响分析

Economic Policy Uncertainty,Bank Credit and Financial Constraints:A Dynamic Impact Analysis Using TVP-VAR Model

受新冠肺炎疫情的影响,全球经济政策不确定性加剧,这对银行信贷投放与企业融资约束产生了一定的冲击。运用2002年1月至2020年5月的月度数据,实证分析经济政策不确定性、银行信贷投放和企业融资约束两两之间的动态影响。结果表明:经济政策不确定性增加在抑制银行放贷的同时,加强了企业融资约束,且银行信贷投放规模越大,企业融资约束越弱;从等间隔脉冲响应来看,经济政策不确定性对银行信贷投放和企业融资约束的影响的长期效应要高于中短期效应;从时点脉冲响应来看,经济政策不确定性对银行信贷投放和企业融资约束的影响受所处宏观经济环境的影响。建议政府进行宏观调控时,应保持政策公开性与一致性,减少经济政策不确定性对银行信贷投放产生的负向冲击,同时加快发展资本市场,增加直接融资比重,降低企业对银行信贷的依赖性。

Affected by COVID-19,the uncertainty of global economic policies has gradually intensified,which has had a certain impact on bank credit and financing constraints.This article uses monthly data from January 2002 to May 2020 to empirically analyze the dynamic effects of economic policy uncertainty(EPU)shocks on bank credit and financing constraints.The results show that:EPU increases the degree of financing constraints while suppressing bank credit.The greater the bank credit,the lower the degree of financing constraints.Under the equally spaced impulse response,the impulse response of the EPU shock to bank credit and financing constraints shows that the long-term effect is higher than that of the medium effect,the short-term effect is the weakest,and it has a certain degree of proliferation.Under the time-point impulse response,the impact of EPU on bank credit and financing constraints is affected by the macroeconomic environment.According to the research results,the government should maintain openness and consistency when conducting economic policy control,strengthen the reduction of the negative impact of EPU on the bank credit market,accelerate the development process of the capital market,expand the proportion of direct financing,and reduce the company’s share of bank credit.