美国货币政策冲击影响中国企业融资成本吗?

Does US Monetary Policy Shock Affect the Financing Cost of Chinese Enterprises

伴随中国金融市场不断开放,全球金融环境的变化逐渐影响中国实体经济波动。美国货币政策作为全球金融周期的重要驱动因素,如何通过金融市场影响中国实体经济运行需要科学衡量。理论上,受金融市场摩擦影响,美国货币政策冲击通过信贷渠道和跨国金融中介的风险承担渠道,能够改变国内企业融资成本。实证上,本文基于高频数据构建外部工具变量识别美国货币政策冲击,并将中国企业相对于美国无风险利率的融资溢价拆解为主权风险溢价、期限风险溢价以及信用违约风险溢价三个部分,从而测度冲击对中国企业融资溢价以及实体经济的动态响应路径。从因果效应看,美国紧缩性货币政策冲击显著提高中国企业融资成本;从数量关系看,中国企业长期融资利率上升幅度是短期融资利率的两倍;从持续程度看,政策冲击对短期融资利率的影响维持约5个月,对长期融资利率的影响维持约25个月。本文为监测并防范美国货币政策变动影响中国企业融资成本与实体经济波动提供了新视角和科学依据。

With the opening-up of China’s financial market,global financial conditions have been affecting China’s real economy. What we need to measure scientifically is how US monetary policy,an important driver of global financial cycle,affects China’s real economy through the financial market. Theoretically,due to financial market friction,US monetary policy can change the financing cost of Chinese enterprises through credit channels and risk taking of international financial intermediaries. In empirical analysis,this paper takes advantage of an external instrument to identify U. S. monetary policy based on high-frequency data. Moreover,to investigate impacts on the financing cost and dynamic responses of the real economy,it divides China enterprises’ financing premium relative to US risk-free rate into three parts,namely sovereign risk premium,term risk premium and default risk premium. Results show that,from the perspective of causal effect,the tightening of US monetary policy significantly increases the financing cost of Chinese enterprises;in terms of quantity,the rise of long-term financing rate of Chinese enterprises is twice that of short-term financing rate;as for duration,changes on short-term financing rate last for about 5 months,while effects on long-term financing rate last for about 25 months. This paper provides a new perspective and scientific basis for monitoring and preventing US monetary policy shocks from affecting Chinese enterprises’ financing cost and China’s real economy.