美联储货币政策不确定性对我国企业杠杆率的溢出效应——基于融资约束异质性视角

The Spillover Effect of the Federal Reserve’s Monetary Policy Uncertainty on the Leverage Ratio of China’s Enterprises: Based on the Perspective of Financing Constraints Heterogeneity

通过构建开放经济条件下包含融资约束异质性特征的货币政策溢出效应的两国经济模型,以2008—2019年A股上市非金融企业季度数据,从资产价格、汇率和利率三个渠道实证分析了美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应。结果显示,美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应在不同的传导渠道下具有显著差异。进一步分析发现,美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应具有典型的时变特征。

Using the quarterly data of A-share listed non-financial companies from 2008 to 2019, this paper constructs a simplified economic model of two countries that includes the monetary policy spillover effect of financing constraints heterogeneity in an open economy to empirically study the spillover effect of the Federal Reserve’s monetary policy operation uncertainty on the leverage ratio of China’s financing-constrained heterogeneous companies from the three channels of asset prices, exchange rates, and interest rates. The results show that the spillover effect of the Federal Reserve’s monetary policy uncertainty on the leverage ratio of China’s heterogeneous corporate financing constraints has significant differences in different transmission channels. Further analysis finds that this spillover effect of has a typical time-varying characteristic.