中国经济微观不确定性的测度及效应研究

Research on the Measurement and Effect of China’s Microeconomic Uncertainty

本文以2003-2021年我国A股上市企业的财务数据为样本,对中国微观经济不确定性进行测度并研究其对企业层面投资及宏观经济的效应。研究发现,微观不确定性提高会抑制企业投资水平,但这种抑制作用随着时间延长削弱,并在中长期反转。微观不确定性在短期主要通过实物期权与金融摩擦两种渠道影响企业投资水平。本文提出并验证了微观不确定性的资源分配渠道,此渠道在中长期会促进企业投资。微观不确定性在宏观层面效应与在微观方面一致,且表现为总需求冲击。本文深化了经济不确定性的度量及传导机制研究。在政策启示上,政策需要区分不确定性来源,关注企业层面不确定性,并且适度包容和引导市场中资源再分配,以为市场经济保驾护航。

Based on data of China’s A-share listed enterprises from 2003 to 2021, this paper measures the microeconomic uncertainty in China and studies its effect on firm-level investment and macroeconomy. We find at the micro level, the increase of microeconomic uncertainty will reduce investment, but this effect will weaken over time, and reverse in the medium and long run. In the short run, microeconomic uncertainty affects investment mainly through real options and financial friction channels. We propose and validate a resource allocation channel through which firms increase investment in the medium and long run. Moreover, the impact of microeconomic uncertainty on macroeconomic variables, reflected as aggregate demand shocks, is consistent with empirical results at the firm level. This paper enriches angles of measuring economic uncertainty and understandings of its transmission mechanisms. In terms of policy implications, our research suggests that government policy needs to differentiate between different types of economic uncertainty, pay attention to uncertainty at the microeconomic level, and properly monitor and facilitate resource allocation in the economy.