宏观审慎政策对企业风险承担的影响研究

Research on the Impact of Macro-Prudential Policies on Coporate Risk-Taking

本文通过手工搜集整理政府部门发布的通知公告、文件等信息构造宏观审慎政策指数,结合企业财务数据、实际贷款数据和年报文本数据,采用固定效应模型,分析宏观审慎政策对实体企业风险承担水平的影响,并深入探讨其作用渠道。研究发现,紧缩的宏观审慎政策会降低实体企业的风险承担水平,信贷和预期引导是主要传导渠道。进一步分析发现,宏观审慎政策可以弱化宽松货币政策对实体企业风险承担水平的刺激效应。

This paper constructs a macro-prudential policy index by manually collecting announcements and documents issued by government departments,and uses a fixed-effects model to analyze the impact of macro-prudential policy on the risk-taking level of enterprises by combining enterprise financial data,actual loan data and annual report text data.It is found that tight macro-prudential policies reduce the risk-taking level of real enterprises,which is mainly transmitted through the credit channel and the expectation guidance channel.Further analysis finds that macro-prudential policy can weaken the stimulating effect of accommodative monetary policy on the risk-taking level of enterprises.