中国外汇宏观审慎政策有效性研究:基于企业美元债发行视角

Effectiveness of Macroprudential FX Regulations in China:From the Perspective of U.S.Debt Issuance by Chinese Firms

宏观审慎政策是加强金融稳定性、预防金融危机的重要政策工具,而针对外汇的宏观审慎政策则是在金融一体化的大环境下应对外部因素冲击、防范金融风险的重要手段。文章基于中国美元债发债企业的微观面板数据实证研究了中国外汇宏观审慎政策对于中国企业海外债发行调节的有效性,并构建了一个包含异质性企业的两期模型对影响机制进行了解释。实证结果表明,中国外汇宏观审慎政策对地方政府融资平台企业和非平台类企业的影响呈现相反方向,影响效果对冲导致总量上整体调节效果不佳。紧缩的外汇宏观审慎政策能够有效抑制非平台类企业的美元债发债行为,但政策的跨部门溢出效应却会增加地方政府融资平台企业的美元债发债概率和发债量,增加平台类企业部门的外汇风险。

Macroprudential policies are deemed important tools to reinforce the financial stability and prevent financial crises for the past decade.Meanwhile,in the context of financial globalization,macroprudential foreign exchanges(FX)regulations are considered as specific remedies when responding to external shocks.To study the effectiveness of macroprudential FX regulations in China,this paper collected the quarterly firm-level panel data of U.S.dllar debt issuance by Chinese firms from 2017Q3 to 2022Q1 and examined the impact of macroprudential FX regulations on dollar debt issuance by Chinese firms.The results show that overall effectiveness of the policies is not as satisfactory as expected,but the impacts on firms'dollar debt issuance have great heterogeneity between local government financing vehicles(LGFV)and non-LGFV firms.Specifically,a tightening of macroprudential FX regulation can significantly reduce the probability,the amount and the frequency of U.S.dollar issuance by non-LGFV firms.However,on the other hand,the leakage effect of the policies will boost the dollar debt issuance by LGFV.To give a plausible explanation of such heterogeneity displayed in the empirical results,we proposes a simple two-period model to illustrate the mechanism beneath,and show how such leakage effect of the macroprudential FX regulation shift the foreign currency risk from one sector to another.