企业不确定性感知、金融加速器效应与经济波动

Firm Perception of Uncertainty, Financial Accelerator Effect and Economic Fluctuations

本文构建一个包含金融摩擦和异质性风险偏好的DSGE模型,研究不确定性冲击以及企业风险感知对中国经济波动的影响。结果显示,金融摩擦会放大不确定性冲击的影响,产生显著的金融加速器效应,而企业风险规避会减弱这一效应,风险规避企业的比例越高,对金融加速器效应的弱化效果越强。原因在于,企业不确定性感知会引发管理层风险规避,降低违约率、融资溢价的上升幅度以及投资支出的下降幅度,弱化金融加速器效应。风险厌恶程度越高,企业债务融资成本上升幅度越小,投资支出和杠杆率的下降幅度也越小,从而缓解不确定性冲击带来的经济波动。福利分析表明,企业风险规避可以缓解金融摩擦导致的投资和产出波动,提高社会福利水平。基于此,本文提出进一步推动金融体系改革,提升企业风险规避意识、金融市场配置效率以及促进我国金融市场高质量发展的政策建议。

This paper constructs a DSGE model incorporating financial frictions and heterogeneous risk preferences to investigate the impact of uncertainty shocks and firms′risk perceptions on economic fluctuations in China.The findings indicate that financial frictions amplify the effects of uncertainty shocks,resulting in a significant financial accelerator effect.However,firms′risk aversion attenuates this effect,with higher proportions of risk-averse firms leading to a stronger dampening on the financial accelerator effect.This is because firms′perception of uncertainty triggers managerial risk aversion,reducing the magnitude of default rates,the increase in financing premium,and the decline in investment expenditure,thereby weakening the financial accelerator effect.The higher the degree of risk aversion,the smaller the increase in corporate debt financing costs,as well as the decrease in investment expenditure and leverage ratio,thus mitigating the risks arising from uncertainty shocks.Welfare analysis indicates that firms′risk aversion helps alleviate investment and output fluctuations caused by financial frictions,thereby enhancing social welfare.Consequently,this paper proposes policy recommendations aimed at enhancing firms′risk aversion awareness,improving the efficiency of financial market allocations,and promoting the high-quality development of finance.