货币政策不确定性、央行预期管理与企业投资

Monetary Policy Uncertainty,Central Bank Expectations Management,and Corporate Investment

货币政策不确定性上升会影响企业投资,预期管理能够提振企业投资信心,修复资产价格,相比传统货币政策措施具有比较优势。本文构建了一个基于消息冲击的DSGE模型,分别研究央行在实施和未实施预期管理下,货币政策不确定性冲击对宏观经济产生的差异化影响。研究发现:央行实行货币政策预期管理有利于缓释货币政策不确定性对于宏观经济的冲击。相比未预期到的货币政策不确定性冲击,预期到的冲击更有利于缓释企业投资预期波动并降低宏观经济风险,对企业的违约率、杠杆率和风险溢价的冲击效应会更小。进一步,通过实证回归分析进行机制检验,研究发现货币政策不确定性能够显著抑制企业投资水平,央行预期管理和非银行金融机构发展能够显著降低抑制效应,机制分析表明货币政策不确定性通过资产负债表和商业银行信贷两种渠道影响企业投资水平。

The rise in monetary policy uncertainty can affect corporate investment,while expectations management can boost corporate investment confidence and repair asset prices,exhibiting comparative advantages over traditional monetary policy measures.This paper constructs a Dynamic Stochastic General Equilibrium(DSGE)model based on news shocks to investigate the differentiated impacts of monetary policy uncertainty shocks on the macroeconomy under scenarios where the central bank implements and does not implement expectations management.The research finds that the central bank's implementation of monetary policy expectations management helps mitigate the impact of monetary policy uncertainty on the macroeconomy.Compared to unexpected monetary policy uncertainty shocks,anticipated shocks are more conducive to stabilizing corporate investment expectations and reducing macroeconomic risks,with smaller impact effects on corporate default rates,leverage ratios,and risk premiums.This paper further conducts mechanism testing through empirical regression analysis,finding that monetary policy uncertainty significantly inhibits corporate investment levels,while the central bank's expectations management can significantly reduce this inhibitory effect.Mechanism analysis reveals that monetary policy uncertainty affects corporate investment levels through two channels:balance sheets and commercial bank credit.