国际资本流动“突然停止”冲击与企业金融资产配置

The Impact of Sudden Stop in International Capital Flow on the Allocation of Financial Assets of Enterprises

基于2007—2021年中国沪深A股上市公司非金融企业季度数据,本文考察了国际资本流动“突然停止”冲击对上市企业金融资产配置的影响及作用渠道,发现国际资本流动“突然停止”冲击会降低企业金融资产持有水平、提高金融资产获利水平,且该影响存在持续性;“突然停止”冲击通过提高信贷成本、降低资产价格促使企业减少金融资产持有,而代理成本增加、固定资产投资减少则有利于提升金融资产获利水平;“突然停止”冲击削弱企业短期金融资产持有偏好,增强长期金融资产持有偏好;提高金融市场化水平、把控资本账户监管力度、强化宏观审慎政策监管均有利于减少资本流动“突然停止”冲击对企业金融资产配置的影响。本文为探究国际资本流动“突然停止”冲击衍生的金融风险提供了企业层面的微观证据,同时为中国深化金融市场开放、提升金融服务实体经济效率以及防范外部冲击风险提供政策启示。

The spillover effects of international capital fluctuations have emerged as a new conduit for the transmission of systemic risks among countries.Among the various types of capital flow shocks,the most detrimental is the sudden stop shock.At the same time,the allocation of financial assets has become a suboptimal option for enterprises confronted with the sluggishness of the real economy.Considering that international capital has a strong profit-seeking nature,does the sudden stop shock affect the allocation of financial assets by enterprises?Are there any disparities in this impact under different motivations for financial asset allocation?These questions are of paramount importance in clarifying the underlying logic of enterprises'financial asset allocation against the background of the macroeconomic downturn.Based on the quarterly data of A-share markets listed companies in China from 2007 to 2021,this paper investigates the influence and the channels of the sudden stop on the financial asset allocation of listed enterprises.The research findings are as follows:The sudden stops will reduce the holdings of financial assets by enterprises but increase the profits from financial assets,and this influence is persistent;The sudden stop prompts enterprises to reduce their holdings of financial assets by elevating credit costs and lowering asset prices,while the increase in agency costs and the reduction in fixed asset investment contribute to the profits from financial assets;The sudden stop shock reduces enterprises'preference for short-term financial asset holdings,while exerting the opposite effect on long-term financial assets.The policy implications are as follows.Firstly,the monetary authorities should employ big data and artificial intelligence technologies to enhance real-time,dynamic,and penetrating supervision of the international capital flows,and prevent excessive diversion of real investment into the financial field.Secondly,taking the proportion of financial asset holdings and the profits from financial assets as the regulatory indicators of the degree of enterprises'distracting from their intended purpose,and setting the red line for the credit orientation of financial institutions.Thirdly,develop a multi-level capital market,and reduce enterprises'reliance on external debt financing.Fourthly,open up financing channels such as collateralized financing for digital and patent assets of enterprises,and utilize technological innovation fund collateral guarantees to solve the problem of expensive financing for enterprises.Fifthly,strengthen the construction of the capital market,give full play to the fundamental functions of price discovery and resource allocation,and conduct external effective supervision of enterprises through the information disclosure mechanism to alleviate the degree of financialization of enterprises driven by short-term profit motives.