美联储货币政策不确定性对我国企业杠杆率的溢出效应——基于融资约束异质性视角

财经论丛 ›› 2022, Vol. 38 ›› Issue (12): 48-58.

美联储货币政策不确定性对我国企业杠杆率的溢出效应——基于融资约束异质性视角

舒长江¹, 洪攀²

1.南昌航空大学经济管理学院,江西南昌 330063;
2.江西财经大学金融学院,江西南昌 330013

收稿日期:2021-09-28 出版日期:2022-12-10 发布日期:2022-12-13
作者简介:舒长江(1981—),男,安徽广德人,南昌航空大学经济管理学院副教授,博士;洪攀(1994—),男,江西九江人,江西财经大学金融学院博士生。
基金资助:
江西省高校人文社会科学基金项目(JJ20101)

The Spillover Effect of the Federal Reserve's Monetary Policy Uncertainty on the Leverage Ratio of China's Enterprises:Based on the Perspective of Financing Constraints Heterogeneity

SHU Changjiang¹, HONG Pan²

1. School of Economics, Nanchang Hangkong University, Nanchang 330063, China;
2. School of Finance, Jiangxi University of Finance and Economics, Nanchang 330013, China

Received:2021-09-28 Online:2022-12-10 Published:2022-12-13

摘要/Abstract

摘要： 通过构建开放经济条件下包含融资约束异质性特征的货币政策溢出效应的两国经济模型,以2008—2019年A股上市非金融企业季度数据,从资产价格、汇率和利率三个渠道实证分析了美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应。结果显示,美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应在不同的传导渠道下具有显著差异。进一步分析发现,美联储货币政策不确定性对我国融资约束异质性企业杠杆率的溢出效应具有典型的时变特征。

关键词: 美联储, 货币政策不确定性, 融资约束异质性, 溢出效应

Abstract: Using the quarterly data of A-share listed non-financial companies from 2008 to 2019, this paper constructs a simplified economic model of two countries that includes the monetary policy spillover effect of financing constraints heterogeneity in an open economy to empirically study the spillover effect of the Federal Reserve's monetary policy operation uncertainty on the leverage ratio of China's financing-constrained heterogeneous companies from the three channels of asset prices, exchange rates, and interest rates. The results show that the spillover effect of the Federal Reserve's monetary policy uncertainty on the leverage ratio of China's heterogeneous corporate financing constraints has significant differences in different transmission channels. Further analysis finds that this spillover effect of has a typical time-varying characteristic.

Key words: Federal Reserve, Monetary Policy Uncertainty, Financing Constraint Heterogeneity, Spillover Effect

中图分类号:

F820
F830

舒长江, 洪攀. 美联储货币政策不确定性对我国企业杠杆率的溢出效应——基于融资约束异质性视角[J]. 财经论丛, 2022, 38(12): 48-58.

SHU Changjiang, HONG Pan. The Spillover Effect of the Federal Reserve's Monetary Policy Uncertainty on the Leverage Ratio of China's Enterprises:Based on the Perspective of Financing Constraints Heterogeneity[J]. Collected Essays on Finance and Economics, 2022, 38(12): 48-58.

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