企业债务违约风险与货币政策立场——微观财务信息的宏观预测价值

文章基于2004年第一季度至2019年第三季度数据,构建汇总层面的利息偿付倍数、现金持有水平以及会计盈余作为企业债务违约风险的代理变量,考察其对国家货币政策调控立场的预测价值。研究发现：（1）汇总层面的企业债务违约风险越高,政府未来越倾向于采取更为宽松的货币政策,表现为未来信贷投放规模的增长和借贷利率的下降;（2）分析师宏观预测以及投资者的投资决策也一定程度上考虑了汇总层面的企业债务违约风险。研究表明,汇总层面的企业债务违约风险能够反映实体经济的资金供求状况,从而对货币政策立场发挥一定的预测价值,有助于监管当局提高对宏观经济的监测和预警能力。

Enterprise Default Risk and Monetary Policy: The Macro Predictability of Micro Accounting Inforamation

The monetary policy stance is the attitude of central bank about tighting or loosing money supply,which might be useful to interpret the policy inclination of the central bank.Recent papers are used to interpret the policy inclination by the interest rate or the textual meaning of policy document, most of them are based on post inference to detect the monetary policy stance.But in the realistic capital market,how to anticipate and detect the policy stance in advance, is the more critical for the investor and firm decision. Recent research in the Positive accounting filed has confirm the the predictability of aggregate accounting for macro indicators GDP、inflation and Employment rate, and is rising as "micro-macro" paradigm. These papers take the listed firms as the agent of enterprise department in macro economy, and forcast the macro state by investigating business status,but seldom discussion take the monetary policy stance into account. During past decades, policy practice show that the supply and demand of corporate funds and their debt risk have always been the focus of monetary policy regulation. Under the framework of counter-cyclical macro-control, whether accounting information can convey relevant information on future monetary policy positions is an empirical question worth discussing. Based on the data from the first quarter of 2004 to the third quarter of 2019, the paper constructs the aggregate level of interest payment multiples, cash holdings and accounting earnings as the proxy of corporate debt default risk. Empirical research found that the aggregate corporate debt default risk positively correlates with future monetary policy stance. When the corporate debt default risk is higher, the future credit supply will increase significantly, and the borrowing rate will decline significantly, and vice versa; this means that the aggregate corporate debt default risk includes substantial forecasting information about futuremonetary policy stance; further, macro analysts' expectations of monetary policy are also affected by the corporate debt default risk, but they don't use the forecasting information sufficiently, and the corporate debt default risk also indicates asset price fluctuations information which helps investors adjust their asset allocation accordingly. The possible contribution may be:1.Most of the micro empirical studies took monetary policy as a macro exogenous variable, and examined its impact on the investment and financing behavior of firms, from the perspective of policy transmission channels. By taking the monetary policy into the framework of macro predictability of accounting information, this paper not only explores the localization of the ‘micro to macro’ paradigm, but also echoes the ‘macro to micro’ paradigm, which together constitutes the interaction between macro policy and micro enterprise. 2.The real economy is an important window to predict the position of monetary policy regulation. Strengthening the debt risk monitoring of enterprise sector will help to better grasp the pace and strength of monetary policy regulation. 3.The impaction of monetary policy on capital market has been highly concerned by theoretical research and investment practice. This study shows that the default risk of corporate debt contains information related to the stance of monetary policy in the future, which is helpful for investors to adjust asset allocation according to economic fluctuations.