利率市场化、信贷资源配置与民营企业增长期权价值——基于贷款利率上、下限放开的准自然实验证据

利率市场化对于提高资金配置效率、推动经济高质量发展具有重要意义,来自企业的经验证据有助于理解利率市场化影响经济发展的微观路径。本文基于我国贷款利率上限与下限的放开,借助双重差分模型检验了利率市场化如何影响民营企业的信贷资源获取、投资灵活性与增长期权价值。研究表明:贷款利率市场化使得银行能够通过调节利率来匹配企业风险,相比于中等风险企业,高风险(低风险)企业在贷款利率上限(下限)放开后以更高(更低)的融资成本获得了更多信贷资源;信贷资源的增加为企业把握投资机会提供了资金支持,贷款利率上限(下限)放开后,高风险(低风险)企业的投资灵活性与增长期权价值显著提升。本文的研究发现有助于理解利率市场化促进经济增长的微观机制,为进一步健全市场化利率体系、推进经济高质量发展提供参考。

Interest Rate Marketization,Credit Allocation,and the Value of Growth Options in Non-SOEs: Evidence from the Removal of Upper and Lower Limits of the Loan Interest Rate

Improving the formation and transmission mechanism of market-oriented interest rates can increase the efficiency of the financial market and capital allocation. China has adopted a gradual reform approach for interest rate marketization. The upper and lower limits of loan interest rates have been adjusted several times, were gradually relaxed, and were finally removed in October 2004 and July 2013 by the People's Bank of China. How does interest rate marketization affect the development of the real economy? The literature focuses on the removal of the upper and lower limits of loan interest rates and examines the impact of loan interest rate marketization on capital structure and investment efficiency (Chen et al., 2019). The influences of the upper and lower limits of the loan interest rate differ for firms because of heterogeneous risks, which further affects the investment flexibility of firms and the real option value. However, this effect is rarely examined in the literature. Unlike other studies, we examine how the removal of the upper and lower limits of loan interest rates affects access to credit resources, investment flexibility, and the value of growth options in non-state-owned firms. Theoretically, banks should set specific loan interest rates depending on the level of risk. However, with upper and lower limits, banks are unable to fully adjust their loan interest rates to the level of firm risk. The upper limit (lower limit) restricts banks from charging high interest rates (low interest rates) to high-risk (low-risk) firms. Thus, these firms may abandon credit financing or some of their investment projects because of high interest rates or a lack of funds. Firms with medium levels of risk are not affected, as their corresponding interest rates are between the upper and lower limits. After the upper limit (lower limit) is removed, banks can charge high (low) loan interest rates to high-risk (low-risk) firms, and thus, these firms can obtain additional credit and therefore increase investments and realize the value of their growth options.Based on a sample of A-share listed companies from 2001 to 2020, we calculate the Oscore variable and use this to constructs risk groups (Ohlson, 1980). The results from a differences-in-differences research design indicate that the removal of the upper (lower) limit of the loan interest rate enables high-risk (low-risk) firms to obtain more credit at higher (lower) costs than medium-risk firms, and it significantly improves investment flexibility and the value of growth options. The results of parallel trending, falsification, and changing the variable definition and samples confirm the robustness of our empirical findings.Our academic contributions are as follows. First, we examine the differential impact of removing the upper and lower limits of loan interest rates on firms with heterogeneous risks, which has rarely been investigated in the literature. In addition, by applying a differences-in-differences research design, we largely alleviate concerns of endogeneity. Our research contributes to the literature on how interest rate marketization affects the allocation of credit resources. Second, we investigate the influence of interest rate marketization on financing and investment decisions and, finally, on value creation. Thus, our study increases the understanding of how interest rate marketization affects firm investment and the value of real options and informs the micro-transmission mechanism of interest rate marketization. The removal of the upper and lower limits of loan interest rates provides us with an opportunity to examine how exogenous changes in the financing environment affect the value of growth options, thus enriching research into the value of real options (Hao et al., 2011; Chen et al., 2015). Third, research identifies the mechanism through which stock price guides capital allocation and investments (Chen et al., 2003), whereas we examine how the removal of interest rate regulations affects credit allocation, firm investment, and value creation. Our findings reveal how interest rates can be used as price mechanisms for credit and guide the allocation of credit resources and the operation of the real economy, thus extending the literature. Based on the above research findings, we offer the following policy recommendations. First, regulatory authorities should focus on improving the formation and transmission mechanism of market-oriented interest rates and credit allocation efficiency in their reforms. Second, any blocks on the transmission channels of loan interest rates should be removed to increase the convenience of enterprise financing so that finance can serve and support the real economy and promote the high-quality development of firms and the macro economy.