货币政策冲击对实体企业投资选择影响的“宿醉效应”

本文研究货币政策冲击对实体企业投资选择的动态影响效应。与传统分析方法不同,本文运用利率衍生品价格数据来识别中国货币政策冲击,利用工具变量局部投影法获得货币政策冲击对微观实体企业投资选择的动态影响效应。研究表明,动态效应呈现出更丰富的信息:货币政策冲击对企业金融资产占比有显著驱动效应,效应大小表现出先升后降趋势,在冲击发生一年半后达到峰值。值得注意的是,货币政策冲击会导致企业货币资金占比在短期内显著减少,而在中长期显著增加。进一步分析表明,货币政策冲击使实业投资和金融投资在短期内都更有利可图,所以在短期内企业倾向于减少货币资金占比,增加非货币金融资产投资和实业投资;政策冲击在中长期对企业资产收益率的提升作用消退,盈余效应使企业在中长期的金融资产占比提高,表现出一定的“宿醉效应”。

The Hangover Effects of Monetary Policy Shocks on Non-Financial Firms' Portfolio Choices

This paper investigates the dynamic effects of monetary policy shocks on non-financial firms' portfolio choices. Unlike conventional empirical analyses, this paper identifies China's monetary policy shocks using high-frequency identification based on the prices of interest rate derivatives, and it utilizes a local projection-IV method to obtain the dynamic effects of monetary policy shocks on firms' portfolio choices. These methods avoid the literature's key weaknesses of endogeneity and static analysis.
This paper uses the high-frequency identification method. First, we calculate the price surprises of one-year FR007-IRS around monetary policy announcements to obtain original monetary policy shocks. We then isolate the autocorrelation component, the central bank private information component, and the component related to economic expectations from original monetary policy shocks to obtain exogenous monetary policy shocks. Positive values in the series of exogenous monetary policy shocks indicate expansionary monetary policy shocks, and negative values indicate contractionary monetary policy shocks. Exogenous monetary policy shocks address the identification problem when studying the impact of monetary policy and validate the estimate of dynamic effects as the instrument variable in the local projection method.
This paper estimates the dynamic effects of monetary policy shocks based on A-share listed non-financial firms from 2007 to 2019. The results for dynamic effects show that positive monetary policy shocks significantly improve the share of financial assets in total assets and the magnitude of the effect exhibits a rising and then declining trend that peaks one and a half years after the shock's occurrence. Moreover, positive monetary policy shocks significantly decrease firms' ratio of cash to total assets in the short term (within one year) but significantly increase it in the long term. Positive monetary policy shocks lead to an increase in scale of real investments in the short term but a decrease in the long term. The results show that monetary policy shocks produce the hangover effects of promoting firms' financialization and reducing the scale of real investments in the medium and long term. Hangover effects refer to long-lasting effects of macroeconomic policies inconsistent with policy objectives. The hangover effects of monetary policy shocks identified in this paper reveal the complex effects of monetary policy adjustments.
Mechanism analysis shows that firms tend to reduce their ratio of cash to total assets and to invest in non-cash financial assets and real assets in the short term because positive monetary policy shocks make both real investments and financial investments more profitable. In the medium and long term, firms save more cash and non-cash financial assets and reduce real investments once the effects of monetary policy shocks (raising returns on real investments and financial investments) have dissipated. These results illustrate that the surplus effects dominate firms' long-term financialization after positive monetary policy shocks occur. Mechanism analysis also rejects competing explanations by showing that neither substitution effects, the irreversibility of financial assets, nor financial investment adjustment frictions explain the propensity of firms to make medium-and long-term financial investments after the occurrence of positive monetary policy shocks and enhances the credibility of the explanation of surplus effects by demonstrating a reduction in firms' accounts receivable and accounts payable after positive monetary policy shocks.
Group-division analysis shows that the hangover effects of monetary policy shocks are stronger for SOEs, firms located in regions with high financial development, and firms with a high ratio of tangible assets to total assets, indicating that positive monetary policy shocks drive firms with more credit resources to increase the ratio of financial assets to total assets more significantly in the medium and long term. This also supports our explanation of surplus effects on firms' long-term financialization.
We make three contributions to the literature. First, this paper uses a high-frequency identification method and isolation of the information effect to construct China's monetary policy shocks, thus addressing the key weaknesses of the endogenous monetary policy indicators used in previous approaches. Second, this paper proposes the presence of hangover effects in firms' dynamic responses to monetary policy shocks and confirms that these hangover effects occur because of firms' surplus effects. Third, this paper characterizes firms' dynamic response to monetary policy shocks of investing in the short term and restoring financial resources in the medium and long term. It thus gives a comprehensive picture of the mechanism of monetary policy shocks in the short and long term, providing evidence for policy makers on how to balance the short-term and long-lasting effects of monetary policy adjustments.