货币政策、外部融资依赖与企业业绩

作为国家宏观调控重要工具之一,货币政策调整会影响企业融资行为进而影响企业经营业绩.运用我国上市企业数据研究发现,货币政策紧缩时期,企业面临较强的融资约束,银行借款减少,转而寻求商业信用.由于商业信用净额增加小于银行借款减少,货币政策紧缩导致企业融资不足使得企业业绩增长放缓,且外部融资依赖程度越高的企业受到的影响越大,但该影响只存在于非国有企业.研究结论有助于理解货币政策对企业业绩的传导机制,对处于三期叠加时期的我国企业与我国经济都具有一定的实践意义.     

The Trade Credit Channel of Monetary Policy Transmission: Evidence from Nonfinancial Manufacturing Firms in Turkey

This study investigates the trade credit channel of monetary policy transmission in Turkey by using a large panel of corporate firms and includes detailed information on balance sheets and income statements of firms that regularly reported to the Central Bank of the Republic of Turkey during the period 1996-2008. The study suggests that the composition of external finance differs considerably across firm types based on size and export performance under tight and loose financial conditions. Small and medium-size manufacturing firms and firms with a low export share are less likely to have access to bank finance, especially in tight periods. In addition, financially constrained firms with limited access to bank finance (small, low-export-share firms) tend to substitute trade credits for bank loans more aggressively in tight periods as monetary policy tightens. The large volume of trade credit on firms' balance sheets and its positive response to contractionary monetary shocks imply that the trade credit channel might subdue the traditional credit channel of monetary transmission.     

Central Bank Digital Currency,Credit Supply,and Financial Stability

We examine the implications of central bank digital currency (CBDC) for credit supply and financial stability using a monetary general equilibrium model. The introduction of deposits in CBDC account decreases credit supply by banks, raising the nominal interest rate and lowering a bank's reserve-deposit ratio. This increases the likelihood of bank panic in which banks exhaust cash reserves. However, once the central bank can lend all the deposits in CBDC account to banks, an increase in the quantity of CBDC which does not require reserve holdings can enhance financial stability by increasing credit supply and lowering nominal interest rate.     

Gender bias in access to trade credit: Firm-level evidence from emerging markets

How do small and medium-sized enterprises (SMEs) led by women fare with respect to obtaining trade credit? While both trade credit and bank credit have long been viewed as potentially important financing instruments for SMEs, there is considerable ambiguity in the existing literature as to whether they complement or substitute each other from the perspective of credit-seeking SMEs. This is even more important for Women-Led Businesses (WLBs) in emerging markets and developing economies (EMDEs) who tend to face higher severity of credit constraints relative to their male counterparts. Given this context, using firm-level data on 95 EMDEs over 2009–2020, we contribute to the literature on gender bias and credit access by examining three specific questions: First, is there a gender bias in obtaining inter-firm trade credit? Second, if there is one, can those WLBs with access to traditional bank finance use it as a signal to obtain trade credit? Third, how does this relationship hold for SMEs that are women-led? After tackling potential endogeneity bias, our empirical findings show that WLBs are less likely to obtain inter-firm trade credit relative to their male counterparts, although we observe that this bias tends to disappear when WLBs have received an institutional source of financing. We establish robustly that bank credit can act as a signaling device enabling the accessibility of inter-firm trade credit, suggesting a complementary relationship between trade credit and bank credit for WLBs.     

Collateralization,leverage, and stressed expected loss

We describe a general equilibrium model with a banking system in which the deposit bank collects deposits from households and the merchant bank provides funds to firms. The merchant bank borrows collateralized short-term funds from the deposit bank. In an economic downturn, as the value of collateral decreases, the merchant bank must sell assets on short notice, reinforcing the crisis, and defaults if its cash buffer is insufficient. The deposit bank suffers from losses because of the depreciated assets. If the value of the deposit bank's assets is insufficient to cover deposits, it also defaults. Deposits are insured by the government, with a premium paid by the deposit bank equal to its expected loss on the deposits. We define the bank's capital shortfall in the crisis as the expected loss on deposits under stress. We calibrate the model on the U.S. economy and show how this measure of stressed expected loss behaves for different calibrations of the model. A 40% decline of the securities market would induce a loss of 12.5% in the ex-ante value of deposits.     

定向降准、贷款可得性与小微企业商业信用——基于断点回归的经验证据

小微企业在我国经济发展中起到了重要作用,但由于长期面临融资约束问题,使其不得不诉诸非正式制度(如商业信用)来缓解融资困难。党的十九届五中全会明确提出,支持小微企业成长为创新重要发源地,完善促进小微企业发展的政策体系。其中,实施“精准滴灌”式的货币政策,对小微企业成长尤为重要,是金融服务实体经济的必然要求。我国央行的定向降准政策激励银行向小微企业提供贷款,有利于疏通小微企业通过正式制度(如银行贷款)进行融资的渠道。本文基于定向降准这一自然实验,采用断点回归设计,评估贷款可得性对小微企业商业信用的影响。研究发现:第一,正式制度对于非正式制度存在明显的替代效应,即小微企业贷款可得性上升以后,对商业信用的需求显著下降。第二,不同的模型设定与稳健性检验,均得到一致的结论。第三,贷款可得性提高对小微企业商业信用的影响因企业异质性而有所差异。本文研究为银行贷款与商业信用之间的替代关系提供了来自中国小微企业的证据,有助于理解定向降准政策对小微企业融资决策的影响,为扶持小微企业发展的政策制定提供参考。     

The impact of monetary policy on the financing behaviour of firms in the Euro area and the UK

Abstract

According to the ‘broad credit view’ bank-dependent firms are more strongly affected by monetary contractions than firms with access to non-bank forms of external finance. Within the credit view the bank lending channel focuses on the special role of bank loans, and predicts that monetary contractions reduce loan supply to firms facing information problems. However, the ‘relationship lending channel’ argues that, especially in bank-based economies, bank-dependent firms have close ties with banks, which may reduce the sensitivity of their use of bank debt to monetary shocks. The sensitivity of corporate debt structures to changes in the monetary policy stance is analysed using a sample of 22,000 firms in the Euro area and the UK. Evidence is found for the credit view, the relationship lending channel, but not for the bank lending channel.     

货币政策工具对银行信贷调控效果的量级差异——基于存款准备金率、利率的实证研究

我国货币政策主要通过信贷渠道进行传导,商业银行的信贷行为是货币政策传导的微观基础。本文通过分析山东省的稳健货币政策调控效应,认为商业银行通过信贷行为调整传导了调控政策,同时也引致了对冲调控策略行为。为分析不同货币政策工具调控约束力的量级差异,本文以银行信贷期限配置行为和房贷行为为例,将利率和存款准备金政策工具纳入向量自回归模型,利用脉冲响应分析不同货币政策调控工具对银行信贷行为的影响。     

货币政策在银行危机管理中的效果

本文从货币政策的信贷传导渠道出发,探讨了金融危机条件下商业银行资本管理、准备金需求的变化、信贷配给对货币政策有效性的影响机制。分析表明,货币政策的有效性不仅取决于中央银行的政策意图,还受制于商业银行资本量、风险偏好以及信贷配给程度的变化。因此,强化危机时期的货币政策效果必须配合影响银行信贷行为的措施。     

Responding to a Shadow Banking Crisis: The Lessons of 1763

In August 1763, northern Europe experienced a financial crisis with numerous parallels to the 2008 Lehman episode. The crisis affected merchant banks that were funded by short‐term credit instead of deposits. We use archival data to show that these “shadow” banks suffered a sudden loss of funding after the failure of a major bank. The central bank at the hub of the crisis, the Bank of Amsterdam, responded by broadening the range of collateral it accepted. The data also show how this emergency liquidity helped to contain the crisis, by preventing the collapse of at least two other major banks.     

Towards a measure of financial fragility

The paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility. Finally we use panel VAR techniques to investigate the relationships between the factors that characterise financial fragility in our model, i.e. banks’ probabilities of default and banks’ profits – to a proxy of welfare.      

电子货币对存款准备金制度的冲击效应研究

本文以电子货币为视角,将电子货币引入存款准备金制度的理论分析框架,在理论分析及对传统货币模型修正的基础上,选择电子货币与存款准备金政策相关的变量,建立数量经济模型。通过统计检验发现：电子货币放大了货币乘数,并使货币乘数变得不稳定,从而加大了中央银行通过存款准备金政策影响货币乘数来调节商业银行信用创造能力的难度,削弱了存款准备金政策的效率。     

Funding Liquidity without Banks: Evidence from a Shock to the Cost of Very Short‐Term Debt

In 2011, Colombia instituted a tax on repayment of bank loans, which increased the cost of short‐term bank credit more than long‐term credit. Firms responded by cutting short‐term loans for liquidity management purposes and increasing the use of cash and trade credit. In industries in which trade credit is more accessible (based on U.S. Compustat firms), we find substitution into accounts payable and little effect on cash and investment. Where trade credit is less available, firms increase cash and cut investment. Thus, trade credit provides an alternative source of liquidity that can insulate some firms from bank liquidity shocks.     

货币政策能够兼顾稳增长与防风险吗？——基于动态随机一般均衡模型的分析

为构建金融有效支持实体经济的体制机制,需平衡好稳增长、调结构和防风险三者间的关系。在此背景下,本文在两部门新凯恩斯主义动态随机一般均衡模型中引入异质性抵押约束,探讨货币政策如何兼顾稳增长和防风险,进而促进金融更好地服务实体经济。本文模拟结果显示:(1)降低利率和强化国企抵押约束可促进稳增长与稳杠杆。推动国企贷款利率趋于市场水平并降低非国企贷款成本,积极发挥结构性货币政策工具的作用,将增进其政策效果;(2)2008-2016年宏观杠杆率上升主要与国企抵押约束过松有关,2017年后利率对宏观杠杆率的调控增强;(3)宏观审慎政策框架下,货币政策盯住宏观杠杆率,并根据政策目标和经济背景适时调整利率与杠杆率的内生关系,能够优化货币政策效果。对于降低利率和强化国企抵押约束的政策组合,根据宏观杠杆率的变化同向调整利率水平有利于经济稳步增长和宏观杠杆率趋稳。     

Stochastic reserve changes and expansion of bank credit: The case of additional risks

In this paper we examine the effects of introducing additional risks to the Orr-Mellon-Cooper model on the asymptotic behavior of bank credit expansion, and derive monetary policy implications therefrom. Our model of additional risks corrects a loss of generality existing in the Orr-Mellon-Cooper model. It shows that the local solution for optimal credit expansion is the global solution, regardless of the parameters of the reserve loss functions, when the default risk is introduced. The analysis further points out necessary conditions to determine the direction of credit changes caused by a monetary injection under uncertainty.     

财政存款、银行竞争与僵尸企业形成

银行以优惠利率贷款为低质企业“输血”,是企业僵尸化的重要成因。然而,基于中国背景的文献,对银行“输血”动机的研究并不充分,本文从地方财政存款影响银行信贷分配的视角,分析僵尸企业形成的内在机理。首先,通过构建理论模型对银行竞争财政存款及影响企业融资和投资绩效进而僵尸化的逻辑进行刻画,而后依据省份财政存款、银行竞争与微观企业财务数据,对理论推论进行了验证。研究发现,财政存款占当地存款比重越大,企业僵尸化概率越高,并且银行竞争助长了企业僵尸化。此外,基于工具变量估计处理了核心变量的内生性问题,并进行了多种稳健性检验。机制检验表明,财政存款的信贷分配效应,促使企业过度投资,导致经营绩效恶化,进而提高了企业僵尸化概率,银行竞争则会加剧该效应。本文拓展了财政存款的经济效应与僵尸企业形成方面的文献,对于僵尸企业治理有一定参考意义。     

中国转轨时期的货币非超中性和通货膨胀——兼论中国货币政策双重目标的体制根源

本文通过引入一个含有资本品生产不对称信息和消费品生产流动性约束的干中学世代交叠模型,证实了在干中学发展阶段和金融欠发达共同作用下,中国需要实行国家隐性担保和利率管制相配合的金融体制,并实行适应性货币政策,激励银行信用扩张,加速企业投资和经济增长。运用该模型能够较好地解释中国转轨时期正的货币非超中性和通货膨胀并存格局,并在此基础上剖析相应的兼顾经济增长和通货膨胀控制的货币政策双重目标体制根源。     

The impact of monetary and fiscal policies on the French financial system

This paper presents a model of the French financial system and analyses the influence of policy instruments on one price (the interest rate) and two quantities (the stocks of bank credit and money). The development of hypotheses as to the behavior of the banking system and the public leads to a theoretical construct of the monetary system. After a comparative static analysis, the model is tested and the influence of policy instruments on the above mentioned three variables is empirically ascertained. Among other things, it is shown that the required reserve system is not optimally established and that some institutional reforms would improve the authorities' control over monetary processes.     

Credit cycle coherence in the eurozone: Was there a euro effect?

This paper examines effects of the euro introduction on credit cycle coherence in the eurozone through six channels. We construct and describe credit cycles for total bank credit, household mortgages and non-financial business loans for 16 EMU economies over 1990–2015. Credit cycle coherence is measured by synchronicity of cycle movements and similarity of their amplitudes. We find that the effect of euro introduction runs through elimination of currency risk and higher capital flows, which decrease coherence of total credit and mortgage credit cycles, but increase coherence of business credit cycles. Falling interest rates contribute to the convergence of total and mortgage credit cycles. Financial deregulation and legal harmonization are associated with lower coherence of all credit cycles, while trade openness has the opposite impact. The findings impinge on monetary policy effectiveness in the eurozone, with implications for macroprudential policy.     

财政存款、银行竞争与僵尸企业形成

银行以优惠利率贷款为低质企业“输血”,是企业僵尸化的重要成因。然而,基于中国背景的文献,对银行“输血”动机的研究并不充分,本文从地方财政存款影响银行信贷分配的视角,分析僵尸企业形成的内在机理。首先,通过构建理论模型对银行竞争财政存款及影响企业融资和投资绩效进而僵尸化的逻辑进行刻画,而后依据省份财政存款、银行竞争与微观企业财务数据,对理论推论进行了验证。研究发现,财政存款占当地存款比重越大,企业僵尸化概率越高,并且银行竞争助长了企业僵尸化。此外,基于工具变量估计处理了核心变量的内生性问题,并进行了多种稳健性检验。机制检验表明,财政存款的信贷分配效应,促使企业过度投资,导致经营绩效恶化,进而提高了企业僵尸化概率,银行竞争则会加剧该效应。本文拓展了财政存款的经济效应与僵尸企业形成方面的文献,对于僵尸企业治理有一定参考意义。