金融加速效应的不对称现象分析
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摘要
一直以来,我国的企业融资主要依赖金融机构的贷款,这种过分忽视企业直接股权融资和债券融资的畸形融资结构使得企业的战略发展很容易受到货币政策变动的影响,并有可能随着企业规模的不同而有所不同。若我们忽视货币政策对大企业和小企业的不同冲击,则可能会为国家经济的进一步发展留下隐患。
本文从金融加速理论入手,阐述了金融加速效应的微观理论和宏观效应,得出了基于不同企业规模的金融加速效应的研究方法。通过对酿酒食品行业上市公司的总资产进行排序,分别选取总资产排名前8名和后8名的公司作为大企业和小企业的样本进行比较分析,以选取的2004年第4季度到2009年第3季度公司公布的资产负债表中的数据进行实证分析,验证货币政策冲击对不同规模企业金融加速效应的不对称现象。在具体进行实证分析时,首先对货币政策冲击对企业长期投资增长率的影响进行分析,然后对货币政策冲击对企业净资产增长率的影响进行分析,通过分别对大企业和小企业的数据进行计量模拟并比较结果,得出结论,小企业对于国家货币政策的敏感度要比大企业来的更加强烈,同时在整个金融加速效应的运行机制中净资产作为中间变量起着十分重要的关键作用。
最后在实证分析的基础上,结合目前我国外部融资环境的现状,提出了产生这种不对称现象的原因并从微观和宏观两个方面提出了相应的对策建议。
In our country, corporate financing mainly relied on financial institutions loans. Such phenomena of excessively neglecting direct equity financing and bond financing makes the company’s strategic much vulnerable to the changes of the monetary police. The hidden danger may undermine the economic of our country, if we ignore the different impact of monetary police on the large enterprises and the small enterprises.
Starting with the financial accelerator theory, the micro theory and the macro effects were described in the paper. Through sorting of total assets of the listed companies of Wine Food Industry, the top eight and after eight of the companies were selected as the samples of the large enterprises and the small enterprises. Selecting the data of 4th quarter 2004 to 3rd quarter 2009, we could confirm that the asymmetry phenomena of financial accelerator theory on different scale of company based on the shock of monetary policy appeared. In this process, the changes of long-term investment based on monetary police were analysis firstly. Then, the changes of the net assets were analysised. Concluded that small enterprises were more sensitive to the national monetary policy than big enterprises, and the net asset was very important in the operating mechanism of financial accelerator effect.
Finally, combined with the current status of China’s external financing environment, the reasons that why such asymmetries was produced were put forward and countermeasures were also put forward on both the micro and the macro.
本文从金融加速理论入手,阐述了金融加速效应的微观理论和宏观效应,得出了基于不同企业规模的金融加速效应的研究方法。通过对酿酒食品行业上市公司的总资产进行排序,分别选取总资产排名前8名和后8名的公司作为大企业和小企业的样本进行比较分析,以选取的2004年第4季度到2009年第3季度公司公布的资产负债表中的数据进行实证分析,验证货币政策冲击对不同规模企业金融加速效应的不对称现象。在具体进行实证分析时,首先对货币政策冲击对企业长期投资增长率的影响进行分析,然后对货币政策冲击对企业净资产增长率的影响进行分析,通过分别对大企业和小企业的数据进行计量模拟并比较结果,得出结论,小企业对于国家货币政策的敏感度要比大企业来的更加强烈,同时在整个金融加速效应的运行机制中净资产作为中间变量起着十分重要的关键作用。
最后在实证分析的基础上,结合目前我国外部融资环境的现状,提出了产生这种不对称现象的原因并从微观和宏观两个方面提出了相应的对策建议。
In our country, corporate financing mainly relied on financial institutions loans. Such phenomena of excessively neglecting direct equity financing and bond financing makes the company’s strategic much vulnerable to the changes of the monetary police. The hidden danger may undermine the economic of our country, if we ignore the different impact of monetary police on the large enterprises and the small enterprises.
Starting with the financial accelerator theory, the micro theory and the macro effects were described in the paper. Through sorting of total assets of the listed companies of Wine Food Industry, the top eight and after eight of the companies were selected as the samples of the large enterprises and the small enterprises. Selecting the data of 4th quarter 2004 to 3rd quarter 2009, we could confirm that the asymmetry phenomena of financial accelerator theory on different scale of company based on the shock of monetary policy appeared. In this process, the changes of long-term investment based on monetary police were analysis firstly. Then, the changes of the net assets were analysised. Concluded that small enterprises were more sensitive to the national monetary policy than big enterprises, and the net asset was very important in the operating mechanism of financial accelerator effect.
Finally, combined with the current status of China’s external financing environment, the reasons that why such asymmetries was produced were put forward and countermeasures were also put forward on both the micro and the macro.
引文
[1] Aoki Kosuke, Proudman James, Vlieghe Gertjan. House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach. Journal of Financial Intermediation, 2004(13): 414～435.
[2] Ashoka Mody, Lucio Sarno, Mark P. Taylor. A cross-country financial accelerator: Evidence from North America and Europe. Journal of International Money and Finance, 2007, 1(26).
[3] Bagehot. Lombard Street. A Description of the Money Market [M]. London: Henry, S. King and Co., 1873.
[4] Bernanke, Gertler, Gilchrist. The Financial Accelerator and the Flight to Quality. Review of Economics and Statistics, 1996(78): 1～15.
[5] Bernanke, Ben, Gertler, Gilchrist. The Financial Accelerator in a Quantitative Business Cycle Framework [M]. In J .Taylor and M. Woodford (eds.) Handbook of Macroeconomics, North - Holland, 1999.
[6] Bernanke, Ben, Gertler. Monetary Policy and Asset Price Volatility [J ]. Economic Review of the Federal Reserve Bank of Kansas City, 1999(84):17～51.
[7] Christopher L House. Adverse selection and the financial accelerator. Journal of Monetary Economics, 2006, 6(53).
[8] Diemo Dietric. Monetary Policy Shocks and Heterogeneous Finance Decisions: A Model of Hidden Effort Choice and Financial Intermediation. German Economic Review, 2003, 3(4).
[9] Fisher. The Debt-Deflation Theory of Great Depressions [J]. Econometrical, 1933, 1(3).
[10] Gertler, Gilchrist, Natalucci. External Constraints on Monetary Policy and the Financial Accelerator. BIS working paper, 2003(139).
[11] Gilchrist, Hairault, Kempf. Monetary Policy and the Financial Accelerator in a Monetary Union. European Central Bank working paper, 2002(175).
[12] Ichiro, Fukunaga. Financial Accelerator Effects in Japan’s Business Cycle. Research and Statistics Department, 2002.
[13] Karen Sierack, Kim Hiang Liow. Guest editorial. Journal of Property Investment & Finance, 2008, 2(26).
[14] Ludger Linnemann, Andreas Schabert. Monetary Policy, Agency Costs and Output Dynamics. German Economic Review, 2003, 3(4).
[15] Selim Elekdag, Ivan Tchakarov. Balance sheets, exchange rate policy, and welfare. Journal of Economic Dynamics and Control, 2007, 12(31).
[16] Townsend. Optimal Contracts and Competitive Markets with Costly State Verification. Journal of Economic Theory, 1979(21): 265～293.
[17] Yasuo Hirose. Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation. Journal of Money Credit Banking, 2008, 5(40).
[18]白钦先.经济金融文集[M].北京:中国金融出版社, 1999.
[19]白钦先.金融结构金融功能演进与金融发展理论的研究历程[J].经济评论, 2005(3): 39～45.
[20]陈文君.通往金融稳定的监管新范式[J].财经理论与实践, 2008(5).
[21]崔光灿.资产价格、金融加速器与经济稳定.世界经济, 2006(11).
[22]董利.金融发展与我国经济增长波动性的实证分析[J].经济管理, 2006(11): 84～87.
[23]杜清源,龚六堂.带“金融加速器”的RBC模型.金融研究, 2005(4).
[24]高铁梅.计量经济分析方法与建模----EViews应用及实例[M].北京:清华大学出版社, 2006.
[25]高洪民.资产负债表的直接传染----银行与企业信用链上的信贷冲击乘数效应.财经研究, 2005(31)
[26]韩非,肖辉.中美股市间的联动性分析[J].金融研究, 2005(11): 117～129.
[27]胡海鸥,虞伟荣.货币政策的信贷传导----信息不对称、金融加速效应.山西财经大学学报, 2003(25).
[28]胡秋灵,刘伟.基于次贷危机背景下的收益率研究.金融理论与实践, 2009(6).
[29]李珂,徐湘瑜.中国的金融加速器效应分析.中央财经大学学报, 2009(7).
[30]李子奈,叶阿忠.高等计量经济学[M].北京:清华大学出版社, 2000.
[31]刘丹,杨德礼,杨德权. A Systemic Model for Residential Property Market. Chinese Journal of Management, 2007(4)
[32]刘涛.中国经济波动的信贷解释:增长与调控[J].世界经济, 2005(12): 24～31.
[33]伞锋.日本地产泡沫的形成机制与应对政策的得失. Japanese Studies, 2007(6).
[34]宋泓明,闫小娜,王云海.金融加速器理论评述[J].经济学动态, 2003(10).
[35]宋玉华,李泽祥.金融经济周期理论研究新进展.浙江大学学报, 2007(4).
[36]田树喜,白钦先,林艳丽.我国金融倾斜波动效应的实证分析.财经理论与实践, 2009(1).
[37]汪旭辉,刘勇.中国能源消费与经济增长:基于协整分析和Granger因果检验.资源科学, 2007(5)
[38]吴建环,王韬,赵君丽.金融加速器理论与其发展.统计与决策, 2004(4).
[39]吴建环,席莹.中国货币政策的金融加速效应研究.山西财经大学学报, 2007(11)
[40]谢平,罗雄.泰勒规则及其在中国货币政策中的检验.经济研究, 2002(3).
[41]余元全,康庄,黄承锋.资产净值、信贷扩张与投资支出. Finance & Economics, 2008(6).
[42]周爱民,徐辉,田翠杰.金融计量学[M].北京:经济管理出版社, 2006.
[43]中国银监会统计部专题分析组.中国房地产资金来源状况分析报告.中国金融, 2005(18).
[2] Ashoka Mody, Lucio Sarno, Mark P. Taylor. A cross-country financial accelerator: Evidence from North America and Europe. Journal of International Money and Finance, 2007, 1(26).
[3] Bagehot. Lombard Street. A Description of the Money Market [M]. London: Henry, S. King and Co., 1873.
[4] Bernanke, Gertler, Gilchrist. The Financial Accelerator and the Flight to Quality. Review of Economics and Statistics, 1996(78): 1～15.
[5] Bernanke, Ben, Gertler, Gilchrist. The Financial Accelerator in a Quantitative Business Cycle Framework [M]. In J .Taylor and M. Woodford (eds.) Handbook of Macroeconomics, North - Holland, 1999.
[6] Bernanke, Ben, Gertler. Monetary Policy and Asset Price Volatility [J ]. Economic Review of the Federal Reserve Bank of Kansas City, 1999(84):17～51.
[7] Christopher L House. Adverse selection and the financial accelerator. Journal of Monetary Economics, 2006, 6(53).
[8] Diemo Dietric. Monetary Policy Shocks and Heterogeneous Finance Decisions: A Model of Hidden Effort Choice and Financial Intermediation. German Economic Review, 2003, 3(4).
[9] Fisher. The Debt-Deflation Theory of Great Depressions [J]. Econometrical, 1933, 1(3).
[10] Gertler, Gilchrist, Natalucci. External Constraints on Monetary Policy and the Financial Accelerator. BIS working paper, 2003(139).
[11] Gilchrist, Hairault, Kempf. Monetary Policy and the Financial Accelerator in a Monetary Union. European Central Bank working paper, 2002(175).
[12] Ichiro, Fukunaga. Financial Accelerator Effects in Japan’s Business Cycle. Research and Statistics Department, 2002.
[13] Karen Sierack, Kim Hiang Liow. Guest editorial. Journal of Property Investment & Finance, 2008, 2(26).
[14] Ludger Linnemann, Andreas Schabert. Monetary Policy, Agency Costs and Output Dynamics. German Economic Review, 2003, 3(4).
[15] Selim Elekdag, Ivan Tchakarov. Balance sheets, exchange rate policy, and welfare. Journal of Economic Dynamics and Control, 2007, 12(31).
[16] Townsend. Optimal Contracts and Competitive Markets with Costly State Verification. Journal of Economic Theory, 1979(21): 265～293.
[17] Yasuo Hirose. Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation. Journal of Money Credit Banking, 2008, 5(40).
[18]白钦先.经济金融文集[M].北京:中国金融出版社, 1999.
[19]白钦先.金融结构金融功能演进与金融发展理论的研究历程[J].经济评论, 2005(3): 39～45.
[20]陈文君.通往金融稳定的监管新范式[J].财经理论与实践, 2008(5).
[21]崔光灿.资产价格、金融加速器与经济稳定.世界经济, 2006(11).
[22]董利.金融发展与我国经济增长波动性的实证分析[J].经济管理, 2006(11): 84～87.
[23]杜清源,龚六堂.带“金融加速器”的RBC模型.金融研究, 2005(4).
[24]高铁梅.计量经济分析方法与建模----EViews应用及实例[M].北京:清华大学出版社, 2006.
[25]高洪民.资产负债表的直接传染----银行与企业信用链上的信贷冲击乘数效应.财经研究, 2005(31)
[26]韩非,肖辉.中美股市间的联动性分析[J].金融研究, 2005(11): 117～129.
[27]胡海鸥,虞伟荣.货币政策的信贷传导----信息不对称、金融加速效应.山西财经大学学报, 2003(25).
[28]胡秋灵,刘伟.基于次贷危机背景下的收益率研究.金融理论与实践, 2009(6).
[29]李珂,徐湘瑜.中国的金融加速器效应分析.中央财经大学学报, 2009(7).
[30]李子奈,叶阿忠.高等计量经济学[M].北京:清华大学出版社, 2000.
[31]刘丹,杨德礼,杨德权. A Systemic Model for Residential Property Market. Chinese Journal of Management, 2007(4)
[32]刘涛.中国经济波动的信贷解释:增长与调控[J].世界经济, 2005(12): 24～31.
[33]伞锋.日本地产泡沫的形成机制与应对政策的得失. Japanese Studies, 2007(6).
[34]宋泓明,闫小娜,王云海.金融加速器理论评述[J].经济学动态, 2003(10).
[35]宋玉华,李泽祥.金融经济周期理论研究新进展.浙江大学学报, 2007(4).
[36]田树喜,白钦先,林艳丽.我国金融倾斜波动效应的实证分析.财经理论与实践, 2009(1).
[37]汪旭辉,刘勇.中国能源消费与经济增长:基于协整分析和Granger因果检验.资源科学, 2007(5)
[38]吴建环,王韬,赵君丽.金融加速器理论与其发展.统计与决策, 2004(4).
[39]吴建环,席莹.中国货币政策的金融加速效应研究.山西财经大学学报, 2007(11)
[40]谢平,罗雄.泰勒规则及其在中国货币政策中的检验.经济研究, 2002(3).
[41]余元全,康庄,黄承锋.资产净值、信贷扩张与投资支出. Finance & Economics, 2008(6).
[42]周爱民,徐辉,田翠杰.金融计量学[M].北京:经济管理出版社, 2006.
[43]中国银监会统计部专题分析组.中国房地产资金来源状况分析报告.中国金融, 2005(18).