产权性质、投资机会与货币政策利率传导机制——来自上市公司投资行为的实证检验

摘要/Abstract

摘要：

货币政策对企业投资行为的传导机制是投资理论中一个重要的问题，在评价政策有效性方面也极具现实意义。考察货币政策利率传导机制的关键在于企业投资对资本使用成本的长期弹性。以往文献大多从宏观层面进行总体检验，少有微观层面的研究，且缺乏对企业间异质性及其所处的制度环境的考虑。本文在新古典投资理论框架下以2003-2013年我国上市公司为样本，从投资机会和产权制度特征双重视角实证检验了货币政策利率传导机制的异质性效应。研究结果表明，利率传导机制对投资机会多的公司的投资行为影响显著，而对投资机会少的公司无显著影响。产权制度方面，国有公司投资对利率传导机制不敏感，而非国有公司敏感。而且国有产权会通过改变投资机会对投资的决定机制，减弱甚至扭曲利率传导机制作用的发挥。因此，在制定和实施货币政策时不仅应充分考虑微观层面的异质性，制度层面的改革是更加深层而重要的问题。

关键词: 投资, 利率传导机制, 投资机会, 产权制度

Abstract:

The long-term elasticity of firms' investment in relation to the use cost of capital is a key issue of the interest rate transmission mechanism of monetary policy. Previous literature bases researches mainly on a macro rather than a micro level, and often ignores the heterogeneity of firms and institutional environment. Based on the dynamic error correction model and micro-level database over the period 2003-2013, this paper explores the heterogeneity of interest transmission mechanism of monetary policy caused by the heterogeneity of companies' investment opportunities and the ownership characteristics. The results show that, the interest rate transmission channel of monetary policy has no significant effect on companies which have less investment opportunities while a significant effect on companies which have more investment opportunities. In terms of ownership system, state-owned companies' investment is not sensitive to interest transmission channel, while non-state enterprises' investment is sensitive to it. Moreover, state-owned property right can weaken and even distort the interest rate transmission mechanism by changing the decisive role of investment opportunities in firms' investment decision making. In formulating and implementing monetary policy, the government should not only consider the heterogeneity of companies at micro level but also ownership system reform as well.

Key words: investment, interest transmission mechanism, investment opportunities, ownership system

贺妍, 罗正英. 产权性质、投资机会与货币政策利率传导机制——来自上市公司投资行为的实证检验[J]. , 2017, 29(11): 28-40.

He Yan, Luo Zhengying. Ownership Type, Investment Opportunities, and Interest Rate Transmission Mechanism of Monetary Policy: Empirical Research Based on Listed Companies in China[J]. , 2017, 29(11): 28-40.

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