货币政策组合对企业微观的风险传导效应研究

发布时间：2018-02-20 16:09

本文关键词： 货币政策组合预期违约率企业风险承担　出处：《财贸研究》2017年04期 　论文类型：期刊论文

【摘要】：利用2005—2016年一年期贷款基准利率和存款准备金率季度数据,基于熵权法构建货币政策组合,使用KMV模型计算773家A股上市公司的预期违约率,并将其作为企业风险承担代理指标,研究货币政策组合对企业风险传导效应的存在性和非对称性。结果表明:货币政策组合对企业风险承担存在传导效应,货币政策组合越宽松,企业风险承担水平越高;货币政策组合对企业的风险传导效应大于单一货币政策,一年期贷款基准利率对企业的风险传导效应大于存款准备金率;高财务杠杆企业对货币政策组合风险传导更为敏感;小规模企业对货币政策组合风险传导更为敏感。
[Abstract]:Based on the one-year benchmark interest rate and reserve ratio quarterly data from 2005 to 2016, the monetary policy combination is constructed based on entropy weight method. The expected default rate of 773 A-share listed companies is calculated by using KMV model, and it is used as a proxy index for enterprise risk taking. The paper studies the existence and asymmetry of the monetary policy portfolio to the enterprise risk conduction effect. The result shows that the monetary policy combination has the conduction effect to the enterprise risk bearing, the looser the monetary policy portfolio, the higher the enterprise risk bearing level; The risk conduction effect of monetary policy portfolio is greater than that of single monetary policy, the risk conduction effect of one-year loan benchmark interest rate is greater than that of deposit reserve ratio, and the high financial leverage enterprise is more sensitive to the risk transmission of monetary policy portfolio. Small companies are more sensitive to risk transmission in monetary policy portfolios.
【作者单位】：福州大学;福建农林大学;
【基金】：国家自然科学基金项目“基于微观视角的货币政策组合非对称传导效应研究”(71473039) 福建农林大学杰出青年科研人才计划项目(xjq201516) 国际科技合作与交流项目(KXb16004A)的资助
【分类号】：F272.3;F822.0

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