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货币政策不确定性对企业全要素生产率的影响研究

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依据2005-2021年A股上市企业数据,运用SVAR-SV模型,逐步分离宏观经济冲击和货币政策水平冲击,构建货币政策不确定性指数,考量货币政策不确定性对企业全要素生产率的影响.结果显示:相较于金融摩擦机制,货币政策不确定性主要通过实物期权和增长期权机制抑制企业全要素生产率增长;受企业异质性影响,货币政策不确定性对国有控股、中小规模和中西部企业全要素生产率的抑制效果更为显著.
The Impact of Monetary Policy Uncertainty on Corporate Total Factor Productivity
Based on data of A-share listed companies from 2005 to 2021,this paper utilizes the SVAR-SV model to separate macroeconomic shocks and monetary policy level shocks from mone-tary policy uncertainty shocks and constructs an index of China's monetary policy uncertainty,conducts empirical research on the impact of monetary policy uncertainty on corporate total factor productivity.The findings indicate that a high level of monetary policy uncertainty negatively af-fects corporate total factor productivity growth,and real option mechanism and growth option mechanism are more important compared to financial friction mechanism.Under the influence of corporate heterogeneity,this effect is more pronounced for state-owned holding enterprises,small and medium-sized enterprises and enterprises located in the central and western regions in China.

monetary policy uncertaintytotal factor productivitySVAR-SV Model

段进、田林

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湖南大学金融与统计学院,湖南长沙 410006

货币政策不确定性 全要素生产率 SVAR-SV模型

湖南省哲学社会成果评审委员会课题

XSP19YBC263

2024

财经理论与实践
湖南大学

财经理论与实践

CSTPCDCSSCICHSSCD北大核心
影响因子:1.112
ISSN:1003-7217
年,卷(期):2024.45(1)
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