"双支柱"政策调控与企业金融资产配置时变关系研究:基于TVP-SV-VAR模型的实证检验
Time-Varying Relationship between Dual-Pillar Policy Regulation and Corporate Financial Asset Allocation:An Empirical Test Based on the TVP-SV-VAR Model
丁黎黎 1赵忠超 1王垒1
作者信息
摘要
金融科技发展和市场制度变革给传统金融体系带来的巨大冲击,使得"双支柱"政策调控的有效性面临严峻考验.借助TVP-SV-VAR模型,实证检验"双支柱"政策调控对企业金融资产配置的动态脉冲效应.研究表明,货币政策和宏观审慎政策的调控效果呈现出阶段性的演化特征,二者的协同效应能够有效抑制企业金融资产的过度配置.相比制度环境冲击,"双支柱"政策调控在面对金融环境冲击时表现出更强的作用效果和力度.进一步研究发现,"双支柱"政策通过资本流动管理、资产价格稳定和金融风险缓释途径影响企业金融资产配置,且对流动性与非流动性金融资产配置的作用效果存在显著差异.研究结论为理解实体企业金融化和完善金融市场制度提供了新的理论视角,也为政府相关部门依据金融环境和制度环境进行"双支柱"政策调控的动态调整提供决策依据.
Abstract
The profound impacts of financial technology development and market institutional reforms on the traditional financial system pose significant challenges to the effectiveness of dual-pillar policy regulation.Utilizing the time-varying parameter stochastic volatility vector autore-gression(TVP-SV-VAR)model,this study empirically examines the dynamic impulse effects of dual-pillar policy regulation on corporate financial asset allocation.The findings indicate that the regulatory effects of monetary policy and macroprudential policy exhibit evolutionary characteris-tics over different periods,and their synergistic effects can effectively curb the excessive allocation of corporate financial assets.Compared to institutional environmental shocks,dual-pillar policy regulation demonstrates stronger efficacy and intensity in response to financial environmental shocks.Further analysis reveals that dual-pillar policies influence corporate financial asset allo-cation through mechanisms such as capital flow management,asset price stabilization,and finan-cial risk mitigation,with significant differences in effects between liquid and illiquid financial as-set allocations.The conclusions provide a novel theoretical perspective for understanding the fi-nancialization of brick-and-mortar enterprises and refining financial market institutions and of-fer a decision-making basis for government authorities to dynamically adjust dual-pillar policy regulation based on financial and institutional environments.
关键词
"双支柱"政策调控/金融资产配置/TVP-SV-VAR模型/时变参数估计Key words
dual-pillar policy regulation/financial asset allocation/TVP-SV-VAR model/time-varying parameter estimation引用本文复制引用
基金项目
国家社会科学基金一般项目(23BGL108)
山东省自然科学基金面上项目(ZR2023MG013)
山东省社会科学规划研究项目(22CCXJ14)
泰山学者工程专项(tsqn202306089)
出版年
2024
NETL
NSTL
万方数据