Abstract:
This paper investigates the effect of credit supply cycle on investment efficiency, how this effect differs in periods of different macroeconomic uncertainty and its mechanism. Results show that increasing credit supply will decrease the sensitivity of investment to investment opportunity, thus decreasing the investment efficiency. From perspective of reasons, credit expansion decreases credit resources allocation efficiency and enhances bigger firms and state-owned firms' investment to a larger extent. Furthermore, during the period of higher macroeconomic uncertainty, the negative effect of credit expansion on investment efficiency will be smaller. From the perspective of mechanism, during the period of higher macroeconomic uncertainty, credit supply expansion will make firms with more growth opportunities obtain more loans and increase firms' propensity for investment. This paper uncovers the impact of China's credit supply policy on firm investment efficiency and its mechanism, and has some implications for managing aggregate demand during new normal period.
刘海明, 曹廷求. 信贷供给周期对企业投资效率的影响研究——兼论宏观经济不确定条件下的异质性[J]. 金融研究, 2017, 450(12): 80-94.
LIU Haiming, CAO Tingqiu. Impact of Credit Supply Cycle on Investment Efficiency and Heterogeneous Effect from Macroeconomic Uncertainty. Journal of Financial Research, 2017, 450(12): 80-94.
Aghion P.,G. M. Angeletos,A. Banerjee and K. Manova.2010. “Volatility and Growth: Credit Constraints and the Composition of Investment” Journal of Monetary Economics, 57(3): 246~265.
[14]
Bailey W.,W. Huang and Z. Yang.2012. “Bank Loans with Chinese Characteristics: Some Evidence on Inside Debt in a State-Controlled Banking System” Journal of Financial and Quantitative Analysis, 46(06): 1795~1830.
[15]
Bassett W. F.,M. B. Chosak,J. C. Driscoll and E. Zakrajšek.2014. “Changes in Bank Lending Standards and the Macroeconomy” Journal of Monetary Economics, 62(3): 23~40.
[16]
Beaudry P.,M. Caglayan and F. Schiantarelli.2001. “Monetary Instability, the Predictability of Prices, and the Allocation of Investment: An Empirical Investigation Using UK Panel Data” The American Economic Review, 91(3): 648~662.
[17]
Bebchuk, L. A. and I. Goldstein.2011. “Self-fulfilling Credit Market Freezes” Review of Financial Studies, 24(11): 3519~3555.
[18]
Becker, B. and V. Ivashina.2014. “Cyclicality of Credit Supply: Firm Level Evidence” Journal of Monetary Economics, 62(3): 76~93.
[19]
Bloom N.,S. Bond and J. Van Reenen.2007. “Uncertainty and Investment Dynamics” The Review of Economic Studies, 74(2): 391~415.
[20]
Chen S.,Z. Sun,S. Tang and D. Wu.2011. “Government Intervention and Investment Efficiency: Evidence from China” Journal of Corporate Finance, 17(2): 259~271.
[21]
Kiyotaki, N. and J. Moore.1997. “Credit Cycle” Journal of Political Economy, 105(21): 211~248.
[22]
Lin Y.,A. Srinivasan and T. Yamada.2015. “The Effect of Government Bank Lending: Evidence from the Financial Crisis in Japan”SSRN Working Paper.
[23]
Liu Q.,X. Pan and G. Tian.2016. “To What Extent did the Economic Stimulus Package Influence Bank Lending and Corporate Investment Decisions? Evidence from China”Journal of Banking & Finance, Forthcoming.
[24]
Morck R.,M. D. Yavuz and B. Yeung.2013. “State-controlled Banks and the Effectiveness of Monetary Policy”National Bureau of Economic Research Working Paper.
[25]
Quagliariello M.2009. “Macroeconomic Uncertainty and Banks' Lending Decisions: The Case of Italy” Applied Economics, 41(3): 323~336.
[26]
Romer C. D.,D. H. Romer.1990. “New Evidence on the Monetary Transmission Mechanism” Brookings Papers on Economic Activity, 21(1): 149~214.
[27]
Shen J.,M. Firth and W. Poon.2015. “Bank Loan Supply and Corporate Capital Structure: Recent Evidence from China”SSRN Working Paper.
