Summary:
In recent years, studies have focused on the financialization trend among Chinese real sector firms and analyzed the factors driving the financialization of Chinese non-financial firms by establishing investment portfolio models. The relative risks of industrial investment dominate the financialization of Chinese real sector firms. However, the literature does not consider the possible impact of macro-monetary factors on the financialization of micro-firms. The analytical expressions of the theoretical models after including macro-factors would be more complicated and affect the interpretation of the mechanism driving the financialization of micro-enterprises. This paper first considers the influence of monetary factors on firms' portfolio selection using a theoretical model. It then deduces firms' optimal financial asset ratio based on three factors, namely monetary expansion, profit-seeking capital and risk aversion. Finally, it conducts detailed empirical analysis and statistical testing based on 2007-2018 half-year panel data on non-financial firms listed in the China A-share stock market. The results of the benchmark model show that monetary expansion, profit-seeking capital and risk aversion are the key factors affecting non-financial firms' financialization. The influence of monetary expansion on the proportion of corporate financial assets has a direct suppression effect and an indirect promotion effect. However, the indirect promotion effect cannot offset the direct suppression effect. When using the financial channel profit ratio to measure the level of corporate financialization, risk aversion remains a significant driving factor and the profit-driven nature of capital no longer has a driving role. This paper further investigates the benchmark regression from two perspectives. The first adds economic policy uncertainty to the benchmark model as a macro-risk factor. The second tests whether the financialization mechanism of firms driven by ownership is different and shows heterogeneity. The results of adding macro-risk factors show that after introducing economic policy uncertainty, the originally significant coefficient of the monetary factor variable is no longer significant or the absolute value decreases. This indicates that the role of macro-monetary factors in the financialization of non-financial firms may indeed realize an indirect impact through the macro-risk channel. The empirical results of dividing the samples according to the nature of firms' ownership show that the financialization-driving mechanism of non-financial firms does demonstrate heterogeneity due to different ownership attributes. The financialization of state-owned enterprises is mainly affected by the monetary and risk aversion factors; it is also affected by asset size and leverage ratio. The proportion of private enterprises' financial assets is mainly driven by risk aversion and profit-seeking capital. The proportion of profits obtained through financial channels is mainly affected by monetary factors. The financialization of the other types of enterprises is significantly affected by monetary factors and risk aversion, but profit-seeking capital is not a main driving factor. The results of the model that incorporates economic policy uncertainty further show that for all types of enterprise, when the model contains macro-risk factors, the originally significant monetary factors are no longer significant or the absolute value is significantly reduced. This further demonstrates that monetary factors may affect the financialization of enterprises through economic policy uncertainty. Regardless of whether the financial level of Chinese non-financial firms is measured in terms of financial investment motivation or financial investment results, risk aversion is the most critical driver of firms' financialization. Profit-seeking capital has a significant driving effect on the proportion of private enterprises' financial investment. Simultaneously, neither the benchmark model nor the robustness test results provide statistically significant evidence that monetary expansion drives firms from real to virtual. The results indicate that further research is needed to clarify the transmission channels through which macro-monetary policy can release funds and guide micro-enterprises to make correct investment decisions.
张成思, 郑宁. 中国实体企业金融化:货币扩张、资本逐利还是风险规避?[J]. 金融研究, 2020, 483(9): 1-19.
ZHANG Chengsi, ZHENG Ning. What Drives the Financialization of China's Real Sector: Monetary Expansion, Profit-Seeking Capital or Risk Aversion?. Journal of Financial Research, 2020, 483(9): 1-19.
Baker, S.R., N. Bloom, and S.J. Davis, 2016. “Measuring Economic Policy Uncertainty”, Quarterly Journal of Economics, 131(4), 1593～1636.
[16]
Demir, F., 2009. “Financial Liberalization, Private Investment and Portfolio Choice:Financialization of Real Sectors in Emerging Markets”, Journal of Development Economics, 88(2), 314～324.
[17]
Hansen, L. P., 1982. “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica, 50(4), 1029～1054.
[18]
Kleibergen, F., and R. Paap, 2006. “Generalized Reduced Rank Rests Using the Singular Value Decomposition”, Journal of Econometrics, 133(1), 97～126.
[19]
Krippner, G., 2005, “The Financialization of the American Economy”, Socio-Economic Review, 3(2), 173～208.
