Economic Uncertainty,Leverage Ratio Of Non-financial Enterprises And The Effectiveness Of Monetary Policy

The Fifth Plenary Session of the 19th CPC Central Committee pointed out that "the world today is undergoing major changes that have not been seen in a century,the international environment is becoming increasingly complex,and instability and uncertainty have increased significantly".The complicated external environment and the internal pressure of economic transformation and upgrading have significantly increased China’s macroeconomic uncertainty in recent years.In terms of the external environment,the slow recovery of world economic development,the increasing difficulty of international policy coordination,the increasing geopolitical risks,the European sovereign debt crisis,the Sino US trade conflict,the novel coronavirus pneumonia epidemic and other factors have led to the increasing uncertainty of the world economy.In terms of the internal environment,after more than 30 years of rapid development of reform and opening up,China’s economy has entered a new stage of development from high-speed growth to highquality growth.The economic system has also accumulated problems such as aging population,rising local government debt,the real economy "from real to virtual",and the imbalance of industrial institutions.Institutional reform and structural reform are imminent,and China’s economy is facing high macroeconomic uncertainty.At the same time,at this stage,China’s economic center is moving downward,and the leverage ratio of non-financial enterprise sector is growing rapidly,which is significantly higher than its own historical level and the world average.It is equivalent to developed economies.It has become an important task for China’s economic system reform to keep the bottom line of systemic financial risks.Therefore,exploring the measurement of economic uncertainty and leverage,the impact of economic uncertainty on macro and micro leverage,and the regulation effect of monetary policy on leverage in the context of economic uncertainty is not only a useful supplement to the research on economic uncertainty,but also can provide theoretical reference for the effective formulation of risk prevention and other related macro policies,which has important theoretical and practical significance.Existing research shows that uncertainty is an important factor affecting macroeconomic.How can we accurately measure the level of macroeconomy uncertainty in China?What transmission channels economic uncertainty will act on leverage?What are the differences in the impact of economic uncertainty on macro and micro leverage?Whether the regulation effect of volume price monetary policy instruments on leverage is affected in the context of economic uncertainty?These problems are rarely mentioned in the existing literature.The exploration of these problems constitutes the logical starting point of this paper.Therefore,this paper will explore the relationship between economic uncertainty,monetary policy and leverage from a theoretical and empirical perspective.The specific research contents of this paper are as follows:First,the measurement and analysis of macroeconomic uncertainty in China,Through combing and summarizing the classical theories and existing research,this paper believes that economic uncertainty should refer to the unpredictable part of the future economic system.Starting from this definition,this paper refers to the practice of Jurado et al.(2015),selects 11 categories of 132 economic and financial indicators as the information set of China’s macro-economy,and uses the factor augmented vector autoregression random volatility(FAVAR-SV)model to construct China’s macroeconomic uncertainty index.The measurement results show that China’s macroeconomic uncertainty index is relatively high during the financial crisis in 2008,the economic policy shift in 2011,the transition of China’s economy to the "new normal" growth in 2014 and the COVID-19 in 2020,indicating that the level of uncertainty is closely related to important economic and financial events in the real economy,and the measurement results are consistent with the actual situation.Secondly,the macroeconomic uncertainty index with prediction steps of 1 month to 12 months is obtained through iteration.The fluctuation curves of macroeconomic uncertainty index with different prediction steps are basically the same,indicating that the measurement results in the sample are stable.Finally,this paper analyzes the correlation between China’s macroeconomic uncertainty index and other common uncertainty measurement indicators,and finds that there is a certain dynamic correlation between different measurement indicators,but the trend of China’s macroeconomic uncertainty index constructed in this paper is more in line with the definition of economic uncertainty and the actual economic operation.Second,the measurement and analysis of macro and micro leverage ratio in China.Due to the inconsistency in the statistical caliber of macro and micro leverage ratio,the two are disconnected from each other,which makes China’s macro and micro leverage ratio present a reality that deviates from each other.Based on the research method of(Wang Zhuquan,2019),this paper constructs a double leverage measurement system of "debt to capital ratio" and "debt to income ratio" by decomposing the micro leverage structure,so as to realize the logical unity of macro and micro leverage measurement.The results show that from 2007 to 2021,the macro leverage ratio of China’s non-financial sector increased rapidly,with an increase of 142.3%.By the middle of 2021,China’s macro leverage ratio has reached the level of developed economies such as the United States and the European Union.At the same time,micro enterprises still have problems such as difficult and expensive financing when the economic uncertainty is high.The capital structure ratio corresponding to the traditional micro leverage ratio shows a downward trend in some years.The measurement results reflect the necessity of the classification of macro and micro leverage ratio.Third,the impact of economic uncertainty on macro leverage.This paper analyzes the impact of macroeconomic uncertainty on the total social demand and the growth effect of debt economy,and believes that the economic pattern of "low growth and low inflation"caused by the decline of the total social demand and the weakening of the growth effect of debt economy is the reason for the rapid rise of the leverage ratio of China’s non-financial enterprises.Then,the time-varying parameter vector autoregression(TVP-SV-VAR)model with random fluctuations is used to empirically test the time-va’rying effects between China’s macroeconomic uncertainty,non-financial enterprise sector leverage,economic growth and inflation.The impulse response results show that macroeconomic uncertainty leads to a decline in output and price levels in the short term,and the leverage of the nonfinancial enterprise sector increases.After China’s economy entered the "New Normal"growth in 2014,the impact of economic uncertainty on the macro-economy has been strengthened.Fourth,the impact of economic uncertainty on micro leverage.Based on the measurement results of the double leverage ratio of micro enterprises,this paper puts forward three assumptions:the negative correlation between economic uncertainty and capital structure leverage ratio,the negative correlation between economic uncertainty and capital return ratio,and the positive correlation between economic uncertainty and debt return ratio leverage ratio.build a theoretical model to analyze the investment and financing decisions of enterprises,and then use the panel data fixed effect model to test the theoretical analysis.Then,a theoretical model is built to analyze the investment and financing decisions of enterprises,and the panel data fixed effect model is used to test the theoretical analysis.Finally,this paper uses the panel data fixed effect model to test the theoretical analysis.The empirical conclusion shows that under the economic uncertainty environment,it is more difficult for micro enterprises to obtain loans,and the profitability and solvency have decreased.The empirical conclusion is consistent with the research hypothesis.Through a series of robustness tests,it is proved that the conclusion of this paper is robust and reliable.Fifth,the effect of monetary policy on leverage under economic uncertainty.This paper analyzes the ways in which monetary policy affects total social demand and total debt from asset price channels,exchange rate channels,interest rate channels and credit channels.On this basis,we discuss the role of economic uncertainty between monetary policy and leverage.The analysis shows that there is a positive correlation between loose monetary policy and debt level,and economic uncertainty weakens the stimulus effect of monetary policy on total demand,resulting in a period of high economic uncertainty.Loose monetary policy will further increase leverage.Then,using MS-VAR model and panel regression model to investigate the effect of volume price monetary policy tools on macro and micro leverage in the context of economic uncertainty.The result shows that economic uncertainty will promote the role of loose monetary policy in improving leverage,which is more obvious in quantitative monetary policy.The possible innovations of this paper are mainly shown in the following aspects:First,the measurement of macroeconomic uncertainty and "double" leverage ratio of micro enterprises in China.Economic uncertainty refers to the unpredictability in the economic system.From the perspective of data-driven,this paper collects a large number of macroeconomic information to measure China’s macroeconomic uncertainty,which can effectively avoid the omission of information.At the same time,based on the actual situation of the separation of macro and micro leverage,the "double" leverage measurement system of micro enterprises is established to realize the organic connection of macro and micro leverage.Second,the impact of economic uncertainty on the macro leverage ratio of non-financial sectors is analyzed theoretically and empirically.From the two aspects of economic growth and debt economic growth effect,this paper combs the impact of economic uncertainty on macro leverage,and uses the time-varying parameter vector autoregression(TVP-SV-VAR)model with random fluctuations to investigate the timevarying impact of China’s economic uncertainty on macro leverage.Third,explore the micro basis of the impact of economic uncertainty on the macro leverage ratio of nonfinancial sectors.According to the measurement of the "double" leverage ratio of micro enterprises,this paper analyzes the impact of economic uncertainty on the debt to capital ratio,debt to income ratio and the return on capital,and explores the reasons for the deviation between macro and micro leverage ratio under the influence of uncertainty.Fourth,analyze the effectiveness of monetary policy regulation leverage in the context of economic uncertainty.On the basis of clarifying the transmission mechanism of monetary policy regulation leverage ratio,the sensitivity of leverage ratio to volume and price monetary policy instruments under the influence of economic uncertainty is tested by using Markov regime switching vector autoregression(MS-VAR)model and panel regression model.