Monetary Policy Shock and Debt Structure Heterogeneity

Chunping Xu

《World Scientific Research Journal》 8卷8期 (2022/08) Pp. 102-122

https://doi.org/10.6911/WSRJ.202208_8(8).0016

摘要

Using the panel data of 31 provinces (cities) in my country from 2013 to 2021, this paper adopts the PVAR model to explore the interaction between monetary policy shocks and debt structure heterogeneity. Based on the impulse response analysis, it is found that after the monetary policy tightening, bank debt financing falls more sharply than market debt financing, especially in areas where market debt financing accounts for a low proportion of the initial debt structure. In order to make up for the funding gap caused by bank credit crunch, most of them choose to increase market debt financing, and there is a substitution effect between the two. In addition, by further examining the adjustment effect of debt structure on monetary policy shocks, this paper finds that, compared with bank debt financing, debt structure dominated by market debt financing can more effectively weaken the impact of monetary policy tightening on macroeconomic aggregates. Under the impact of loose monetary policy, the transmission effect of monetary policy on the macro economy as a whole increases significantly as the proportion of market debt in the debt structure increases.

關鍵字

Monetary policy ； Initial debt structure ； Market debt ； PVAR

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