Jizhe Yang , Tingfeng Jiang , Xingchun Wen , Lu Dai
{"title":"宏观经济对非金融企业金融化的时变效应和溢出效应:来自中国的证据","authors":"Jizhe Yang , Tingfeng Jiang , Xingchun Wen , Lu Dai","doi":"10.1016/j.asieco.2023.101679","DOIUrl":null,"url":null,"abstract":"<div><p><span><span><span>Using quarterly data from 2007 to 2020 in China and the time-varying parameter vector autoregression model (TVP-VAR), this study systematically investigates the time-varying responses of corporate </span>financialization<span> to various macroeconomic shocks. The empirical findings reveal that nonfinancial corporate financialization is significantly and dynamically influenced by macroeconomic factors. Specifically, a decrease in </span></span>economic policy uncertainty (EPU) generates a transient promotive effect on corporate financialization within six months, while </span>monetary policy<span> easing has a strong and persistent positive effect on the corporate financialization over two years. Conversely, the impact of economic growth on corporate financialization has experienced structural shifts throughout the sample period. Furthermore, a dynamic connectedness index based on TVP-VAR is employed for the first time to investigate the spillover effects among variables. The results show that nonfinancial corporate financialization is the net receiver of the fluctuations of M2, GDP growth, and EPU volatility. Quantitatively, 28.36% of corporate financialization variation is caused by M2 supply changes. Moreover, the spillover effects on financialization are time-varying and significantly greater during the extreme economic events. Our conclusions enrich the research findings of corporate financialization determinants.</span></p></div>","PeriodicalId":47583,"journal":{"name":"Journal of Asian Economics","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2023-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China\",\"authors\":\"Jizhe Yang , Tingfeng Jiang , Xingchun Wen , Lu Dai\",\"doi\":\"10.1016/j.asieco.2023.101679\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p><span><span><span>Using quarterly data from 2007 to 2020 in China and the time-varying parameter vector autoregression model (TVP-VAR), this study systematically investigates the time-varying responses of corporate </span>financialization<span> to various macroeconomic shocks. The empirical findings reveal that nonfinancial corporate financialization is significantly and dynamically influenced by macroeconomic factors. Specifically, a decrease in </span></span>economic policy uncertainty (EPU) generates a transient promotive effect on corporate financialization within six months, while </span>monetary policy<span> easing has a strong and persistent positive effect on the corporate financialization over two years. Conversely, the impact of economic growth on corporate financialization has experienced structural shifts throughout the sample period. Furthermore, a dynamic connectedness index based on TVP-VAR is employed for the first time to investigate the spillover effects among variables. The results show that nonfinancial corporate financialization is the net receiver of the fluctuations of M2, GDP growth, and EPU volatility. Quantitatively, 28.36% of corporate financialization variation is caused by M2 supply changes. Moreover, the spillover effects on financialization are time-varying and significantly greater during the extreme economic events. Our conclusions enrich the research findings of corporate financialization determinants.</span></p></div>\",\"PeriodicalId\":47583,\"journal\":{\"name\":\"Journal of Asian Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2023-11-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Asian Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1049007823000994\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asian Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1049007823000994","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China
Using quarterly data from 2007 to 2020 in China and the time-varying parameter vector autoregression model (TVP-VAR), this study systematically investigates the time-varying responses of corporate financialization to various macroeconomic shocks. The empirical findings reveal that nonfinancial corporate financialization is significantly and dynamically influenced by macroeconomic factors. Specifically, a decrease in economic policy uncertainty (EPU) generates a transient promotive effect on corporate financialization within six months, while monetary policy easing has a strong and persistent positive effect on the corporate financialization over two years. Conversely, the impact of economic growth on corporate financialization has experienced structural shifts throughout the sample period. Furthermore, a dynamic connectedness index based on TVP-VAR is employed for the first time to investigate the spillover effects among variables. The results show that nonfinancial corporate financialization is the net receiver of the fluctuations of M2, GDP growth, and EPU volatility. Quantitatively, 28.36% of corporate financialization variation is caused by M2 supply changes. Moreover, the spillover effects on financialization are time-varying and significantly greater during the extreme economic events. Our conclusions enrich the research findings of corporate financialization determinants.
期刊介绍:
The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.