Research on the efficiency of corporate investment and risk prediction for easing monetary policy

Abstract

To guarantee the quality of corporate economic growth, it is important to investigate the effectiveness of corporate investment focused on accommodating monetary policy. This study starts with a vector autoregressive VAR model and builds a TVP-VAR model utilizing Bayesian inference and time-varying parameters. The Bayesian time-varying parametric vector autoregressive model is used as the basis for the model setting of enterprise investment efficiency. For the constructed enterprise investment efficiency model, an example analysis is conducted with the financial data of SMEs. For both the SOE and non-SOE samples, the monetary policy's correlation coefficients with the amount of inefficient investment are 0.1904 and -0.1128. In terms of financing constraints, the correlation coefficients between financing constraints and the degree of inefficient investment are 0.1125 and 0.0291 for the non-SOE and SOE samples, respectively. This indicates that accommodative monetary policy can enhance enterprise investment However, the financing constraint relatively leads to risks in the efficiency of corporate investment.