The Spillover Effects of U.S. Monetary Policy on Debt Risk of Chinese Enterprises: An Empirical Study Based on Chinese Non-Financial Listed Companies

Abstract

This paper constructs a panel data model to test the spillover effect of U.S. monetary policy on the debt risk of Chinese enterprises. The empirical study shows that: first, U.S. monetary policy significantly increases the leverage ratio of Chinese enterprises; second, the credit channel, the asset price channel, the risk-taking channel, and the investors’ sentiment channel are all the key ways;third, U.S. monetary policy shocks have a more significant impact on Chinese non-state-owned firms, high-tech firms, and high-financing constrained firms. Our research offered vital insights to regulatory agencies, highlighting the importance of optimizing the policy supply to maintain financial stability.

Keywords: U.S. monetary policy, Debt Risk of Chinese enterprises, spillovers, Heterogeneity