Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China

Jizhe Yang, Tingfeng Jiang, Xingchun Wen and Lu Dai

Journal of Asian Economics, 2024, vol. 90, issue C

Abstract: 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.

Keywords: Corporate financialization; Macroeconomic indicators; TVP-VAR; Dynamic connectedness; Spillover effect (search for similar items in EconPapers)
JEL-codes: E44 E61 G31 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007823000994
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:90:y:2024:i:c:s1049007823000994

DOI: 10.1016/j.asieco.2023.101679

Access Statistics for this article

Journal of Asian Economics is currently edited by C. Wiemer

More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().