超越短期：货币政策与创新投资

Beyond theshortrun:monetarypolicyandinnovationinvestment Michaela Elfsbacka-Schmöller,Olga Goldfayn-Frank,Tobias Schmidt Disclaimer:Thispaper should not be reported as representing the views ofthe European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Challenges for Monetary Policy Transmission in a Changing World Network(ChaMP) Thispaper contains research conducted within the network “Challenges for Monetary Policy Transmission in a Changing WorldNetwork” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of theEuropean System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), MargheritaBottero (Banca d’Italia), Emmanuel Dhyne (Nationale Bank van België/Banque Nationale de Belgique) and Maria T. Valderrama(Oesterreichische Nationalbank), who are supported by Melina Papoutsi and Gonzalo Paz-Pardo (both ECB), 7 central bank advisersand 8 academic consultants. ChaMP seeks to revisit our knowledge of monetary transmission channels in the euro area in the context of unprecedented shocks,multiple ongoing structural changes and the extension of the monetary policy toolkit over the last decade and a half as wellasthe recentsteep inflation wave and its reversal. More information is provided on itswebsite. Abstract This paper provides novel empirical evidence on the impact of monetary policy oninnovation investment using unique firm-level data.First, we document the effect ofa large, systematic monetary tightening (ECB rate increases from 0% to 4.5% during2022-23), with average firm-level innovation cuts of 20%. These cuts persist over themedium term, indicating a sustained innovation slowdown.Second, we use the sur-vey to identify elasticities of innovation expenditure to exogenous policy rate changes.Responses to hikes and cuts are significant and largely symmetric at the baseline rate(4.5%), though we detect potential state-dependent asymmetry due to the extensivemargin. The financing channel emerges as one of the transmission channels, with morepronounced effects in firms with higher shares of bank loans and variable-rate loans.Crucially, we show that monetary policy transmits via aggregate demand, with strongerresponses in firms with pessimistic demand expectations. Forward guidance providessubstantial additional stimulus by reducing uncertainty about future rates, suggest-ing long-term, supply-side effects of announcements. These results challenge monetarylong-run neutrality and are suggestive of policy endogeneity ofR∗operating throughinnovation-driven technology growth. JEL classification:E52, E22, E24, 030, D22.Keywords:Monetary Policy Transmission, R&D, Endogenous Growth, Forward Guid-ance,R∗. Non-technical summary Central banks have undertaken significant monetary tightening from 2022 to 2023, raisingconcerns about its impact on innovation and longer-term potential output amid sluggishproductivity growth in many advanced economies. However, previous evidence on the trans-mission of monetary policy to innovation is scarce and confined to time series evidence. Thispaper contributes to this literature and provides detailed, representative firm-level evidenceon how monetary policy shifts influence innovation activities using unique, granular data.In particular, we investigate three key aspects of monetary policy transmission to firm-levelinnovation investment. First, we document how a systematic monetary tightening (euro areapolicy rate hikes from 0% to 4.5% during 2022 to 2023) affected firms’ innovation invest-ment over the short and medium term. Second, using hypothetical policy rate scenarios, weassess firms’ responses to exogenous rate changes (both hikes and cuts).Finally, this pa-per is the first to provide evidence on how forward guidance influences innovation investment. Our main findings can be summarized as follows. Regarding the effect of the systematicmonetary tightening in the euro area, we document pronounced firm-level innovation cuts(on average 20%) in response to the policy rate hikes. Moreover, 45% of firms that reducedinnovation investment eliminated such spending entirely. We show that the innovation re-ductions are persistent and extend over the medium term. These effects of the systematicmonetary tightening were rather homogeneous across sectors and were more pronouncedamong low-productivity firms, smaller firms, those with greater reliance on bank loans, andthose with higher inflation expectations. The second block of results examines how firms respond to exogenous policy rate hikesusing hypothetical policy rate scenarios. Our findings reveal that innovation investment ishighly sensitive to monetary policy changes: policy rate hikes discourage innovation invest-ment, while policy rate cuts stimulate it.At the baseline policy rate level of 4.5%, firms’innovati