货币政策的成本渠道：来自欧元区企业层面调查数据的证据

The cost channel of monetary policy:evidence from euro area firm-levelsurvey data Ugo Albertazzi, Annalisa Ferrando, Sofia Gori,Judit Rariga Disclaimer:Thispaper should not be reported asrepresenting the views of the 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) This paper contains research conducted within the network “Challenges for Monetary Policy Transmission in aChanging 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 explores empirically the cost channel of monetary policy transmission duringthe recent period of monetary policy tightening in the euro area. We combine unique dataon firms’ selling price expectation from the Survey on the access to finance of enterprises(SAFE), information on firms’ borrowing from the euro area-wide credit register (AnaCredit)and ECB monetary policy surprises. Firms revise upwards their one-year-ahead sellingprice expectations following monetary announcements in a tightening cycle and this effectincreases in firms’ working capital exposure. The paper provides supportive evidence onthe existence of a cost channel of monetary policy, adding to our understanding of monetarypolicy transmission to firms in the euro area. JEL: G30; E52; D84. Keywords:Firm financing; Monetary policy; Selling price expectations. Non-technical summary The paper investigates how firms adjust their pricing strategies in response to changes inmonetary policy, specifically during a period of monetary policy tightening in the euro area. Traditionally, monetary policy impacts demand, with rate hikes reducing demand andprices. However, this study provides supportive evidence for the cost channel of monetarypolicy, which affects the supply side by increasing firms’ borrowing costs due to their workingcapital requirements. When interest rates rise, firms with significant working capital needsmay face higher production costs, prompting them to raise their prices, at least temporarily. By relying on survey data on firms’ price expectations from the Survey on access to financeof enterprises (SAFE), euro area credit register (AnaCredit) and data on monetary policy shocks,this paper examines how firms adjust their future selling prices based on their exposure toworking capital. The results indicate that firms with higher working capital exposure tend toincrease more their price expectations following interest rate hikes. Larger, established firms,and those in the manufacturing sector, are more likely to raise prices if they use working capital.Additionally, the study shows that firms in concentrated markets are less affected, possiblybecause they can absorb higher costs without raising prices. Overall, these results suggest the existence of a cost channel of monetary policy, enhancingour understanding of how monetary policy is transmitted to firms in the euro area. While wefind a positive impact on firms’ expected selling prices, our results do not contradict the overallimpact of monetary policy tightening on inflation. 1Introduction How do firms change their pricing strategy following positive monetary policy shocks?Conventionally, monetary policy operates through the demand channel, which predicts thattightening reduces demand, and thus firms’ selling prices. However, monetary policy can alsoinfluence the supply side of the economy. Interest rate hikes can increase borrowing costs forfirms, which may lead them to raise their prices, indicating the presence of a cost channelin monetary policy (Christiano et al. (2005), Hanson (2004)). Aggregate and industry-levelevidence shows that there can be a "price puzzle", meaning that an increase in interest rates bythe central bank is followed by an increase in the general price level in the economy, ratherthan a decrease (Barth and Ramey (2002)). The cost channel of monetary policy operates through the working capital requirements offirms, affecting their production costs and pricing strategies (Barth and Ramey (2002), Ga