融资约束、不确定性与公司投资:基于制造业上市公司面板数据的证据

发布时间：2018-09-12 16:07

【摘要】：针对我国制造业上市公司1998—2009年的面板数据,以厂商面临的不确定性水平为阈值变量建立分类指标函数,应用Hansen阈值估计法和system GMM估计法分析了融资约束和不确定性的交互关系对厂商投资行为的影响。研究发现:厂商投资行为存在显著的单一阈值效应,由模型内生决定的不确定性阈值所划分的两个样本组中,厂商固定投资与其现金流显著正相关,并且低不确定状态组别厂商的现金流估计系数远小于高不确定状态组别厂商的这一系数,表明厂商面临的不确定性程度越高,投资支出受融资约束程度越严重。上述结论不仅为融资约束假说提供了经验支持,也证实了不确定性会通过影响厂商受融资约束程度进而影响厂商投资行为。最后,讨论了实证结论的政策含义。
[Abstract]:According to the panel data of listed manufacturing companies in China from 1998 to 2009, a classification index function is established based on the uncertainty level faced by manufacturers as threshold variables. Hansen threshold estimation method and system GMM estimation method are used to analyze the interaction between financing constraints and uncertainty on firms' investment behavior. It is found that firm investment behavior has a significant single threshold effect, and firm fixed investment is significantly positively correlated with its cash flow in the two sample groups divided by the uncertainty threshold determined by the model endogenously. Moreover, the estimated cash flow coefficient of the firms in the low uncertainty group is much smaller than that of the firms in the high uncertainty group, which indicates that the higher the degree of uncertainty faced by the firms, the more serious the investment expenditure is constrained by financing. These conclusions not only provide empirical support for the financing constraint hypothesis, but also confirm that uncertainty can affect firm's investment behavior by influencing the degree of financing constraint. Finally, the policy implications of empirical conclusions are discussed.
【作者单位】：上海大学经济学院;华东理工大学商学院;荷兰Groningen大学经济与管理学院;
【分类号】：F276.6;F832.51;F224

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