融资约束、管制贴现与产出波动

发布时间：2018-03-27 17:46

本文选题：融资约束　切入点：管制贴现　出处：《南京大学》2014年硕士论文

【摘要】：当前,我国面临着比较严重的资本错配问题,这本质上属于企业决策中的次优选择而造成的问题。本文认为典型的企业决策的难题包括融资约束和管制贴现,这些因素的存在使得企业无法完全根据市场定价来采取最优策略。融资约束是企业在投资形成资本的过程中所面临的借贷约束。正如同家庭决策需要面临预算约束一样,企业的现有资源也构成了融资上的预算约束,这便是融资约束——它不可能无限融资,有可能符合最大化决策的投资额却面临融资的预算约束的限制,这显然是传统的企业决策未考虑到的问题。企业决策的另一个难题是管制贴现。管制贴现产生于管制利率,这种非市场化的利率一旦应用于时间价值的贴现,就会影响到企业未来价值的现值上,从而误导企业的最大化决策,造成资本的错配。本文以此为引,探讨了融资约束和管制贴现的波动对宏观产出波动的影响,融资约束和管制贴现的引入,是DSGE中首次从企业内部考虑决策问题,揭开了企业决策的“黑匣子”,这也是本文最大的创新点。首先,定性分析部分搜集和梳理了央行发布的2002年以来的社会融资规模的季度数据,将社会融资规模分为债权融资规模和股权融资规模,发现H-P滤波后的债权融资规模和真实GDP趋势项正相关,波动项同向波动,而股权融资规模和真实GDP趋势项无明显相关关系,且波动项呈现反向波动的特点,股权融资规模和上证综指之间有明显正相关关系。其次,数量分析方面则利用目前已经比较成熟的动态随机一般均衡的分析框架和校准的方法,系统全面地考察存在融资约束和管制贴现的情况下企业总产出的波动情况,文章认为技术冲击、融资约束冲击和管制贴现冲击能够解释绝大部分的产出波动,并且其解释能力依次降低；某些产出的波动无法用技术冲击解释,可以归因于融资约束冲击,由此证实了企业融资约束的普遍存在。
[Abstract]:At present, China is faced with a serious problem of capital mismatch, which is essentially caused by the sub-optimal choice in enterprise decision-making. The existence of these factors makes it impossible for firms to adopt optimal strategies based solely on market pricing. Financing constraints are the borrowing constraints faced by firms in the process of investing in capital, just as family decisions are subject to budgetary constraints. The existing resources of an enterprise also constitute a budget constraint on financing, which is a financing constraint-it is impossible for unlimited financing, and the investment that may meet the maximum decision is subject to the budgetary constraints of financing. This is obviously a problem that is not taken into account in traditional corporate decision-making. Another difficulty in corporate decision-making is the regulation of discounting. Regulated discounting arises from regulated interest rates, which, once applied to discounting the value of time, It will affect the present value of the future value of the enterprise, thus mislead the decision of maximization of the enterprise and cause the mismatch of the capital. This paper discusses the influence of the fluctuation of the financing constraint and the regulation of the discounted cash on the fluctuation of the macro output. The introduction of financing constraint and regulation discounting is the first time in DSGE to consider the decision-making problem from within the enterprise, which reveals the "black box" of enterprise decision-making, which is also the biggest innovation point of this paper. The qualitative analysis part collects and combs the quarterly data of the social financing scale released by the central bank since 2002, and divides the social financing scale into debt financing scale and equity financing scale. It is found that H-P filtering has a positive correlation with the true GDP trend item, and the volatility term is in the same direction, while the equity financing scale has no obvious correlation with the real GDP trend item, and the volatility term shows the characteristics of reverse volatility. There is a significant positive correlation between the size of equity financing and the Shanghai Composite Index. Secondly, the quantitative analysis uses the analytical framework and calibration method of dynamic stochastic general equilibrium, which is mature at present. The fluctuation of total output of enterprises under the condition of financing constraint and regulated discount is systematically and comprehensively investigated. It is considered that technology shock, financing constraint shock and regulated discount shock can explain most of the fluctuation of output. And its explanatory ability decreases in turn, and the fluctuation of some output can not be explained by technological shock, which can be attributed to the financing constraint shock, which proves the universal existence of financing constraints.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4;F124

【参考文献】