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。
Based on a panel of Chinese listed manufacturing firms between 1998 and 2009,the paper empirically explores the effects of the interaction between uncertainty and financing constraints on corporate investment using Hansen threshold effect estimator and a system GMM estimator.The results of both estimation techniques show that in the fixed— investment regression the coefficient of cash flow is positive and statistically significant.More importantly,firms that are faced with higher degrees of uncertainty experience larger investment-cash flow sensitivities.This indicates that uncertainty does affect firms’ invest-ment by means of capital market imperfections.Firms facing higher uncertainty are more financially constrained,and so that have greater fluctuations in investment spending.The paper also discusses the policy implications of the above-mentioned findings.
出处
《南开经济研究》
CSSCI
北大核心
2011年第4期86-97,共12页
Nankai Economic Studies
关键词
融资约束
不确定性
公司投资
Financial Constraints,Uncertainty,Corporate Investment
