融资约束丶宏观冲击与资本结构动态调整.docVIP

融资约束丶宏观冲击与资本结构动态调整 *融资约束、宏观冲击与资本结构动态调整 于蔚 金祥荣 钱彦敏 内容提要：本文从理论和经验两个维度探讨，经济转型背景下，宏观外生冲击对我国上市公司融资选择和资本结构调整行为的影响。本文建立的资本结构动态调整模型表明，信贷市场及股权再融资市场上配额性指标和成本性指标的变动，作为外生的宏观冲击，对企业股权债权融资选择及以此形成的资本结构具有重要影响。本文利用1999-2008年沪深两市900家上市公司的非平衡面板数据所做的经验研究证实，经济环境及宏观政策的波动通过改变企业面临的信贷环境和股权再融资环境进而影响资本结构的动态调整。这种影响对不同融资约束程度的企业存在差异。对于存在融资约束的企业，资本结构的调整更多地受到信贷、股权再融资配额性指标的刚性制约；不存在融资约束的企业对成本性指标的变动更为敏感。 关键词：融资约束 外生宏观冲击 资本结构动态调整 Financial Constraints, Macroeconomic Shocks and Capital Structrue Dynamics Yu Wei, Jin Xiangrong and Qian Yanmin (College of Economics, Zhejiang University) Abstract: This paper examines how macroeconomic conditions affect capital structrue choice for listed Chinese companies. We build a partial-adjustment model with macroeconomic shocks and show that changes in credit market and equity refinancing market environment variables, including cost variables as well as quota variables, affect financing choices as exogenous short-term shocks. Later, we examine the impact of macroeconomic shocks on the adjustment of capital structure, by using an unbalanced panel dataset of stock market and accounting data for 900 Chinese listed companies over the period of 1999-2008. The empirical results show that economy and policy fluctuations alter firms’ accessibility to bank loan and equity refinancing market, and thus affect the dynamic adjustment of leverage. Moreover, the way macroeconomic shocks exert influences on finacially constrained firms and unconstrained firms is quite different. The dynamics of capital structrue is more sensitive to credit and equity refinancing quota for the relatively constrained firms, while more sensitive to interest rate and stock market return for the relatively unconstrained firms. Key Words: Financial Constraints; Macroeconomic Shocks; Dynamic Adjustment of Capital Structrue JEL Classification: G180, G320 * 于蔚，浙江大学经济学院博士研究生，邮政编码：310027，电子信箱：colinyu1201@1634，电话金祥荣、钱彦敏，浙江大学经济学院与浙江大学民营经济研究中