本文選題：融資約束　切入點：管制貼現(xiàn)　出處：《南京大學》2014年碩士論文

【摘要】：當前,我國面臨著比較嚴重的資本錯配問題,這本質(zhì)上屬于企業(yè)決策中的次優(yōu)選擇而造成的問題。本文認為典型的企業(yè)決策的難題包括融資約束和管制貼現(xiàn),這些因素的存在使得企業(yè)無法完全根據(jù)市場定價來采取最優(yōu)策略。融資約束是企業(yè)在投資形成資本的過程中所面臨的借貸約束。正如同家庭決策需要面臨預算約束一樣,企業(yè)的現(xiàn)有資源也構(gòu)成了融資上的預算約束,這便是融資約束——它不可能無限融資,有可能符合最大化決策的投資額卻面臨融資的預算約束的限制,這顯然是傳統(tǒng)的企業(yè)決策未考慮到的問題。企業(yè)決策的另一個難題是管制貼現(xiàn)。管制貼現(xiàn)產(chǎn)生于管制利率,這種非市場化的利率一旦應用于時間價值的貼現(xiàn),就會影響到企業(yè)未來價值的現(xiàn)值上,從而誤導企業(yè)的最大化決策,造成資本的錯配。本文以此為引,探討了融資約束和管制貼現(xiàn)的波動對宏觀產(chǎn)出波動的影響,融資約束和管制貼現(xiàn)的引入,是DSGE中首次從企業(yè)內(nèi)部考慮決策問題,揭開了企業(yè)決策的“黑匣子”,這也是本文最大的創(chuàng)新點。首先,定性分析部分搜集和梳理了央行發(fā)布的2002年以來的社會融資規(guī)模的季度數(shù)據(jù),將社會融資規(guī)模分為債權融資規(guī)模和股權融資規(guī)模,發(fā)現(xiàn)H-P濾波后的債權融資規(guī)模和真實GDP趨勢項正相關,波動項同向波動,而股權融資規(guī)模和真實GDP趨勢項無明顯相關關系,且波動項呈現(xiàn)反向波動的特點,股權融資規(guī)模和上證綜指之間有明顯正相關關系。其次,數(shù)量分析方面則利用目前已經(jīng)比較成熟的動態(tài)隨機一般均衡的分析框架和校準的方法,系統(tǒng)全面地考察存在融資約束和管制貼現(xiàn)的情況下企業(yè)總產(chǎn)出的波動情況,文章認為技術沖擊、融資約束沖擊和管制貼現(xiàn)沖擊能夠解釋絕大部分的產(chǎn)出波動,并且其解釋能力依次降低；某些產(chǎn)出的波動無法用技術沖擊解釋,可以歸因于融資約束沖擊,由此證實了企業(yè)融資約束的普遍存在。
[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.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.4;F124

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本文編號：1672605