摘要
本文利用2012年139部门国民经济投入产出表测算行业资产可逆性,并依据证监会行业分类匹配至非金融类A股上市公司,进而考察资产可逆性如何影响经济政策不确定性与固定资产投资的关系。考虑到资产可逆性与项目投资失败时的清算价值正相关,本文从经济政策不确定性上升会增加项目投资收益率波动的视角构建理论分析框架,并利用2007—2017年季度数据对理论假说进行实证检验。结果表明,随着所处行业的资产可逆性提升,经济政策不确定性对企业固定资产投资的抑制作用被弱化,且该效应在融资约束严重的企业更为凸显。特别地,在控制经济周期特征、投资机会和抵押担保效应后,上述研究结论依旧成立。此外,考虑到模型内生性、经济政策不确定性和资产可逆性的度量方式、行业匹配度及模型设定形式等问题,系列稳健性测试均证实资产可逆性这一传导渠道的重要性。本文结论表明,资产处置成本是企业投资决策的重要决定因素。
As physical capital stock plays a dominant role in economic growth, especially in emerging countries like China, it is critical to understand the logic of capital formation. During the past few decades, numerous studies have focused on firms investment decisions and have proposed several theoretical rules. In particular, two theories have received significant attention. Net present value (NPV) theory suggests that it is wise to take an investment with a positive NPV. However, it is unreasonable when that investment would affect other investment opportunities, and the investment budget is limited. The second theory, real option theory (proposed by Bernanke (1983) and others), proposes that waiting for a certain period of time enables an investor to avoid the downside risk to revenues over that interval, and to realize the upside potential. In other words, waiting has a positive value, as it brings more information about the future prospects of a project, and therefore the simple NPV theory should be modified. More importantly, as real option theory emphasizes, asset reversibility is a key factor when firms react to increased uncertainty. This paper investigates the effects that uncertainty over economic policy has on firms investments in China, and it especially considers how asset reversibility affects that interaction. In considering the positive relationship between asset reversibility and the liquidating values of investment projects, we build a theoretical framework from the perspective of the return rate volatility that is caused by uncertainty over economic policy. In essence, the model we propose is a simple two-period dynamic investment framework. This framework is consistent with real option theory, and it provides a formula for considering investment revenue, waiting option value, and investment cost. Furthermore, we follow Kim & Kung (2017) in using the 2012 input-output table for 139 sectors as our basis for estimating asset reversibility across industries, and we match the outcomes for industries with those for non-financial publicly listed firms. The empirical results show that increases in asset reversibility weaken the negative effects that uncertainty over economic policy has on corporate investment. This is especially the case for firms facing severe financial constraints. These findings are confirmed when we account for business cycles, investment opportunities, and collateral channels. In addition, we conduct a series of robustness checks, including checks for endogeneity, measures for asset reversibility, uncertainty over economic policy, econometric specifications, and degrees of industry matching. Our findings suggest that the costs associated with redeploying fixed assets are important for firms investment decisions, especially for smaller firms and privately owned firms. The findings of this investigation have several major policy implications for China. First, when the government makes adjustments to its policies, it should take greater care to avoid increasing the level of market uncertainty. Otherwise, the uncertainty caused by policy changes will have negative effects on real investment. Second, it is necessary to establish an efficient asset trading market that can enable efficient disposal of fixed assets, and therefore reduce firms concerns over investing. Third, the government should carefully consider that firms facing severe financial constraints suffer serious effects from policy uncertainty shocks. Given that China s privately owned and smaller-sized firms have higher productivity than state-owned or larger sized firms, it is crucial to allocate more bank loans to such firms. Fourth, administrators should consider that firms with low asset reversibility can be particularly affected by uncertainty over economic policy, and these industries require special attention when uncertainty shocks increase. This consideration is especially important for high-technology industries and agricultural businesses. This paper contributes to the existing literature in several ways. First, it uses the 2012 input-output table for 139 sectors and the framework proposed by Kim & Kung (2017) to measure industry-level asset reversibility in China. Second, in considering the issues of economic policy uncertainty and corporate investment, we highlight the critical role of asset reversibility, especially for firms facing greater financial constraints. Third, given that there is a positive relationship between asset reversibility and the liquidating values of investment projects, we propose a two-period theoretical framework for real option theory. Fourth, we conduct a series of robustness checks to exclude alternative explanations, and apply a difference-in-differences framework as an instrumental method for overcoming the potential for endogeneity.
作者
刘贯春
段玉柱
刘媛媛
LIU Guanchun;DUAN Yuzhu;LIU Yuanyuan(School of Public Economics & Administration, Shanghai University of Finance & Economics;School of Economics, Fudan University)
出处
《经济研究》
CSSCI
北大核心
2019年第8期53-70,共18页
Economic Research Journal
基金
国家社会科学基金重大项目(15ZDA008)的资助
关键词
经济政策不确定性
资产可逆性
固定资产投资
融资约束
Economic Policy Uncertainty
Asset Reversibility
Real Investment
Financial Constraints
