信贷紧缩与短期债务的流动性成本
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摘要
我国企业高度依赖短期债务融资,"短债长用"的现象非常普遍,这容易导致企业在信贷紧缩时由于难以续借到期的短期债务而发生流动性成本。以我国2015—2017年A股上市公司为研究对象,对公司的短期债务流动性成本进行检验。结果表明:在信贷紧缩期间,公司的短期债务水平显著下降;且短期债务水平较高的公司更容易发生投资不足,绩效下滑,产生流动性成本。此外,在信贷紧缩时期,民营企业和小规模企业短期债务比例显著下降,而国有企业和大规模企业的短期债务融资没有受到显著影响。并且,信贷紧缩时期企业短期债务产生的流动性成本也主要存在于民营企业、小规模企业和高成长企业中。本文的研究为理解债务期限结构经济后果和货币政策微观经济后果提供了新的经验证据,也为更好地实施货币政策调控和优化企业融资环境提供了新的思路。
Chinese companies are highly dependent on short-term debt financing. The phenomenon of "short debt long-term use" is very common,which is likely to lead to liquidity costs when companies are struggling to renew their short-term debts during short money supply period. Based on the data of 2015-2017 China's A-share listed companies,this paper examines the company's short-term debt liquidity costs. The results show that the company' s short-term debt level has dropped significantly during the tight money period. Besides,during the tight money period,companies with higher levels of short-term debt are more likely to suffer from under-investment and poor business performance,and such liquidity cost mainly occurs in nonstate-owned companies,small-scale companies or high-growth companies. This study helps to better understand the economic consequences of debt maturity structure,and also provide suggestions for monetary policy regulation and the optimization of corporate credit financing environment.
Chinese companies are highly dependent on short-term debt financing. The phenomenon of "short debt long-term use" is very common,which is likely to lead to liquidity costs when companies are struggling to renew their short-term debts during short money supply period. Based on the data of 2015-2017 China's A-share listed companies,this paper examines the company's short-term debt liquidity costs. The results show that the company' s short-term debt level has dropped significantly during the tight money period. Besides,during the tight money period,companies with higher levels of short-term debt are more likely to suffer from under-investment and poor business performance,and such liquidity cost mainly occurs in nonstate-owned companies,small-scale companies or high-growth companies. This study helps to better understand the economic consequences of debt maturity structure,and also provide suggestions for monetary policy regulation and the optimization of corporate credit financing environment.
引文
[1]Allen F,Qian J,Qian M J.Law,Finance,And Economics Growth in China[J].Journal of Financial Economics,2005(77):57-116.
[2]Ayyagari M,Demirgü9-Kunt A,Maksimovic V.Formal versus Informal Finance:Evidence from China[J].The Review of Financial Studies,2010(8):3048-3097.
[3]Diamond D W.Monitoring and Reputation:The Choice between Bank Loan and Directly Placed Debt[J].Journal of Political Economy,1991b(99):689-721.
[4]肖作平,廖理.公司治理影响债务期限水平吗?——来自中国上市公司的经验证据[J].管理世界,2008(11):143-156.
[5]胡援成,刘明艳.中国上市公司债务期限结构影响因素:面板数据分析[J].管理世界,2011(2):175-177.
[6]Custódio C,Ferreira M A,Laureano L.Why Are US Firms Using More Short-term Debt[J].Journal of Financial Economics,2013(1):182-212.
[7]钟凯,程小可,张伟华.货币政策适度水平与企业“短贷长投”之谜[J].管理世界,2016(3):87-98.
[8]Rajan R.Insiders and Outsiders:The Choice between Informed and Arm's-length Debt[J].Journal of Finance,1992(47):1367-1400.
[9]Fan J P H,Titman S,Twite G,An International Comparison of Capital Structure and Debt Maturity Choices[J].Journal of Financial and Quantitative Analysis,2012,47(1):23-56.
[10]袁卫秋.我国上市公司的债务期限结构——基于权衡思想的实证研究[J].会计研究,2005(12):53-58.
[11]Diamond D W,Rajan R.Banks,Short-term Debt,and Financial Crises:Theory,Policy Implications,and Applications[J].Proceedings of Carnegie Rochester Series on Public Policy,2001(54):37-71.
[12]Diamond D W.Debt Maturity Structure and Liquidity Risk[J].Quarterly Journal of Economics,1991a(106):709-737.
[13]Barclay M J,Smith C W.The Maturity Structure of Corporate Debt[J].Journal of Finance,1995(50):609-631.
[14]Stohs M H,Mauer D C.The Determinants of Corporate Debt Maturity Structure[J].Journal of Business,1996(69):279-312.
[15]Scherr F C,Hulburt H M.The Debt Maturity Structure of Small Firms[J].Financial Management,2001(30):85-111.
[16]Johnson S A.Debt Maturity and the Effects of Growth Opportunities and Liquidity Risk on Leverage[J].Review of Financial Studies,2003(16):209-236.
[17]Kashyap A K,Stein J C,Wilcox D W.Monetary Policy and Credit Conditions:Evidence from The Composition of External Finance[J].American Economic Review,1993(83):78-98.
[18]叶康涛,祝继高.银根紧缩与信贷资源配置[J].管理世界,2009(1):22-28.
[19]Campello M,Giambona E,Graham J R,Harvey C R.Liquidity Management and Corporate Investment during a Financial Crisis[J].The Review of Financial Studies,2011(6):1944-79.
[20]陆正飞,祝继高,樊铮.银根紧缩、信贷歧视与民营上市公司投资者利益损失[J].金融研究,2009(8):124-136.
[21]曾爱民,傅元略,魏志华.金融危机冲击、财务柔性储备和企业融资行为——来自中国上市公司的经验证据[J].金融研究,2011(10):155-169.
[22]靳庆鲁,孔祥,侯青川.货币政策、民营企业投资效率与公司期权价值[J].经济研究,2012(5):96-106.
[23]曾爱民,张纯,魏志华.金融危机冲击、财务柔性储备与企业投资行为——来自中国上市公司的经验证据[J].管理世界,2013(4):107-120.
[24]饶品贵,姜国华.货币政策对银行信贷与商业信用互动关系影响研究[J].经济研究,2013(1):68-82.
[25]喻坤,李治国,张晓蓉,徐剑刚.企业投资效率之谜:融资约束假说与货币政策冲击[J].经济研究,2014(5):106-120.
[26]胡泽,夏新平,余明桂.金融发展、流动性与商业信用:基于全球金融危机的实证研究[J].南开管理评论,2013(3):4-15.
[27]陈耿,刘星,辛清泉.信贷歧视、金融发展与民营企业银行借款期限结构[J].会计研究,2015(4):40-46.
[28]Acharya V V,Gale D,Yorulmazer T.Roll over Risk and Market Freezes[J].The Journal of Finance,2011(66):1177-1209.
[29]廖冠民,唐弋宇,吴溪.经营风险、产权性质、银行竞争与企业债务期限结构:基于流动性风险理论的实证检验[J].中国会计与财务研究,2010,12(4):1-75.
[30]索颜峰,范从来.货币政策能够影响贷款供给吗——来自银行资产组合行为的经验证据[J].经济科学,2007(6):57-65.
[31]孙大超,王博,Gang W.银行业垄断是导致货币政策抑制中小企业的原因吗[J].金融研究,2014(6):99-114.
[32]黄志忠,谢军.宏观货币政策、区域金融发展和企业融资约束——货币政策传导机制的微观证据[J].会计研究,2013(1):64-69.
[33]Mojon B,Smets F,Vermeulen P.Investment and Monetary Policy in The Euro Area[J].Journal of Banking and Finance,2002(26):2111-2129.
[34]彭方平,王少平.我国利率政策的微观效应[J].管理世界,2007(1):24-29.
[35]葛家澍,占美松.企业财务报告分析必须着重关注的几个财务信息——流动性、财务适应性、预期现金净流入、盈利能力和市场风险[J].会计研究,2008(5):3-9.
[36]De Angelo H,De Angelo L.Capital Structure,Payout Policy and Financial Flexibility[Z].University of Southern California,Working paper,2009.
[37]Byoun S.Financial Flexibility and Capital Structure Decision[Z].SSRN Electronic Journal,2011.
[38]冯建,王丹.货币政策紧缩、资产配置与企业绩效[J].宏观经济研究,2013(6):21-28.
[39]Chatelain J B,Generale A,Hernando I,Kalckreuth U V,Vermeulen P.New Findings on Firm Investment and Monetary Transmission in The Euro Area[J].Oxford Review of Economic Policy,2003(19):73-82.
[40]Garcia-Herrero A,Gavila S,Santabarbara D.China's Banking Reform:An Assessment of its Evolution and Possible Impact[J].Occasional Papers,2005(52):304-363.
[41]王正位,赵冬青,朱武祥,中国上市公司零长期借款的经验研究[C].中国金融国际年会,2009.
[42]Opler T C,Titman S.Financial Distress and Corporate Performance[J].Journal of Finance,1994(49):1015-1040.
[43]Richardson S.Over-Investment of Free Cash Flow[J].Review of Accounting Studies,2006(11):159-189.
[44]Brandt L,Li H B.Bank Discrimination in Transition Economies:Ideology,Information,or Incentives[J].Journal of Comparative Economics,2003(31):387-413.
[45]曾庆生,陈信元.国家控股、超额雇员与劳动力成本[J].经济研究,2006(5):74-86.
[46]李广子,刘力.债务融资成本与民营信贷歧视[J].金融研究,2009(12):137-150.
[47]袁淳,荆新,廖冠民.国有公司的信贷优惠:信贷干预还是隐性担保[J].会计研究,2010(8):49-54.
[48]Fama E F,Jensen M.Agency Problem and Residual Claims[J].Journal of Law and Economics,1983(26):327-349.
[49]Ohlson J A.Financial Ratios and the Probabilistic Prediction of Bankruptcy[J].Journal of Accounting Research,1980(18):109-131.
[50]于泽,陆怡舟,王闻达.货币政策执行模式、金融错配与我国企业投资约束[J].管理世界,2015(9):52-64.
[51]Gertler M,Gilchrist S.Monetary Policy,Business Cycles,And the Behavior of Small Manufacturing Firms[J].Quarterly Journal of Economics,1994,109:309-340.
[52]Gaiotti E,Generale A.Does Monetary Policy Have Asymmetric Effects?A Look at the Investment Decisions of Italian Firms[J].Giornale Degli Economisti E Annali Di Economia,2002:29-59.
(1)我国绝大多数企业都没有债券融资。
(1)根据Byoun(2011)[37]的观点,财务柔性是指企业及时调动财务资源以便预防或利用未来不确定性事件以实现企业价值最大化的能力。
(1)从理论上而言,非上市公司的短期债务比例应该还要远高于此。
(2)中国人民银行自2004年第1季度开始至2009年第4季度每季度调查各类银行机构的银行家(行长或副行长)对当前货币政策的感受,包括“过松”“偏松”“适度”“偏紧”和“过紧”等选项。而自2010年第1季度起至2015年第1季度,中国人民银行仅公布了认为当前货币政策“适度”的银行家比例。认为当前货币政策“偏紧”的银行家比例数据从2015开始又可获得。关于具体调查方法的介绍参见叶康涛和祝继高(2009)[18]。
(1)短期债务与总资产之比往往与公司的财务杠杆高度相关,更可能体现的是公司的财务困境成本,而非流动性成本,尽管如此,我们在稳健性测试中还是尝试了以短期债务与总资产之比度量公司的短期债务水平。
(1)以Undinv为因变量时,模型是Probit回归模型;以ROE为因变量时,模型为线性回归模型。
[2]Ayyagari M,Demirgü9-Kunt A,Maksimovic V.Formal versus Informal Finance:Evidence from China[J].The Review of Financial Studies,2010(8):3048-3097.
[3]Diamond D W.Monitoring and Reputation:The Choice between Bank Loan and Directly Placed Debt[J].Journal of Political Economy,1991b(99):689-721.
[4]肖作平,廖理.公司治理影响债务期限水平吗?——来自中国上市公司的经验证据[J].管理世界,2008(11):143-156.
[5]胡援成,刘明艳.中国上市公司债务期限结构影响因素:面板数据分析[J].管理世界,2011(2):175-177.
[6]Custódio C,Ferreira M A,Laureano L.Why Are US Firms Using More Short-term Debt[J].Journal of Financial Economics,2013(1):182-212.
[7]钟凯,程小可,张伟华.货币政策适度水平与企业“短贷长投”之谜[J].管理世界,2016(3):87-98.
[8]Rajan R.Insiders and Outsiders:The Choice between Informed and Arm's-length Debt[J].Journal of Finance,1992(47):1367-1400.
[9]Fan J P H,Titman S,Twite G,An International Comparison of Capital Structure and Debt Maturity Choices[J].Journal of Financial and Quantitative Analysis,2012,47(1):23-56.
[10]袁卫秋.我国上市公司的债务期限结构——基于权衡思想的实证研究[J].会计研究,2005(12):53-58.
[11]Diamond D W,Rajan R.Banks,Short-term Debt,and Financial Crises:Theory,Policy Implications,and Applications[J].Proceedings of Carnegie Rochester Series on Public Policy,2001(54):37-71.
[12]Diamond D W.Debt Maturity Structure and Liquidity Risk[J].Quarterly Journal of Economics,1991a(106):709-737.
[13]Barclay M J,Smith C W.The Maturity Structure of Corporate Debt[J].Journal of Finance,1995(50):609-631.
[14]Stohs M H,Mauer D C.The Determinants of Corporate Debt Maturity Structure[J].Journal of Business,1996(69):279-312.
[15]Scherr F C,Hulburt H M.The Debt Maturity Structure of Small Firms[J].Financial Management,2001(30):85-111.
[16]Johnson S A.Debt Maturity and the Effects of Growth Opportunities and Liquidity Risk on Leverage[J].Review of Financial Studies,2003(16):209-236.
[17]Kashyap A K,Stein J C,Wilcox D W.Monetary Policy and Credit Conditions:Evidence from The Composition of External Finance[J].American Economic Review,1993(83):78-98.
[18]叶康涛,祝继高.银根紧缩与信贷资源配置[J].管理世界,2009(1):22-28.
[19]Campello M,Giambona E,Graham J R,Harvey C R.Liquidity Management and Corporate Investment during a Financial Crisis[J].The Review of Financial Studies,2011(6):1944-79.
[20]陆正飞,祝继高,樊铮.银根紧缩、信贷歧视与民营上市公司投资者利益损失[J].金融研究,2009(8):124-136.
[21]曾爱民,傅元略,魏志华.金融危机冲击、财务柔性储备和企业融资行为——来自中国上市公司的经验证据[J].金融研究,2011(10):155-169.
[22]靳庆鲁,孔祥,侯青川.货币政策、民营企业投资效率与公司期权价值[J].经济研究,2012(5):96-106.
[23]曾爱民,张纯,魏志华.金融危机冲击、财务柔性储备与企业投资行为——来自中国上市公司的经验证据[J].管理世界,2013(4):107-120.
[24]饶品贵,姜国华.货币政策对银行信贷与商业信用互动关系影响研究[J].经济研究,2013(1):68-82.
[25]喻坤,李治国,张晓蓉,徐剑刚.企业投资效率之谜:融资约束假说与货币政策冲击[J].经济研究,2014(5):106-120.
[26]胡泽,夏新平,余明桂.金融发展、流动性与商业信用:基于全球金融危机的实证研究[J].南开管理评论,2013(3):4-15.
[27]陈耿,刘星,辛清泉.信贷歧视、金融发展与民营企业银行借款期限结构[J].会计研究,2015(4):40-46.
[28]Acharya V V,Gale D,Yorulmazer T.Roll over Risk and Market Freezes[J].The Journal of Finance,2011(66):1177-1209.
[29]廖冠民,唐弋宇,吴溪.经营风险、产权性质、银行竞争与企业债务期限结构:基于流动性风险理论的实证检验[J].中国会计与财务研究,2010,12(4):1-75.
[30]索颜峰,范从来.货币政策能够影响贷款供给吗——来自银行资产组合行为的经验证据[J].经济科学,2007(6):57-65.
[31]孙大超,王博,Gang W.银行业垄断是导致货币政策抑制中小企业的原因吗[J].金融研究,2014(6):99-114.
[32]黄志忠,谢军.宏观货币政策、区域金融发展和企业融资约束——货币政策传导机制的微观证据[J].会计研究,2013(1):64-69.
[33]Mojon B,Smets F,Vermeulen P.Investment and Monetary Policy in The Euro Area[J].Journal of Banking and Finance,2002(26):2111-2129.
[34]彭方平,王少平.我国利率政策的微观效应[J].管理世界,2007(1):24-29.
[35]葛家澍,占美松.企业财务报告分析必须着重关注的几个财务信息——流动性、财务适应性、预期现金净流入、盈利能力和市场风险[J].会计研究,2008(5):3-9.
[36]De Angelo H,De Angelo L.Capital Structure,Payout Policy and Financial Flexibility[Z].University of Southern California,Working paper,2009.
[37]Byoun S.Financial Flexibility and Capital Structure Decision[Z].SSRN Electronic Journal,2011.
[38]冯建,王丹.货币政策紧缩、资产配置与企业绩效[J].宏观经济研究,2013(6):21-28.
[39]Chatelain J B,Generale A,Hernando I,Kalckreuth U V,Vermeulen P.New Findings on Firm Investment and Monetary Transmission in The Euro Area[J].Oxford Review of Economic Policy,2003(19):73-82.
[40]Garcia-Herrero A,Gavila S,Santabarbara D.China's Banking Reform:An Assessment of its Evolution and Possible Impact[J].Occasional Papers,2005(52):304-363.
[41]王正位,赵冬青,朱武祥,中国上市公司零长期借款的经验研究[C].中国金融国际年会,2009.
[42]Opler T C,Titman S.Financial Distress and Corporate Performance[J].Journal of Finance,1994(49):1015-1040.
[43]Richardson S.Over-Investment of Free Cash Flow[J].Review of Accounting Studies,2006(11):159-189.
[44]Brandt L,Li H B.Bank Discrimination in Transition Economies:Ideology,Information,or Incentives[J].Journal of Comparative Economics,2003(31):387-413.
[45]曾庆生,陈信元.国家控股、超额雇员与劳动力成本[J].经济研究,2006(5):74-86.
[46]李广子,刘力.债务融资成本与民营信贷歧视[J].金融研究,2009(12):137-150.
[47]袁淳,荆新,廖冠民.国有公司的信贷优惠:信贷干预还是隐性担保[J].会计研究,2010(8):49-54.
[48]Fama E F,Jensen M.Agency Problem and Residual Claims[J].Journal of Law and Economics,1983(26):327-349.
[49]Ohlson J A.Financial Ratios and the Probabilistic Prediction of Bankruptcy[J].Journal of Accounting Research,1980(18):109-131.
[50]于泽,陆怡舟,王闻达.货币政策执行模式、金融错配与我国企业投资约束[J].管理世界,2015(9):52-64.
[51]Gertler M,Gilchrist S.Monetary Policy,Business Cycles,And the Behavior of Small Manufacturing Firms[J].Quarterly Journal of Economics,1994,109:309-340.
[52]Gaiotti E,Generale A.Does Monetary Policy Have Asymmetric Effects?A Look at the Investment Decisions of Italian Firms[J].Giornale Degli Economisti E Annali Di Economia,2002:29-59.
(1)我国绝大多数企业都没有债券融资。
(1)根据Byoun(2011)[37]的观点,财务柔性是指企业及时调动财务资源以便预防或利用未来不确定性事件以实现企业价值最大化的能力。
(1)从理论上而言,非上市公司的短期债务比例应该还要远高于此。
(2)中国人民银行自2004年第1季度开始至2009年第4季度每季度调查各类银行机构的银行家(行长或副行长)对当前货币政策的感受,包括“过松”“偏松”“适度”“偏紧”和“过紧”等选项。而自2010年第1季度起至2015年第1季度,中国人民银行仅公布了认为当前货币政策“适度”的银行家比例。认为当前货币政策“偏紧”的银行家比例数据从2015开始又可获得。关于具体调查方法的介绍参见叶康涛和祝继高(2009)[18]。
(1)短期债务与总资产之比往往与公司的财务杠杆高度相关,更可能体现的是公司的财务困境成本,而非流动性成本,尽管如此,我们在稳健性测试中还是尝试了以短期债务与总资产之比度量公司的短期债务水平。
(1)以Undinv为因变量时,模型是Probit回归模型;以ROE为因变量时,模型为线性回归模型。