贷款利率、融资策略及其对储蓄率的影响研究
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摘要
传统理论认为,企业会按照不同融资方式的相对成本配置资金,在其他条件不变的情况下,如果贷款利率降低则企业会使用更多的贷款资金。但是,这种观点没有考虑到资金的可得性问题,只适合于信息对称环境下的企业融资。在信息不对称的环境中,企业可能会遭受银行的信贷配给,资金可得性就成为了企业必须考虑的问题,其融资行为就会偏离传统理论的预测。
本文采用信息不对称环境中动态博弈的方法构建了一个原创性的融资模型,考察了利率变动对受到信息不对称困扰、容易遭受信贷配给企业融资选择的影响。我们的分析显示,利率变化会通过改变信贷配给标准的方式,对企业融资结构产生完全不同于传统理论预测的影响,本文将利率对企业融资策略的这种影响路径称为“利率—信贷配给—融资策略”渠道。通过这一渠道,利率变化不但会在微观层面改变企业融资行为,还会在宏观层面影响一国的储蓄率。
当银行和企业之间面临信息不对称的时候,如果没有其他甄别手段,银行将不得不采用信贷配给的方式分配有限的信贷资金,受到配给的企业1将不能得到贷款。企业可以通过调整自有资金投入占整个投入比例的方式来向银行表明自己的投资前景,安全的企业能够承受更高比例的自有资金投入,危险的企业会因为畏惧失去自有资金而不愿投入过多。这样,企业的融资结构起到了甄别企业类型、缓解信息不对称的作用,银行可以根据企业的自有资金比例来做出贷款决定,只向那些足够安全(亦即自有资金比例足够高)的企业发放贷款。
贷款利率的变化会改变银行信贷配给的标准,从而改变企业融资结构。以贷款利率下降为例2,银行贷款变得更有吸引力,更多企业有更强的动机来追逐信贷资金。企业之间对廉价信贷资金的竞相追逐会使得银行处于一个更加有利的谈判地位,银行可以筛选更加安全的企业来获得更大的收益。借贷双方的行为提高了信贷配给的标准,企业需要投入更高自有资金投入比例来向银行表明自己依然足够安全,从而增加自己获得贷款的机会。通过这种改变信贷配给标准的方式,贷款利率下降、贷款吸引力增加最终反而造成了企业自有资金投入比例上升、债务融资比例下降这样一种有些反直觉的效果。我们将利率经由信贷配给途径给企业融资结构带来的这种有些违反直觉的影响称为“利率—信贷配给—融资策略”途径。
本文的理论模型提出了两点可验证的排他性预测,构成了对理论进行实证检验的基础：(1)不容易遭受信贷配给的企业资产负债率与贷款利率负相关或者不相关,容易遭受信贷配给的企业资产负债率会与贷款利率正相关；(2)对于容易遭受信贷配给的企业而言,贷款利率和投资回报率(ROA)都对对其融资结构产生影响,但两者方向相反,而且贷款利率的影响在数值上更大。
利用包含上市企业和非上市企业两个子样本的全新企业层面非平衡面板数据,我们对“利率—信贷配给—融资策略”模型进行了验证。计量结果显示：(1)上市企业资产负债率与贷款利率负相关或者不相关；(2)非上市企业资产负债率与贷款利率显著正相关(1%统计水平上)；(3)贷款利率对非上市企业资产负债率的影响程度(系数)大于资产收益率(以ROA度量)对资产负债率的影响；(4)非上市民营企业规模越小,其资产负债率与贷款利率的正相关性也就越强。计量结果与本文的理论预测完全一致,表明利率变化的确通过该渠道对企业的融资选择产生了统计上显著、经济上重要的影响。
2000年以后短短数年之间,我国储蓄率出现了前所未见的异常上涨,给我国经济带来了巨大影响。运用本文的理论逻辑,本文对我国2000年以后企业部门和家庭部门储蓄率显著异常上升的现象做出了不同于所有现有研究的全新解释。认为我国2000年以后的低利率政策通过“利率—信贷配给—融资策略”渠道推高了容易遭受信贷配的非上市企业(尤其是其中的民营中小企业)和城镇高收入家庭的储蓄倾向,从而造成了整个企业部门和家庭部门的储蓄上涨。
针对企业部门的计量分析发现：(1)2000年以后上市企业储蓄率没有显著趋势性变化,非上市企业储蓄率则存在显著上升趋势；(2)上市企业广义储蓄率与贷款利率不相关,非上市企业广义储蓄率与贷款利率负相关,贷款利率越低则企业储蓄率越高,而且影响程度(系数)具有显著的经济重要性。(3)贷款利率对非上市企业储蓄率的影响远大于资产回报率(ROA)对其储蓄率的影响；(4)尽管非上市国有企业和非国有企业储蓄率率都和贷款利率负相关,但在数值上非国有企业受到的影响要大得多；(5)非上市民营企业规模越小则其储蓄率与贷款利率的负相关程度就越高。企业部门的实证结果显示,越容易受到信贷配给的企业其储蓄率对贷款利率的负面反应也就越强,支持了我们对企业储蓄率的解释,表明贷款利率下降的确造成了非上市企业的储蓄倾向上升(从而推升了整个企业部门储蓄)。
我们采用省际抽样汇总数据构建了农村居民家庭和城镇居民家庭两个平衡面板形式子样本,利用面板动态数据GMM方法分析发现：(1)平均而言,农村居民家庭2000年以后无显著趋势性变化,城镇居民家庭储蓄率从2000年开始显著上升。(2)城镇居民家庭储蓄率对利率和收入交互项估计结果显著小于零,表明收入越高的城镇居民家庭储蓄率对利率的负面反应越强,即贷款利率越低,这些高收入城镇家庭储蓄率也就越高。农村居民家庭储蓄率对该交互项估计结果不显著。计量结果表明有更好金融实业投资机会的城镇高收入家庭储蓄率对贷款利率的确有着很强的负面反应,印证了本文对家庭部门储蓄率异常变化基于“利率—信贷配给—融资策略”渠道的解释。
本文在三个方面做出了创新,第一方面是本文的理论模型。通过一个原创性的动态融资模型,我们提出了贷款利率对企业融资的“利率—信贷配给—融资策略”影响途径(第3章),展示了利率变化通过改变信贷配标准对企业融资结构产生了完全不同于传统相对成本所预测的影响效果。
传统基于相对成本的理论预测在其他条件不变的情况下,贷款利率降低(升高)则企业将使用更多(更少)的贷款融资,本文的“利率—信贷配给—融资策略”模型则表明利率变化对不同的企业影响会完全不一样。当贷款利率降低(升高)、贷款相对成本降低(升高),容易受到配给的企业反而会提高(降低)自有资金投入比例,减少(增加)贷款融资比例。之所以会这样一种反直觉的作用效果是因为贷款利率变化不但改变了贷款相对成本,同样也会改变信贷配给的标准,最终给两类企业带来了截然不同的影响效果。
第二方面创新是本文的实证分析结论(第4章),我们采用了一个独特的非上市企业样本验证了贷款利率对企业融资策略的影响,得到了迥异于现有研究、但与本文理论模型预测完全一致的结论。
传统理论和现有基于上市企业样本的实证结果都认为企业债务融资比例与贷款利率负相关或者相关性不显著。本文的实证结果显示,不容易遭受信贷配给的上市企业资产负债率与贷款利率相关性不显著,而容易遭受信贷配给的非上市企业资产负债率与贷款利率负相关。我们的结论证明了在不同的信息环境中,利率对企业融资策略有着截然不同点影响,“利率—信贷配给—融资策略”机制广泛存在于那些容易遭受信贷配给的非上市企业中,对其融资行为产生了统计上显著、经济意义上重要的影响。
第三点创新是本文对企业和家庭储蓄(尤其是企业)在2000年以后异常上升解释(第6章和第7章)。利用本文所提出的“利率—信贷配给—融资策略”渠道,我们对企业和家庭储蓄(尤其是企业)在2000年以后异常上升做出了完全不同于现有研究的解释,并利用微观层面的数据获得了证实。
根据本文的理论逻辑,我们认为2000年以后我国企业部门储蓄率上升主要源自容易遭受信贷配给的非上市企业(尤其是其中的民营中小企业),而不是现有研究认为的国有资源型企业。家庭部门储蓄上涨源自于高收入家庭追逐廉价信贷资金的行为,而不是现有一些研究强调的中低收入家庭的谨慎性储蓄行为。
我们关于企业部门储蓄变化的解释弥合了现有研究中凸显出来的宏观证据与微观证据的矛盾(来自资金流量表的宏观证据表明企业部门储蓄在2000年以后显著上升,但来自上市企业的微观证据并没有发现这一现象)。
本文关于家庭储蓄的解释比现有的理论解释更加符合最新的微观证据。现有研究认为低收入家庭的谨慎性储蓄推升了家庭部门储蓄率,但最新的微观证据显示推升我国家庭储蓄率的主要来自于高收入家庭。依据本文的解释,我国2000年以后的家庭部门储蓄上涨源于有不错实业、金融投资机会家庭为了获得廉价信贷资金、避免遭受配给的主动选择,而这些家庭更可能是高收入家庭,而不是低收入家庭。
当然,任何研究都不可能十全十美,本文也是如此。本文的理论模型和实证检验都假定了银行贷款利率由监管当局外生决定,采用了局部均衡的分析方式。在解释企业微观行为的时候这样的假设是合适的(当然是在我国特定的制度环境中),但在解释整个企业部门储蓄变化这样的宏观现象的时候可能会存在问题。货币当局的政策选择往往是基于所有当前可得信息的前瞻性反应,这些信息也包括了企业部门的行为,更加适合用一般均衡的视角来考察利率这样的货币政策和储蓄之间的关系。对家庭部门储蓄行为的实证分析是本文的第二个不足之处。由于缺少家庭层面的微观数据,我们使用了省际汇总数据进行实证分析。汇总数据中的收入差异并不能很好代表家庭层面的收入差异,因而只能算作一个非常粗略的分析,我们期待能够有更好的样本对我国家庭部门储蓄变迁作出更加完善的研究。
本文对储蓄率的分析并没有包括政府部门储蓄,之所以这样做是因为政府储蓄与企业和家庭储蓄有着完全不同的机制。但是,为了完整解释我国储蓄率的变化,必须针对政府储蓄率给出合理的解释,这将是我们下一阶段研究的重点内容。
In this paper, we studied the impact of loan interest rate on financing structure through the channel of credit rationing. We developed a dynamic financing model with asymmetry information to claim that equity fund, including undistributed profits and new equity issuing, could screen different type of corporates when there exists information asymmetry between enterprises and banks. Lower interest rate would make credit loan more attractive, so less risky enterprises will rise more equity fund in order to rise the possibility of getting credit loan. Through this "interest rate-credit rationing-financing strategy" channel, changes in loan interest will produce opposite effect on equity financing.
Using a firm-level data set which contained listed and non-listed companies subsamples, we tested this theory and found:(1) Equity financing ratio of non-listed companies have significant but opposite reaction to change of loan interest rate, while equity financing ratio of listed companies have no significant reaction.(2) In contrast with the listed companies, the impact of ROA on equity financing ratio of non-listed companies is much smaller than interest rate,.(3) When the likelihood of being rationing get higher, the negative impact of interest rate on its equity financing ratio would be greater. Empirical results supported our view.
Using the theoretical frame of "interest-credit rationing-financing strategy" mechanism, we explained the extremely unordinary rising of China saving rate. We believe it was the low interest rate policy which promoted the saving rate of firm sector and household sector through the channel of credit rationing. During the low interest rate period after2000, in order to chase low cost loan (avoid credit rationing),high income families and firms likely to be rationed increased their own funds invested in the proportion of total financing.
We tested our interpretation of the corporate sector savings with a firm level sample which included a public firm subsample and a private firm subsample.
Econometric analysis showed that:(1) asset-liability ratio of public companies and lending rates are negatively correlated or uncorrelated.(2) asset-liability ratio of private companies and lending rates are significantly positive correlated (1%statistical level).(3) The impact of loan rate on asset-liability ratio of private companies is greater than ROA. These econometric results are totally consistent with the predictions of "interest rate-credit rationing-financing strategy" theory.
We tested our "interest-credit rationing-financing strategy" hypothesis of household sector savings with a balanced cross-provinces panel sample of urban householder and rural householder income and expenditure survey data. We found:(1) the average rural household savings rate has no significant change in the trend after2000, while the average urban household savings rate increased significantly.(2) Urban household saving rate is significantly negative correlated with interaction term of income and loan rate, while there is no significant correlation between rural household saving rate and interaction term of income and loan rate. These results imply that saving rate of household having good investment opportunities do have strongly negative reaction to loan rate, confirmed our interpretation of household saving.
本文采用信息不对称环境中动态博弈的方法构建了一个原创性的融资模型,考察了利率变动对受到信息不对称困扰、容易遭受信贷配给企业融资选择的影响。我们的分析显示,利率变化会通过改变信贷配给标准的方式,对企业融资结构产生完全不同于传统理论预测的影响,本文将利率对企业融资策略的这种影响路径称为“利率—信贷配给—融资策略”渠道。通过这一渠道,利率变化不但会在微观层面改变企业融资行为,还会在宏观层面影响一国的储蓄率。
当银行和企业之间面临信息不对称的时候,如果没有其他甄别手段,银行将不得不采用信贷配给的方式分配有限的信贷资金,受到配给的企业1将不能得到贷款。企业可以通过调整自有资金投入占整个投入比例的方式来向银行表明自己的投资前景,安全的企业能够承受更高比例的自有资金投入,危险的企业会因为畏惧失去自有资金而不愿投入过多。这样,企业的融资结构起到了甄别企业类型、缓解信息不对称的作用,银行可以根据企业的自有资金比例来做出贷款决定,只向那些足够安全(亦即自有资金比例足够高)的企业发放贷款。
贷款利率的变化会改变银行信贷配给的标准,从而改变企业融资结构。以贷款利率下降为例2,银行贷款变得更有吸引力,更多企业有更强的动机来追逐信贷资金。企业之间对廉价信贷资金的竞相追逐会使得银行处于一个更加有利的谈判地位,银行可以筛选更加安全的企业来获得更大的收益。借贷双方的行为提高了信贷配给的标准,企业需要投入更高自有资金投入比例来向银行表明自己依然足够安全,从而增加自己获得贷款的机会。通过这种改变信贷配给标准的方式,贷款利率下降、贷款吸引力增加最终反而造成了企业自有资金投入比例上升、债务融资比例下降这样一种有些反直觉的效果。我们将利率经由信贷配给途径给企业融资结构带来的这种有些违反直觉的影响称为“利率—信贷配给—融资策略”途径。
本文的理论模型提出了两点可验证的排他性预测,构成了对理论进行实证检验的基础：(1)不容易遭受信贷配给的企业资产负债率与贷款利率负相关或者不相关,容易遭受信贷配给的企业资产负债率会与贷款利率正相关；(2)对于容易遭受信贷配给的企业而言,贷款利率和投资回报率(ROA)都对对其融资结构产生影响,但两者方向相反,而且贷款利率的影响在数值上更大。
利用包含上市企业和非上市企业两个子样本的全新企业层面非平衡面板数据,我们对“利率—信贷配给—融资策略”模型进行了验证。计量结果显示：(1)上市企业资产负债率与贷款利率负相关或者不相关；(2)非上市企业资产负债率与贷款利率显著正相关(1%统计水平上)；(3)贷款利率对非上市企业资产负债率的影响程度(系数)大于资产收益率(以ROA度量)对资产负债率的影响；(4)非上市民营企业规模越小,其资产负债率与贷款利率的正相关性也就越强。计量结果与本文的理论预测完全一致,表明利率变化的确通过该渠道对企业的融资选择产生了统计上显著、经济上重要的影响。
2000年以后短短数年之间,我国储蓄率出现了前所未见的异常上涨,给我国经济带来了巨大影响。运用本文的理论逻辑,本文对我国2000年以后企业部门和家庭部门储蓄率显著异常上升的现象做出了不同于所有现有研究的全新解释。认为我国2000年以后的低利率政策通过“利率—信贷配给—融资策略”渠道推高了容易遭受信贷配的非上市企业(尤其是其中的民营中小企业)和城镇高收入家庭的储蓄倾向,从而造成了整个企业部门和家庭部门的储蓄上涨。
针对企业部门的计量分析发现：(1)2000年以后上市企业储蓄率没有显著趋势性变化,非上市企业储蓄率则存在显著上升趋势；(2)上市企业广义储蓄率与贷款利率不相关,非上市企业广义储蓄率与贷款利率负相关,贷款利率越低则企业储蓄率越高,而且影响程度(系数)具有显著的经济重要性。(3)贷款利率对非上市企业储蓄率的影响远大于资产回报率(ROA)对其储蓄率的影响；(4)尽管非上市国有企业和非国有企业储蓄率率都和贷款利率负相关,但在数值上非国有企业受到的影响要大得多；(5)非上市民营企业规模越小则其储蓄率与贷款利率的负相关程度就越高。企业部门的实证结果显示,越容易受到信贷配给的企业其储蓄率对贷款利率的负面反应也就越强,支持了我们对企业储蓄率的解释,表明贷款利率下降的确造成了非上市企业的储蓄倾向上升(从而推升了整个企业部门储蓄)。
我们采用省际抽样汇总数据构建了农村居民家庭和城镇居民家庭两个平衡面板形式子样本,利用面板动态数据GMM方法分析发现：(1)平均而言,农村居民家庭2000年以后无显著趋势性变化,城镇居民家庭储蓄率从2000年开始显著上升。(2)城镇居民家庭储蓄率对利率和收入交互项估计结果显著小于零,表明收入越高的城镇居民家庭储蓄率对利率的负面反应越强,即贷款利率越低,这些高收入城镇家庭储蓄率也就越高。农村居民家庭储蓄率对该交互项估计结果不显著。计量结果表明有更好金融实业投资机会的城镇高收入家庭储蓄率对贷款利率的确有着很强的负面反应,印证了本文对家庭部门储蓄率异常变化基于“利率—信贷配给—融资策略”渠道的解释。
本文在三个方面做出了创新,第一方面是本文的理论模型。通过一个原创性的动态融资模型,我们提出了贷款利率对企业融资的“利率—信贷配给—融资策略”影响途径(第3章),展示了利率变化通过改变信贷配标准对企业融资结构产生了完全不同于传统相对成本所预测的影响效果。
传统基于相对成本的理论预测在其他条件不变的情况下,贷款利率降低(升高)则企业将使用更多(更少)的贷款融资,本文的“利率—信贷配给—融资策略”模型则表明利率变化对不同的企业影响会完全不一样。当贷款利率降低(升高)、贷款相对成本降低(升高),容易受到配给的企业反而会提高(降低)自有资金投入比例,减少(增加)贷款融资比例。之所以会这样一种反直觉的作用效果是因为贷款利率变化不但改变了贷款相对成本,同样也会改变信贷配给的标准,最终给两类企业带来了截然不同的影响效果。
第二方面创新是本文的实证分析结论(第4章),我们采用了一个独特的非上市企业样本验证了贷款利率对企业融资策略的影响,得到了迥异于现有研究、但与本文理论模型预测完全一致的结论。
传统理论和现有基于上市企业样本的实证结果都认为企业债务融资比例与贷款利率负相关或者相关性不显著。本文的实证结果显示,不容易遭受信贷配给的上市企业资产负债率与贷款利率相关性不显著,而容易遭受信贷配给的非上市企业资产负债率与贷款利率负相关。我们的结论证明了在不同的信息环境中,利率对企业融资策略有着截然不同点影响,“利率—信贷配给—融资策略”机制广泛存在于那些容易遭受信贷配给的非上市企业中,对其融资行为产生了统计上显著、经济意义上重要的影响。
第三点创新是本文对企业和家庭储蓄(尤其是企业)在2000年以后异常上升解释(第6章和第7章)。利用本文所提出的“利率—信贷配给—融资策略”渠道,我们对企业和家庭储蓄(尤其是企业)在2000年以后异常上升做出了完全不同于现有研究的解释,并利用微观层面的数据获得了证实。
根据本文的理论逻辑,我们认为2000年以后我国企业部门储蓄率上升主要源自容易遭受信贷配给的非上市企业(尤其是其中的民营中小企业),而不是现有研究认为的国有资源型企业。家庭部门储蓄上涨源自于高收入家庭追逐廉价信贷资金的行为,而不是现有一些研究强调的中低收入家庭的谨慎性储蓄行为。
我们关于企业部门储蓄变化的解释弥合了现有研究中凸显出来的宏观证据与微观证据的矛盾(来自资金流量表的宏观证据表明企业部门储蓄在2000年以后显著上升,但来自上市企业的微观证据并没有发现这一现象)。
本文关于家庭储蓄的解释比现有的理论解释更加符合最新的微观证据。现有研究认为低收入家庭的谨慎性储蓄推升了家庭部门储蓄率,但最新的微观证据显示推升我国家庭储蓄率的主要来自于高收入家庭。依据本文的解释,我国2000年以后的家庭部门储蓄上涨源于有不错实业、金融投资机会家庭为了获得廉价信贷资金、避免遭受配给的主动选择,而这些家庭更可能是高收入家庭,而不是低收入家庭。
当然,任何研究都不可能十全十美,本文也是如此。本文的理论模型和实证检验都假定了银行贷款利率由监管当局外生决定,采用了局部均衡的分析方式。在解释企业微观行为的时候这样的假设是合适的(当然是在我国特定的制度环境中),但在解释整个企业部门储蓄变化这样的宏观现象的时候可能会存在问题。货币当局的政策选择往往是基于所有当前可得信息的前瞻性反应,这些信息也包括了企业部门的行为,更加适合用一般均衡的视角来考察利率这样的货币政策和储蓄之间的关系。对家庭部门储蓄行为的实证分析是本文的第二个不足之处。由于缺少家庭层面的微观数据,我们使用了省际汇总数据进行实证分析。汇总数据中的收入差异并不能很好代表家庭层面的收入差异,因而只能算作一个非常粗略的分析,我们期待能够有更好的样本对我国家庭部门储蓄变迁作出更加完善的研究。
本文对储蓄率的分析并没有包括政府部门储蓄,之所以这样做是因为政府储蓄与企业和家庭储蓄有着完全不同的机制。但是,为了完整解释我国储蓄率的变化,必须针对政府储蓄率给出合理的解释,这将是我们下一阶段研究的重点内容。
In this paper, we studied the impact of loan interest rate on financing structure through the channel of credit rationing. We developed a dynamic financing model with asymmetry information to claim that equity fund, including undistributed profits and new equity issuing, could screen different type of corporates when there exists information asymmetry between enterprises and banks. Lower interest rate would make credit loan more attractive, so less risky enterprises will rise more equity fund in order to rise the possibility of getting credit loan. Through this "interest rate-credit rationing-financing strategy" channel, changes in loan interest will produce opposite effect on equity financing.
Using a firm-level data set which contained listed and non-listed companies subsamples, we tested this theory and found:(1) Equity financing ratio of non-listed companies have significant but opposite reaction to change of loan interest rate, while equity financing ratio of listed companies have no significant reaction.(2) In contrast with the listed companies, the impact of ROA on equity financing ratio of non-listed companies is much smaller than interest rate,.(3) When the likelihood of being rationing get higher, the negative impact of interest rate on its equity financing ratio would be greater. Empirical results supported our view.
Using the theoretical frame of "interest-credit rationing-financing strategy" mechanism, we explained the extremely unordinary rising of China saving rate. We believe it was the low interest rate policy which promoted the saving rate of firm sector and household sector through the channel of credit rationing. During the low interest rate period after2000, in order to chase low cost loan (avoid credit rationing),high income families and firms likely to be rationed increased their own funds invested in the proportion of total financing.
We tested our interpretation of the corporate sector savings with a firm level sample which included a public firm subsample and a private firm subsample.
Econometric analysis showed that:(1) asset-liability ratio of public companies and lending rates are negatively correlated or uncorrelated.(2) asset-liability ratio of private companies and lending rates are significantly positive correlated (1%statistical level).(3) The impact of loan rate on asset-liability ratio of private companies is greater than ROA. These econometric results are totally consistent with the predictions of "interest rate-credit rationing-financing strategy" theory.
We tested our "interest-credit rationing-financing strategy" hypothesis of household sector savings with a balanced cross-provinces panel sample of urban householder and rural householder income and expenditure survey data. We found:(1) the average rural household savings rate has no significant change in the trend after2000, while the average urban household savings rate increased significantly.(2) Urban household saving rate is significantly negative correlated with interaction term of income and loan rate, while there is no significant correlation between rural household saving rate and interaction term of income and loan rate. These results imply that saving rate of household having good investment opportunities do have strongly negative reaction to loan rate, confirmed our interpretation of household saving.
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