宏观经济不确定性与企业最优资产结构
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摘要
宏观经济不确定性包括实体经济不确定性和经济政策不确定性两部分,政策不确定性占经济前景不确定性的比重越来越高,中国市场经济环境下这一现象尤为突出.本文运用包含维纳过程和泊松过程的复合随机过程刻画企业面临的实体经济不确定性和经济政策不确定性,并利用随机最优化方法,建立了一个可以描述宏观经济不确定性的随机最优控制模型来对企业最优资产结构策略性质进行分析,基于此设计出了不同预期下的企业最优资产结构,从而为已有大量的宏微观结合的实证研究提供了理论基础.
The two parts of macroeconomic uncertainty are real economic uncertainty and economic policy uncertainty. Besides economic policy uncertainty in the proportion of the uncertainty of the economy is more and more higher, especially in China. This paper describes the real economic uncertainty and economic policy uncertainty faced by companies by using compound stochastic processes including Wiener process and Poisson process. This paper establishes a stochastic optimal control model which can describe macroeconomic uncertainty to analyze the nature of the optimal assets structure. Based on this, the optimal assets structure strategies under different expectations are put forward. This paper provides a theoretical basis for a large number of empirical studies on how macro-economy affects corporate decision-making.
The two parts of macroeconomic uncertainty are real economic uncertainty and economic policy uncertainty. Besides economic policy uncertainty in the proportion of the uncertainty of the economy is more and more higher, especially in China. This paper describes the real economic uncertainty and economic policy uncertainty faced by companies by using compound stochastic processes including Wiener process and Poisson process. This paper establishes a stochastic optimal control model which can describe macroeconomic uncertainty to analyze the nature of the optimal assets structure. Based on this, the optimal assets structure strategies under different expectations are put forward. This paper provides a theoretical basis for a large number of empirical studies on how macro-economy affects corporate decision-making.
引文
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[3] Ambrose W, Megginson W. The role of asset structure, ownership structure and takeover defenses in determining acquisition likelihood[J]. Journal of Financial and Quantitative Analysis, 1992, 27(4):575-589.
[4]王红建,李青原,邢斐.经济政策不确定性、现金持有水平及其市场价值[J].金融研究,2014(9):53-68.Wang H J, Li Q Y, Xing F. Economic policy uncertainty, cash holdings and market value[J]. Journal of Financial Research, 2014(9):53-68.
[5] Campello M, Giambona E. Real assets and capital structure[J]. Journal of Financial and Quantitative Analysis,2013, 48(5):1333-1370.
[6]张永冀,孟庆斌.预期通货膨胀与企业资产结构[J].会计研究,2016(7):17-23.Zhang Y J, Meng Q B. Expected inflation rate and corporate assets structure[J]. Accounting Research, 2016(7):17-23.
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[8]费为银,蔡振球,夏登峰.跳扩散环境下带通胀的最优动态资产配置[J].管理科学学报,2015, 18(8):83-94.Fei W Y, Cai Z Q, Xia D F. Dynamic asset allocation with inflation under jump-diffusion environment[J]. Journal of Management Sciences in China, 2015, 18(8):83-94.
[9] Baker S, Bloom N, Davis S. Measuring economic policy uncertainty[J]. The Quarterly Journal of Economics,2016, 131:1593-1636.
[10]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?——基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.Li F Y, Yang M Z. Can economic policy uncertainty influence corporate investment? The empirical research by using China economic policy uncertainty index[J]. Journal of Financial Research, 2015(4):115-129.
[11] Bloom N, Van Reenen J, Bond S. Uncertainty and investment dynamics[J]. The Review of Economic Studies,2007, 74(2):391-415.
[12]王义中,宋敏.宏观经济不确定性、资金需求与公司投资[J].经济研究,2014(2):4-17.Wang Y Z,Song M. Macroeconomic uncertainty, demand for financing and corporate investment[J]. Economic Research Journal, 2014(2):4-17.
[13] Beaudry P, Caglayan M, Schiantarelli F. Monetary instability, the predictability of prices, and the allocation of investment:An empirical investigation using UK panel data[J], American Economic Review, 2001, 91(3):648-662.
[14] Gulen H, Ion M. Policy uncertainty and corporate investment[J]. The Review of Financial Studies, 2016, 29(3):523-564.
[15] Huang S, Wessels R. The determinants of capital structure choice[J]. Journal of Finance, 1988, 43(1):1-19.
[16]李凤羽,史永东.经济政策不确定性与企业现金持有策略——基于中国经济政策不确定性指数的实证研究[J].管理科学学报,2016, 19(6):157-170.Li F Y, Shi Y D. Economic policy uncertainty and corporate cash holding strategy:Empirical research by using China economic policy uncertainty index[J]. Journal of Management Sciences in China, 2016, 19(6):157-170.
[17]郑立东,程小可,姚立杰.经济政策不确定性、行业周期性与现金持有动态调整[J].中央财经大学学报,2014(12):68-78.Zheng L D, Cheng X K, Yao L J. Economic policy uncertainty, industry periodicity and dynamic cash holdings adjustment[J]. Journal of Central University of Finance&c Economics, 2014(12):68-78.
[18] Das S R. The surprise element:Jumps in interest rate[J]. Journal of Econometrics, 2002, 106(1):27-65.
[19]朱洪亮,孔傲,张兵.长期资产投资组合策略的演化稳定性[J].系统工程理论与实践,2011,31(4):702-709_Zhu H L, Kong A, Zhang B. Evolutionary stability of portfolio rules with long-lived assets[J], Systems Engineering-Theory&Practice, 2011, 31(4):702-709.
[20]罗琰,杨招军,张维.跳散市场投资组合研究[J].经济数学,2012, 29(2):45-51.Luo Y, Yang Z J, Zhang W. Study of portfolio in a jump-diffusion market[J]. Journal of Quantitative Economics,2012, 29(2):45-51.
[21]黄苒,唐齐鸣.含跳跃风险的公司贷款违约率测度:基于首达时模型的理论扩展[J].管理科学学报,2015, 18(7):93-101.Huang R, Tang Q M. Assessing default rate of corporate loan in the first-passage time model with jump risk[J].Journal of Management Sciences in China, 2015, 18(7):93-101.
[22]刘静一,李彩云,简志宏.系统性跳跃、异质跳跃与尾部特征[J]·系统工程理论与实践,2015, 35(1):49-55.Liu J Y, Li C Y, Jian Z H. Systematic jumps, heterogeneity jumps and tail characteristics[J], Systems Engineering-Theory&Practice, 2015, 35(1):49-55.
[23] Penman S. Financial statement analysis and security valuation[M]. New York, NY:McGraw-Hill, 2013:273-283.
[24] Merton R C. Lifetime portfolio selection under uncertainty:The continuous-time case[J]. Review of Economics and Statistics, 1969, 51:247-257.
[25] Liu J, LongstEaff F A, Pan J. Dynamic asset allocation with event risk[J]. Journal of Finance, 2003, 58(1):231-259.
[26] Merton R C. Continuous time finance[M], Cambridge:Wiley-Blackwell Press, 1990.
[27] Press S J. A compound events model for security price[J]. Journal of Business, 1967, 40(3):317-335.
[28]饶品贵,张会丽.通货膨胀预期与企业现金持有行为[J].金融研究,2015(1):101-116.Rao P G, Zhang H L. Expected inflation and firms'behavior of cash holdings[J]. Journal of Financial Research,2015(1):101-116.
[29]王一鸣,赵留彦.通货膨胀与股票收益:需求冲击与供给冲击效应分解[J].系统工程理论与实践,2010, 30(12):2190-2202.Wang Y M, Zhao L Y. Stock returns and inflation:Decomposition analysis in effects of aggregate demand and aggregate supply disturbances[J]. Systems Engineering—Theory&Practice, 2010, 30(12):2190-2202.
[30]饶品贵,岳衡,姜国华.预期通货膨胀与企业存货调整行为[J].经济学季刊,2016, 15(2):499-526.Rao P G, Yue H, Jiang G H. Expected inflation and firms'inventory adjustment[J]. Journal of China Economic Quarterly, 2016, 15(2):499-526.
[31]黎文靖,郑曼妮.通货膨胀预期、企业成长性与企业投资[J].统计研究,2016, 33(5):34-42.Li W J, Zheng M N. Inflation expectation, growth and firm investment[J], Journal of Statistical Research, 2016,33(5):34-42.
[32]陈国进,王少谦.经济政策不确定性如何影响企业投资行为[J].财贸经济,2016(5):5-21.Chen G J, Wang S Q. How does economic policy uncertainty influence corporate investment behavior?[J]. Journal of Finance&Trade Economics, 2016(5):5-21.
[2]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.Feng J, Wang D. Short money supply, assets allocation and corporate performance[J]. Macroeconomics,2013(6):21-28.
[3] Ambrose W, Megginson W. The role of asset structure, ownership structure and takeover defenses in determining acquisition likelihood[J]. Journal of Financial and Quantitative Analysis, 1992, 27(4):575-589.
[4]王红建,李青原,邢斐.经济政策不确定性、现金持有水平及其市场价值[J].金融研究,2014(9):53-68.Wang H J, Li Q Y, Xing F. Economic policy uncertainty, cash holdings and market value[J]. Journal of Financial Research, 2014(9):53-68.
[5] Campello M, Giambona E. Real assets and capital structure[J]. Journal of Financial and Quantitative Analysis,2013, 48(5):1333-1370.
[6]张永冀,孟庆斌.预期通货膨胀与企业资产结构[J].会计研究,2016(7):17-23.Zhang Y J, Meng Q B. Expected inflation rate and corporate assets structure[J]. Accounting Research, 2016(7):17-23.
[7]王春峰,吴启权,李晗虹.资产配置中如何管理通货膨胀和随机利率风险:一种中长期投资问题[J].系统工程,2006, 24(4):60-64.Wang C F, Wu Q Q, Li H H. How to manage inflation and stochastic interest rate risk in a strategic asset allocation:An investment problem with medium/long period[J]. Systems Engineering, 2006, 24(4):60-64.
[8]费为银,蔡振球,夏登峰.跳扩散环境下带通胀的最优动态资产配置[J].管理科学学报,2015, 18(8):83-94.Fei W Y, Cai Z Q, Xia D F. Dynamic asset allocation with inflation under jump-diffusion environment[J]. Journal of Management Sciences in China, 2015, 18(8):83-94.
[9] Baker S, Bloom N, Davis S. Measuring economic policy uncertainty[J]. The Quarterly Journal of Economics,2016, 131:1593-1636.
[10]李凤羽,杨墨竹.经济政策不确定性会抑制企业投资吗?——基于中国经济政策不确定指数的实证研究[J].金融研究,2015(4):115-129.Li F Y, Yang M Z. Can economic policy uncertainty influence corporate investment? The empirical research by using China economic policy uncertainty index[J]. Journal of Financial Research, 2015(4):115-129.
[11] Bloom N, Van Reenen J, Bond S. Uncertainty and investment dynamics[J]. The Review of Economic Studies,2007, 74(2):391-415.
[12]王义中,宋敏.宏观经济不确定性、资金需求与公司投资[J].经济研究,2014(2):4-17.Wang Y Z,Song M. Macroeconomic uncertainty, demand for financing and corporate investment[J]. Economic Research Journal, 2014(2):4-17.
[13] Beaudry P, Caglayan M, Schiantarelli F. Monetary instability, the predictability of prices, and the allocation of investment:An empirical investigation using UK panel data[J], American Economic Review, 2001, 91(3):648-662.
[14] Gulen H, Ion M. Policy uncertainty and corporate investment[J]. The Review of Financial Studies, 2016, 29(3):523-564.
[15] Huang S, Wessels R. The determinants of capital structure choice[J]. Journal of Finance, 1988, 43(1):1-19.
[16]李凤羽,史永东.经济政策不确定性与企业现金持有策略——基于中国经济政策不确定性指数的实证研究[J].管理科学学报,2016, 19(6):157-170.Li F Y, Shi Y D. Economic policy uncertainty and corporate cash holding strategy:Empirical research by using China economic policy uncertainty index[J]. Journal of Management Sciences in China, 2016, 19(6):157-170.
[17]郑立东,程小可,姚立杰.经济政策不确定性、行业周期性与现金持有动态调整[J].中央财经大学学报,2014(12):68-78.Zheng L D, Cheng X K, Yao L J. Economic policy uncertainty, industry periodicity and dynamic cash holdings adjustment[J]. Journal of Central University of Finance&c Economics, 2014(12):68-78.
[18] Das S R. The surprise element:Jumps in interest rate[J]. Journal of Econometrics, 2002, 106(1):27-65.
[19]朱洪亮,孔傲,张兵.长期资产投资组合策略的演化稳定性[J].系统工程理论与实践,2011,31(4):702-709_Zhu H L, Kong A, Zhang B. Evolutionary stability of portfolio rules with long-lived assets[J], Systems Engineering-Theory&Practice, 2011, 31(4):702-709.
[20]罗琰,杨招军,张维.跳散市场投资组合研究[J].经济数学,2012, 29(2):45-51.Luo Y, Yang Z J, Zhang W. Study of portfolio in a jump-diffusion market[J]. Journal of Quantitative Economics,2012, 29(2):45-51.
[21]黄苒,唐齐鸣.含跳跃风险的公司贷款违约率测度:基于首达时模型的理论扩展[J].管理科学学报,2015, 18(7):93-101.Huang R, Tang Q M. Assessing default rate of corporate loan in the first-passage time model with jump risk[J].Journal of Management Sciences in China, 2015, 18(7):93-101.
[22]刘静一,李彩云,简志宏.系统性跳跃、异质跳跃与尾部特征[J]·系统工程理论与实践,2015, 35(1):49-55.Liu J Y, Li C Y, Jian Z H. Systematic jumps, heterogeneity jumps and tail characteristics[J], Systems Engineering-Theory&Practice, 2015, 35(1):49-55.
[23] Penman S. Financial statement analysis and security valuation[M]. New York, NY:McGraw-Hill, 2013:273-283.
[24] Merton R C. Lifetime portfolio selection under uncertainty:The continuous-time case[J]. Review of Economics and Statistics, 1969, 51:247-257.
[25] Liu J, LongstEaff F A, Pan J. Dynamic asset allocation with event risk[J]. Journal of Finance, 2003, 58(1):231-259.
[26] Merton R C. Continuous time finance[M], Cambridge:Wiley-Blackwell Press, 1990.
[27] Press S J. A compound events model for security price[J]. Journal of Business, 1967, 40(3):317-335.
[28]饶品贵,张会丽.通货膨胀预期与企业现金持有行为[J].金融研究,2015(1):101-116.Rao P G, Zhang H L. Expected inflation and firms'behavior of cash holdings[J]. Journal of Financial Research,2015(1):101-116.
[29]王一鸣,赵留彦.通货膨胀与股票收益:需求冲击与供给冲击效应分解[J].系统工程理论与实践,2010, 30(12):2190-2202.Wang Y M, Zhao L Y. Stock returns and inflation:Decomposition analysis in effects of aggregate demand and aggregate supply disturbances[J]. Systems Engineering—Theory&Practice, 2010, 30(12):2190-2202.
[30]饶品贵,岳衡,姜国华.预期通货膨胀与企业存货调整行为[J].经济学季刊,2016, 15(2):499-526.Rao P G, Yue H, Jiang G H. Expected inflation and firms'inventory adjustment[J]. Journal of China Economic Quarterly, 2016, 15(2):499-526.
[31]黎文靖,郑曼妮.通货膨胀预期、企业成长性与企业投资[J].统计研究,2016, 33(5):34-42.Li W J, Zheng M N. Inflation expectation, growth and firm investment[J], Journal of Statistical Research, 2016,33(5):34-42.
[32]陈国进,王少谦.经济政策不确定性如何影响企业投资行为[J].财贸经济,2016(5):5-21.Chen G J, Wang S Q. How does economic policy uncertainty influence corporate investment behavior?[J]. Journal of Finance&Trade Economics, 2016(5):5-21.