经济政策不确定性对企业投资结构偏向的影响——基于中国EPU指数的经验证据

›› 2020, Vol. 32 ›› Issue (1): 246-261.

经济政策不确定性对企业投资结构偏向的影响——基于中国EPU指数的经验证据

徐光伟¹, 孙铮², 刘星³

1. 常州大学商学院, 常州 213164;
2. 上海财经大学会计与财务研究院, 上海 200433;
3. 重庆大学经济与工商管理学院, 重庆 400030

收稿日期:2017-05-22 出版日期:2020-01-28 发布日期:2020-01-19
作者简介:徐光伟,常州大学商学院副教授,硕士生导师,博士;孙铮,上海财经大学会计与财务研究院教授,博士生导师,博士;刘星,重庆大学经济与工商管理学院教授,博士生导师,博士。
基金资助:
国家自然科学基金重点项目（71232004）；江苏省社会科学基金青年项目（17GLC010）；江苏省高校哲学社会科学研究基金项目（2017SJB1780）。

The Influences of Economic Policy Uncertainty on the Preference of Enterprise Investment Structure: Evidence from China EPU Index

Xu Guangwei¹, Sun Zheng², Liu Xing³

1. Business School, Changzhou University, Changzhou 213164;
2. Institute ofAccounting and Finance, Shanghai University of Finance and Economics, Shanghai 200433;
3. College of Economics and Business Administration, Chongqing University, Chongqing 400030

Received:2017-05-22 Online:2020-01-28 Published:2020-01-19

摘要/Abstract

摘要：

层出不穷的"黑天鹅"事件加剧了市场恐慌情绪导致全球经济政策不确定性创出新高。宏观经济政策不确定性对微观企业投资行为会产生怎样影响?本文利用上市公司2007-2016年季度数据，实证检验了经济政策不确定性对企业实体投资与虚拟投资行为的影响。以Baker等开发的中国经济政策不确定性指数发现：（1）经济政策不确定性与企业实体投资活动之间呈显著负相关关系，经济政策不确定性攀升导致企业实体投资下降；而经济政策不确定性与企业虚拟投资活动之间呈显著正相关关系，经济政策不确定性攀升反而导致企业虚拟投资上升。（2）经济政策不确定性攀升导致实物资产投资成本上升抑制了企业实体投资活动，投资成本是不确定性影响微观企业实体投资的中介路径；相对而言，经济政策不确定性攀升却导致金融资产投资收益上升刺激了企业虚拟投资活动，投资收益是不确定性影响微观企业虚拟投资的中介路径。（3）政府干预弱化了经济政策不确定性与企业投资行为之间的关系，而市场竞争、公司治理强化了经济政策不确定性与企业投资行为之间的关系。政府干预、市场竞争、公司治理对经济政策不确定性与企业投资行为之间的关系具有显著的调节作用。本文研究力图打开企业资本配置内部结构黑箱，拓展微观企业投资行为研究内容，揭示宏观经济政策不确定性对微观企业投资行为影响的内在机理与路径，为当前全球不确定事件的经济影响以及中国经济"脱实向虚"问题研究提供了有意义的借鉴。

关键词: 不确定性, 实体投资, 虚拟投资, 实物期权

Abstract:

"Black Swan" events continuously emerge and intensify market panic, bringing the uncertainty of global economic policy to a new high. What effects will the uncertainty have on enterprise investment? With an insight into the quarterly data from 2007 to 2016 of listed companies, this paper conducts a positive analysis on EPU's impact on enterprise investment. Based on the monthly Chinese EPU Index developed by Baker et al., our analysis reaches the following conclusions. (1) There is a significant negative correlation between EPU and enterprise physical investment. The rise in uncertainty of economic policy leads to a decline in physical investment. While, vir-tual investment is the opposite. (2) The rise of EPU adds to the investment cost of physical assets. Investment cost is an intermediary path. In contrast, the rise of EPU leads to the increase of virtual investment income, stimulating the enterprise virtual investment. Invest-ment income is an intermediary path. (3) Government intervention weakens the relationship between EPU and enterprise investment. Market competition and corporate governance strengthen it. All the three factors have a significant regulatory role. This paper devotes to o-pening the black box of the internal structure of the enterprise capital allocation, expanding the research content of enterprise investment, and revealing the inherent mechanism and path of how EPU affects enterprise investment. This paper provides enlightenment on the eco-nomic impact of uncertain events and ways in which financial institutions can offer stronger backing for real economy.

Key words: uncertainty, physical investment, virtual investment, real option

徐光伟, 孙铮, 刘星. 经济政策不确定性对企业投资结构偏向的影响——基于中国EPU指数的经验证据[J]. , 2020, 32(1): 246-261.

Xu Guangwei, Sun Zheng, Liu Xing. The Influences of Economic Policy Uncertainty on the Preference of Enterprise Investment Structure: Evidence from China EPU Index[J]. , 2020, 32(1): 246-261.

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