摘要
利用协整理论对中国3个月期同业拆借利率与上市公司资本结构之间的关系进行了分析.首先采用ADF检验法发现同业拆借利率和资本结构序列均为2阶单整.然后采用Engel-Granger两步法进行协整检验,结果表明同业拆借利率与资本结构之间存在长期稳定的关系.Granger因果检验则表明资产负债率受利率因素的影响.
By applying the co-integration theory, this paper analyzed the relation between 3 month's interest rate of inter-bank market and the capital structure of listed company. Firstly, the use of the augmented Dickey- Fuller method discovered that the two step difference sequences of the interest rate of inter-bank market and the capital structure were the steady sequences. Secondly, the use of the Engel-Granger two step method involved a co-integration examination. The result indicated that there was a long and steady relation between the interest rate of inter-bank market and the capital structure of listed company. The Granger examination indicated that the interest rate influenced the capital structure of listed company.
出处
《湖南大学学报(自然科学版)》
EI
CAS
CSCD
北大核心
2006年第4期132-135,共4页
Journal of Hunan University:Natural Sciences
基金
国家自然科学基金项目(79970015)
全国高校教师奖励计划:教人司[2002123号]
关键词
误差修正
同业拆借利率
资本结构
协整
error correction
interest rate of inter-bank market
capital structure
co-integration