经济不确定性与公司投资——基于中国上市公司数据实证分析

Economic Uncertainty and Corporate Investment:An Empirical Analysis of the Data of Listed Companies in China

经济不确定性是影响企业投资的重要因素。通过大维宏观经济数据和动态因子模型可以计算出宏观经济不确定性,并利用Fama-French三因子模型可将宏观经济不确定性指标转化为公司经济不确定性。利用1998—2016年59个中国宏观经济变量数据和中国上市公司数据,对经济不确定性与公司投资之间关系的实证结果表明,随着公司经济不确定性的增加,公司的投资会显著降低,而且对非国有公司、市场化程度高地区的公司更是如此。相关稳健性检验也证实了这一结论的可靠性。进一步研究表明,由于金融摩擦导致的融资约束在其中发挥了中介效应。这些结论为理解公司投资策略提供了一个视角,也为理解经济不确定性对公司投资的影响提供了经验证据。

The economic uncertainty is a key factor that affecting the corporate investment.While the large dimension macroeconomic data and the dynamic factor model are employed to calculate the macroeconomic uncertainty,the Fama-French three-factor model can further transform the index of macroeconomic uncertainty to the corporate economic uncertainty.With the data of 59 microeconomic variables and listed companies in China from 1998 to 2016,this paper carries out an empirical research into the interaction between economic uncertainty and corporate investment,showing that corporate investment will be significantly reduced as the corporate economic uncertainty increases.This is especially true of none state-owned companies and those located in advanced marketization areas.The relevant robustness tests also verify the reliability of this conclusion.Further research indicates that the financing constraints from the financial frictions paly an intermediary role.All these conclusions offer a perspective for the understanding of corporate investment strategies,and some empirical evidence for understanding the impact of economic uncertainty on the corporate investment.