通胀风险与跳扩散冲击下企业最优杠杆策略

Corporate Optimal Leverage Strategy under Inflation and Jump Diffusion

通胀不确定性对企业投融资决策产生影响,进而影响到企业的最优杠杆策略及市场价值。在通胀不确定下建立企业杠杆的动态模型,利用随机微分方程刻画收益过程、短期债务和通胀变化等;进一步通过伊藤公式和动态规划原理推导出企业价值的哈密尔顿-雅克比-贝尔曼(HJB)方程;最后通过数值模拟分析预期通胀率和通胀波动率变化对股权价值、企业价值和杠杆水平的影响,探讨企业的杠杆选择和融资决策。研究结果表明:在考虑跳扩散冲击和股权发行成本的情况下,高预期通胀率将导致低企业价值,而高通胀波动率却对应高企业价值;高预期通胀率可能使企业的杠杆策略更加激进,而高通胀波动率将促使企业采取审慎的杠杆策略。

The uncertainty of inflation affects the investment and financing decisions of enterprises,and then affects the optimal leverage strategy and market value of enterprises.The dynamic model of corporate leverage is established in the uncertain inflation,and the stochastic differential equation is used to describe the income process,short-term debt and inflation changes.The Hamilton-Jacobi-Bellman(HJB)equation of firm value is derived by Ito formula and dynamic programming principle.Finally,the influence of expected inflation rate and inflation volatility on equity value,enterprise value and leverage level is analyzed by numerical simulation,and the leverage choice and financing decision of enterprises are discussed.The results show that high expected inflation rate leads to low enterprise value,while high inflation volatility corresponds to high enterprise value when considering jump diffusion shock and equity issuance cost.High expected inflation may make firms more aggressive in their leverage strategies,while high inflation volatility will prompt firms to adopt prudent leverage strategies.