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1.
企业资产负债表渠道是货币政策信贷传导渠道的表现形式之一。货币政策通过影响借款人的授信能力,从而影响银行对借款人的授信,并作用于借款人的投资活动,从而达到放大货币政策影响力的作用。文章通过对几种具有代表性的经济体中货币政策传导的资产负债表渠道效应进行介绍和比较分析,反映了近来对不同经济体货币政策传导的资产负债表渠道进行研究的最新成果,这些成果将为研究我国货币政策的资产负债表渠道效应提供有价值的借鉴。  相似文献   

2.
段军山 《金融论坛》2006,11(6):53-57
商业银行直接或间接地参与股票市场,就会因股票价格的波动影响银行资产质量进而影响银行资产负债表和银行稳定。理论和实践证明股票价格的急剧波动和银行部门不稳定性扩散之间存在紧密的联系;同时,银行信贷的扩张对股票价格的波动有很大影响。对我国的经验分析表明:银行间信贷市场与股票市场的资金连通存在较强的相关性;上市银行脆弱度与上证综合指数的相关性在5%水平上显著。在综合经营的大背景下,应加强对我国金融脆弱性的识别和监管,疏通货币市场与股票市场正常的资金联系,加强对商业银行的审慎管理,银行自身也要加强风险管理。  相似文献   

3.
通过构建含有企业在不同资本市场上市比例作为利率权重的托宾Q模型,解释说明同时在多地资本市场上市的企业因股票价格具有差异而产生的价格扭曲使托宾Q值的有效性降低。企业整体估值受到多个资本市场的影响,当企业股价产生较大程度的价格扭曲时,管理层会重新审视托宾Q值的可信性,从而对投资产生约束。实证中以中国境内A股市场和中国香港H股市场同时上市企业的年度数据为例,检验理论模型的相关推论,结果发现:价格扭曲现象削弱了企业价值的真实性,使投资—Q敏感度降低,形成企业投资约束;股权上市比例较高的资本市场利率对企业投资影响较大,且股权上市比例越高的市场估值对投资—Q敏感度影响越大;基于不同方法计算的托宾Q值对企业投资的影响具有差异。最后,从促进企业价值回归、提升企业投资效率的角度提出相关建议。  相似文献   

4.
本文考察了房价上涨对企业创新的影响及内在机制,房价上涨会通过"财富效应"及"资产替代效应"对企业研发投资产生正反两方面的影响。本文利用2013~2017年制造业上市企业数据构造了中介效应模型证明:房价上涨的"资产替代效应"起到了主导作用,挤出了企业研发投资,而投资性房地产在其中发挥了部分中介效应。房价对不同融资约束及不同所有制企业研发投资的影响存在差异性。其中,高融资约束企业的研发投资受到房价挤出的影响较小,国有企业受到的挤出影响较大。  相似文献   

5.
商业银行直接或间接地参与股票市场,就会因股票价格的波动影响银行资产质量进而影响银行资产负债表和银行稳定。理论和实践证明股票价格的急剧波动和银行部门不稳定性扩散之间存在紧密的联系;同时,银行信贷的扩张对股票价格的波动有很大影响。对我国的经验分析表明:银行间信贷市场与股票市场的资金连通存在较强的相关性;上市银行脆弱度与上证综合指数的相关性在5%水平上显著。在综合经营的大背景下,应加强对我国金融脆弱性的识别和监管,疏通货币市场与股票市场正常的资金联系,加强对商业银行的审慎管理,银行自身也要加强风险管理。  相似文献   

6.
本文研究了可转债转股行为对标的股票价格的影响,这对可转债的定价具有重要的意义。通过运用事件研究法,对自2001年4月以来上市的可转债转股对标的股票价格的影响进行了实证分析,结果表明:可转债转股在初期会使其标的股票产生显著为正的超额收益,而后随着转股权的执行、股价的下跌,超额收益率显著为负,即可转债转股会对股权产生稀释效应。同时,在剔除指数波动率影响的情况下,实证研究表明可转债转股对股票波动率没有显著的影响。  相似文献   

7.
我们从股票市场的财富效应和投资效应两个方面研究了中国股市与实体经济之间的关系,以此来判断股票市场在货币政策传导机制中所扮演的角色和所处的地位。研究结果表明,我国股票市场的财富效应和投资效应都是存在的,而且随着中国社会的全面转型及金融市场相关制度的改革与完善。股票市场的财富效应和投资效应都出现了很大程度的提高。具体来说。随着中国股市的不断发展和完善,股票市场财富效应正逐渐由弱变强。其对消费的影响主要表现在对耐用品消费支出的影响上。同时,从股票市场财富效应的产生机制来看,中国股票市场既有直接财富效应,也有间接财富效应。从基于2001年和2007年的特征事实可以发现,在中国股票市场进行有效改革前的2001年。间接财富效应非常不明显。而到了2007年。间接财富效应则比较明显。从基于季度数据的协整检验的结果来看,股权分置改革对促进中国股市财富效应的发挥具有较大的改善作用。股票市场投资效应的发挥主要体现在对国有企事业单位投资的影响上。而且股票市场对投资的影响具有方向性。对房地产投资不具有促进作用,并表现出一定的替代效应。从微观层面来看,股票市场的波动会影响企业家的信心,从而影响企业的投资决策。股票市场波动是企业固定资产投资景气指数变化的Granger原因。但是中国股市影响投资的资产负债表渠道不明显。综合股票市场的财富效应和投资效应可以判断,我国股票市场对货币政策的传导效应已越来越显著。由此我们认为。股票价格应当成为我国货币政策的一个风向标,用以帮助中央银行判断未来的经济走势。提高货币政策的有效性。  相似文献   

8.
摘 要:21世纪以来,中国制造业企业进行房地产投资是其“多元化”投资战略的主 要形式之一。本文利用2010-2020年中国 A 股上市制造业企业数据,研究了制造业企业 房地产投资对企业杠杆率的影响,发现制造业企业房地产投资能够提升企业杠杆率。机 制分析表明,制造业企业房地产投资通过发挥挤压效应和抵押效应进而提高企业杠杆率。 制造业企业房地产投资对企业杠杆率的提升作用在非国有企业和小企业中更显著。在区 分长期杠杆率和短期杠杆率后,制造业企业房地产投资对企业杠杆率的提升作用表现在 长期杠杆率方面,同时该提升作用显著提高了企业的财务风险。本文提出企业应当加大 研发创新,促进自身高质量发展;政府监管部门完善系列政策避免制造业企业盲目进行房地产投资而导致“企业空心化”。  相似文献   

9.
本文对货币政策股市传导基本理论和我国股市传导基本现状进行了分析,分析结果表明,第一阶段我国货币政策股市传导是有效的,但是第二阶段不畅通.在股票价格财富效应中,相对于股票二级市场,我国股票一级市场财富更为显著,其中企业上市前的投资所引致的股票财富效应值得关注.随着我国资本市场发展进一步深化,股市在货币政策传导中的作用越来越大,因此中央银行制定货币政策时需要关注股票价格的变化.为了完善股市传导渠道,建议加强上市公司再融资资金用途监管和非法集资监管,促使股票价格q值效应和财富效应发挥作用.  相似文献   

10.
投资作为企业重要活动,其效率在一定程度上受制于货币政策的调整,货币政策通过作用于企业面临的投资机会与融资约束进而影响企业投资效率。运用我国上市企业数据研究发现,货币政策与企业投资效率存在显著相关,货币政策宽松时,企业投资效率较高,而企业所有权性质与所在地区对货币政策与投资效率的关系存在调节作用。本研究结论有助于理解在不同的货币政策状态下,企业投资效率变动的作用途径。同时,从微观企业行为视角评价宏观经济政策的有效性为有关部门制定经济政策提供了依据。  相似文献   

11.
In a capitalist economy, prices serve to equilibrate supply and demand for goods and services, continually changing to reallocate resources to their most efficient uses. However, secondary stock market prices, often viewed as the most “informationally efficient” prices in the economy, have no direct role in the allocation of equity capital since managers have discretion in determining the level of investment. What is the link between stock price informational efficiency and economic efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given the right incentives; and (ii) stock market traders may have important information that managers do not have about the value of prospective investment opportunities. In equilibrium, information in stock prices will guide investment decisions because managers will be compensated based on informative stock prices in the future. The stock market indirectly guides investment by transferring two kinds of information: information about investment opportunities and information about managers' past decisions. However, because this role is only indirect, the link between price efficiency and economic efficiency is tenuous. We show that stock price efficiency is not sufficient for economic efficiency by showing that the model may have another equilibrium in which prices are strong-form efficient, but investment decisions are suboptimal. We also suggest that stock market efficiency is not necessary for investment efficiency by considering a banking system that can serve as an alternative institution for the efficient allocation of investment resources.  相似文献   

12.
以2017—2022年各季度基本养老保险基金投资数据为样本,考察基本养老保险基金投资对股票收益率与股价波动性的影响。结果显示:基本养老保险基金持股比例变化对股票未来收益率有一定预测效应,持股比例增加会加剧股价波动。异质性检验表明,被持股公司规模越大,持股比例变化对股票收益率的影响越不明显,对股价波动性影响的时滞性越强。对于短期持股而言,持股比例增加会加剧股价波动,而对于长期持股而言,持股比例增加有利于稳定股价。鉴于此,应继续推动基本养老保险基金全国统筹,进一步扩大其市场化投资规模、延长投资考核期限,提升基金可持续发展能力。  相似文献   

13.
The classic approach to capital budgeting based on the standard Capital Asset Pricing Model (CAPM) says that the hurdle rate (or cost of capital) for any new project or investment should depend only on the riskiness of that investment. Thus, the hurdle rate, and hence the expected value of the investment, should not be affected by the financial policy of the company evaluating the project. Nor should the hurdle rate be influenced by the company's risk management policy, or by the kind of assets it already has on the balance sheet. This article argues that such a “singlefactor” model may be inappropriate for banks and other financial institutions for two main reasons:
  • ? it is especially costly for banks to raise new external funds on short notice;
  • ? it is costly for banks to hold a buffer stock of equity capital on the balance sheet, even if this equity is accumulated over time through retained earnings.
The single-factor CAPM ignores such costs and, in so doing, understates the true economic costs of “illiquid” bank investments. Illiquid investments require special treatment because they impose risks that, although “diversifiable” by shareholders, cannot be readily hedged by the bank and therefore require it to hold more equity capital. The authors accordingly propose a “two-factor” model for capital budgeting— one in which banks' investment decisions are linked to their capital structure and risk management decisions. One of the key implications of the two-factor model is that a bank should evaluate new investments according to both their correlation with the market portfolio and their correlation with the bank's existing portfolio of unhedgeable risks. The authors describe several potential applications of their model, including the evaluation of proprietary trading operations and the pricing of unhedgeable derivatives positions. They also compare their approach to the RAROC methodology that has been adopted by a number of banks.  相似文献   

14.
This paper examines the effects of monetary policy on firms’ investments in Egypt using disaggregated data and generalized method of moments (GMM) technique. It develops the neoclassical investment model by adding the interaction between user cost of capital and cash flow (CF). Therefore, monetary policy affects investment through three effects: user cost of capital, CF and interaction between them. Using a sample of 124 firms, the empirical finding supports the relevance of balance sheet channel (BSC) and the heterogeneous effect of monetary policy on investment. This finding signals that monetary authority should take cognizance of the stability of interest rate to stabilize firm-level investment.  相似文献   

15.
The degree of control over operations affects the quality of information provided to investors. Uncertainty about operating performance increases following the first equity method (EM) reporting of off‐balance‐sheet investments, but only when the investments are joint ventures (JVs). Partners in JVs report lower levels of debt. These results are not due to informational deficiencies of the EM, but to the riskier nature of JVs. Long‐run stock performance analysis indicates that investors experience normal risk‐adjusted returns when investing in firms with economically significant off‐balance sheet investments.  相似文献   

16.
李波  朱太辉 《金融研究》2020,481(7):134-152
近年来我国利率市场化改革积极推进,实体经济发展积极向创新驱动转型,一个亟须研究厘清的关键问题是,银行业竞争如何驱动企业创新活动?本文关注银行价格竞争对企业创新的影响,以2013—2018年沪深两市的上市企业为样本,采用“中介效应”因果分析模型,实证检验了银行价格竞争对企业研发投资的影响,并识别出以融资约束为中介渠道的作用机制。研究发现,银行价格竞争不仅会提高银行的风险容忍度,直接增加R&D投资的信贷供给意愿,而且还会通过降低贷款价格和增加贷款可得性来缓解企业整体的融资约束,间接促进企业创新活动。这一机制在解除贷款利率管制之后以及在民营企业层面体现得更加明显。本文的研究结果对于深化金融市场化改革、改善金融服务实体经济效果以及实施经济创新驱动发展战略,具有明确的政策启示。  相似文献   

17.
This paper studies how information disclosure affects investment efficiency and investor welfare in a dynamic setting in which a firm makes sequential investments to adjust its capital stock over time. We show that the effects of accounting disclosures on investment efficiency and investor welfare crucially depend on whether such disclosures convey information about the firm's future capital stock (i.e., balance sheet) or about its future operating cash flows (i.e., earnings). Specifically, investment efficiency and investor welfare unambiguously increase in the precision of disclosures that convey information about the future capital stock, since such disclosures mitigate the current owners' incentives to underinvest. In contrast, when accounting reports provide information about future cash flows, the firm can have incentives to either under‐ or overinvest depending on the precision of accounting reports and the expected growth in demand. For such disclosures, investment efficiency and investor welfare are maximized by an intermediate level of precision. The two types of accounting disclosures act as substitutes in that the precision of capital stock disclosures that maximizes investment efficiency (and investor welfare) decreases as cash flow disclosures become more informative and vice versa.  相似文献   

18.
This paper examines corporate financing patterns in Ghana, in particular, whether listed Ghanaian corporations make considerable use of the stock market to finance their growth. The paper also examines econometrically the effect of stock market development on the importance of debt relative to external equity in the balance sheet of Ghanaian firms. The results show that the average listed Ghanaian firm finances its growth mainly from short-term debt. The stock market, however, is the most important source of longterm external finance. Stock market development tends to shift the financial structure of Ghanaian firms toward more equity and less debt. Overall, the evidence suggests that the stock market is a surprisingly important source of finance for funding corporate growth.  相似文献   

19.
The managerial-discretion hypothesis states that in mutual insurance companies policyholders will seek to protect their interests by limiting managerial discretion in investment and financing decisions. Therefore, mutuals are predicted to introduce restrictive mechanisms (e.g., company by-laws) that promote precautionary investment, such as government securities. In stock companies, shareholders are expected to increase their wealth at the expense of policyholders' interests by investing in more speculative assets, such as equities. Differences in investment activity also affect policy valuation and reserving decisions reflected in the liability side of the insurance company balance sheet. The managerial-discretion hypothesis implies that systematic differences in the structure of balance sheets between mutual and stock insurance companies are likely to exist. To carry out an exploratory test of this aspect of the managerial-discretion hypothesis, the present study employs canonical correlation analysis on New Zealand life insurance company data for 1991. However, the empirical evidence does not appear to support the proposition that balance sheet structure varies systematically between mutual and stock companies.  相似文献   

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