不确定性风险对企业投资的影响机制分析——基于金融市场摩擦的间接渠道视角

现有研究表明,不确定性风险会通过直接渠道和间接渠道影响企业投资,但着重分析间接渠道的文献较少。文章以1994-2018年中国沪深A股上市公司的财务数据、股票交易数据和中国经济政策不确定性指数为样本,在控制住直接渠道的影响后,实证检验了不确定性风险如何通过金融市场摩擦机制间接影响微观企业的投资行为。研究发现：不确定性风险会通过金融市场摩擦机制来显著增加企业融资成本,降低企业融资数量;且金融市场摩擦机制间接降低企业投资的中介效应显著。在异质性企业的对比中,成本效应对所有企业的影响效果差异不大;而相对于低杠杆、国有化和大规模的企业,数量效应对高杠杆、民营和小规模等高风险企业的影响效果更大。这说明,成本效应和数量效应的影响是系统性的,但数量效应更具结构性特征。

Research on the Effect of Uncertainty Risk on Corporate Investment; Based on the Indirect Channel Perspective of Financial Market Friction

In recent years, preventing and resolving major risks has become the first of "The Three Major Battles" in China, particularly, preventing financial risk has become the top priority of macro-control. Handling the relationship between risk prevention and stabilize economy growth correctly, revolving the costly and difficult financing problems of small and medium-sized private enterprises effectively, have become the guarantee of keeping investment stabilize and improving economy development in China. Existing studies suggest that have showed that uncertainty risk has significant effect on investment through the traditional "Wait and See" direct channel and the "Financial Market Friction" indirect channel. Due to the irreversibility of investment, enterprises emphasize the waiting value of investment decision, and they should invest after uncertainty is resolved, and this is how the "Wait and See" direct channel works. However, the latest papers have showed evidences that uncertainty can reduce investment by the "Financial Market Friction" indirect channel. Based on the Chinese A-Share Listed Companies financial data, stocktrading data and economy policy uncertainty index, our paper empirically tests how macro environment and micro individual uncertainty risk affect investment through financial market friction channel under the control of direct channel. Results show that:under the control of direct channel, uncertainty increases external financing premium and decrease external financing quantity significantly, which further decreases investment.It means that uncertainty can decrease investment by cost effect and quantity effect, and "Financial Market Friction" channel exist significantly. Among heterogeneous corporations, cost effect and quantity effect of financial market friction are all significant. Compared with low leverage corporations, state-owned corporations and large corporations, the intensity of quantity effect is significantly larger in high leverage corporations, private corporations and small corporations which are relatively higher risky, but the intensity of cost effect has no difference among heterogeneous corporations. In other words, both cost effect and quantity effect are systematic, but quantity effect has more structural feature. Our paper has the following implications in China:firstly, macro and micro uncertainty can decrease investment by increasing financing premium and decreasing financing quantity. Thus, macro-control policies should not only focus on macro systematic financial risk, but also pay attention to micro enterprises risks, such as the volatility of stock price. Especially, under the situation that capital market fluctuated wildly, some listed companies may explore to stock pledge risks and bond default risks, which can lead to a rise of financing cost and a drop of financing quantity,then ultimately decline investment. Secondly, quantity effect of uncertainty has more structural characteristics. In order to dredge the transmission mechanism of monetary policy, relevant regulators and financial institution should make specific credit policy and products for high leverage corporations, private corporations and small corporations.