企业金融资产配置与全要素生产率之谜——基于中国A股制造业上市公司财务数据的GMM分析

全要素生产率增长放缓的"生产率之谜"根源之一在于企业金融化行为，表现为企业越来越偏好配置金融资产。理论上，企业金融资产配置对全要素生产率存在"储蓄"和"挤出"的双重作用机制。进一步地，基于2008-2016年A股制造业上市公司的财务数据，采用GMM方法，实证了"生产率之谜"来自金融化假说的一个解释。实证结果显示：（1）金融资产配置与TFP二者之间呈现倒U型关系，说明金融资产配置在"TFP增速下降"之谜中扮演了促进因子的角色；（2）金融资产配置的挤出效应大于储蓄效应，表明企业套利动机强于储蓄动机，意味着长期来看TFP增长动力趋于弱化；（3）对TFP作用大小随企业所有权性质呈现出较大差异，非国有制造业企业的"储蓄"效应更加显著，而国有制造业企业则更多的是挤出效应；（4）融资约束越小、杠杆率越高、机构投资者越集中、企业规模越大和托宾Q值越低的企业更加偏好金融资产配置，其通过"挤出"效应而对TFP的负向作用也越大。因此，警惕企业金融活动的过度化，并采用差别化的"疏""堵"结合的金融供给侧结构性改革让制造业企业能"安心做好主业"。

Corporate Financial Asset Allocation and The Puzzle of Total Factor Productivity-A GMM Analysis Based on A-share manufacturing industries Listed Companies

The "productivity puzzle" that growth of total factor productivity is slowing down, One of the roots maybe lie in the financial behavior of enterprises, which shows that enterprises are increasingly prefer to allocate financial assets. In theory, the allocation of corporate financial assets has a dual mechanism of "savings" and "squeezing out" for total factor productivity. Further, Based on the data on the A-share listed companies of manufacturing industry from 2008 to 2016, a GMM method is used to demonstrate the hypothesis of financial interpretation to explicate"productivity mystery".The results show:(1) Although manufacturing enterprises' TFP has been continuously increasing, the allocation of financial assets is not a "promotion factor" in this process, but rather a restraining force. (2) The "crowding out" effect of financial asset allocation is greater than the "savings" effect; it means that the arbitrage motivation of companies is stronger than that of savings. (3) Moreover, The "savings" effect of non-state-owned manufacturing companies is even more pronounced, while the state-owned manufacturing companies are more "extruded". (4) In addition, the smaller the financing constraints, the higher the leverage ratio, the more concentrated the institutional investors, the larger the scale of the enterprise, and the lower the Tobin Q value, the more preference the financial asset allocation has to the "crowd-out"effect. Therefore, we must be alert to the over-expansion of corporate financial activities and adopt a differentiated economic policy of "sparse" and "blocking" so that manufacturing companies can "have peace of mind to do their own job".