Market Imperfections,Macroeconomic Conditions,and Capital Structure Dynamics: A Cross-Country Study

This article investigates how “systematic” adjustment costs proxied by market imperfections, and macroeconomic conditions affect capital structure dynamics in a cross-country setting. We document substantial variations in firms’ capital structure adjustments across countries and, particularly, over time. Consistent with adjustment costs impeding firms from rebalancing their capital structures, worse market imperfections are associated with slower speeds of adjustment (SOA) and larger leverage deviations. Intertemporally, capital structure adjustment is procyclical, with SOA increasing by 0.9 percentage point for a one-percentage-point increase in GDP growth rate. The procyclicality is attributable to good macroeconomic conditions mitigating market imperfections through channels of 1) facilitating free-ride restructuring and 2) uncertainty alleviation. Our investigation features a bootstrapping-based estimation method that addresses the mechanical mean reversion of leverage ratio.     

投资效率下滑与劳动力市场结松矛盾的关系

新古典宏观经济学柯布一道格拉斯生产函数揭示了保持合理的资本劳动比率对于促进经济可持续发展的重要意义。数据显示,当前国内资本要素对经济增长的促进作用有所减弱,从生产函数关系看,支持经济增长的最优资本一劳动比率可能发生了变化。文章分析指出,未来几年我国劳动力供给还将处于较高水平,劳动力素质亦呈不断提升趋势,制约劳动力要素释放的因素主要来自于劳动力市场的结构性问题,未来应基于改善劳动力投入要素角度进一步挖掘投资效率。     

Further results on the macroeconomic effects of AIDS: the dualistic, labor-surplus economy.

Analyses by Cuddington in 1993 and forthcoming work from Cuddington and Hancock model the macroeconomic effects of the AIDS epidemic using a modified Solow growth model. This single-sector framework rests upon the assumption that labor and capital are always efficiently allocated throughout the economy with neither market failures nor policy-induced distortions resulting in resource misallocation. Economies in low-income developing countries in sub-Saharan Africa, however, are not operating at capacity. Impact models based upon the potential growth path of economies will therefore significantly overstate the effect of an AIDS epidemic. The author thus incorporates the presence of underemployment and dual labor markets to redress the limitations of these earlier impact models. The dual-economy simulations of the economic impact of AIDS using Tanzanian data suggest that the macroeconomic consequences of the epidemic are of the same order of magnitude as those obtained using a single-sector, full-employment model: gross domestic product (GDP) is 15-25% smaller by 2010 than it would have been without AIDS, and per capita GDP is 0-10% smaller. Output lost from AIDS in the dual-economy framework is approximately the same as the output gain achievable through policies designed to increase labor market flexibility. Findings suggest that serious economic reform in economies fraught with AIDS may lessen the negative economic effects of the epidemic.     

社会信任与企业劳动投资效率

本文从非正式制度的视角,研究了社会信任与企业劳动投资效率的关系。研究发现,社会信任有助于提高企业劳动投资效率。进一步研究表明,社会信任与企业劳动投资效率的相关关系在融资约束越强以及代理冲突更严重的企业中更显著。同时,随着信息不对称程度的加大,社会信任对企业劳动投资效率的提升作用更显著。此外,社会信任对企业劳动投资效率的改善主要表现为降低劳动投资不足,且对雇佣不足与解雇过度两个方面都存在抑制作用。本文丰富了社会信任的经济后果和企业投资效率影响因素的研究,对于揭示社会信任在企业劳动投资中的作用以及提高劳动投资效率具有一定启示意义。     

供给侧结构性改革进程中技术创新效率研究

本文以生产要素内部配置结构调整对边际产出弹性影响为基础,建立包含生产要素内部配置结构的科布-道格拉斯生产函数,对中国工业企业技术创新效率进行实证分析。主要结论有:区域外商投资工业企业比例的增加能提升资本和劳动力边际产出弹性;区域内资工业企业比例的增加能提升劳动力边际产出弹性;政府科技资助与工业企业技术创新效率之间并非简单的线性关系。提高工业企业技术创新效率需要政府科技资助形成一定规模;劳动者素质提高对工业企业技术创新效率产生积极影响。政策建议是:继续加大对外开放力度,优化区域生产要素配置结构;扩大政府科技资助规模,优化政府科技资助结构;有效引导高素质人才流动。     

“一带一路”建设对要素配置效率的影响——基于中国上市工业企业的研究

本文借鉴Hsieh and Klenow(2009)的理论框架,采用2010—2018年中国上市工业企业数据,使用双重差分方法,考察“一带一路”建设对要素配置效率的影响。结果表明,从平均意义上看,“一带一路”建设显著改善了位于重点对接省份企业的劳动配置效率,但对资本配置效率的作用尚不明显。机制分析结果表明,“一带一路”建设主要通过深化重点对接省份的开放水平,尤其是促进它们的双向直接投资规模,改善劳动要素配置效率。进一步研究发现,要素流动表现出“劳动往高处走,资本往低处流”的特征,导致劳动和资本的配置效率出现“分野”:在重点对接“一带一路”的省份,劳动生产率高的企业配置了更多的劳动要素,劳动配置效率得以改善;但由于市场资源配置能力尚未得到充分释放,资本生产率高的企业在资本要素获取上还未体现出明显优势。     

The determinants of venture capital funding: evidence across countries

This paper analyses the determinants of venture capital for a sample of 21 countries. In particular, we consider the importance of initial public offerings (IPOs), gross domestic product (GDP) and market capitalization growth, labor market rigidities, accounting standards, private pension funds, and government programs. We find that IPOs are the strongest driver of venture capital investing. Private pension fund levels are a significant determinant over time but not across countries. Surprisingly, GDP and market capitalization growth are not significant. Government policies can have a strong impact, both by setting the regulatory stage, and by galvanizing investment during downturns. Finally, we also show that different types of venture capital financing are affected differently by these factors. In particular, early stage venture capital investing is negatively impacted by labor market rigidities, while later stage is not. IPOs have no effect on early stage venture capital investing across countries, but are a significant determinant of later stage venture capital investing across countries. Finally, government funded venture capital has different sensitivities to the determinants of venture capital than non-government funded venture capital. Our insights emphasize the need for a more differentiated approach to venture capital, both from a research as well as from a policy perspective. We feel that while later stage venture capital investing is well understood, early stage and government funded investments still require more extensive research.     

中国潜在产出的综合测算及其政策含义

本文分别利用生产函数法、状态空间模型、宏观计量经济模型及DSGE模型四种方法,对我国1993-2018年的潜在产出进行了估算,详细分析了其变动原因和政策含义,并给出未来10年的趋势预测。主要结论有:(1)1993-2018年我国潜在产出呈现出逐步放缓走势,平均增长率为9.4%,略低于9.5%的实际GDP平均增长率。其中,全要素生产率趋势平均增速为3.6%,资本投入平均增速为11.7%,劳动力投入平均增速为0.6%,对潜在产出增速的平均贡献率分别为38.3%、58.3%和3.4%。(2)近年来潜在产出增速的趋势性放缓主要源于高投资并未形成有效资本,进而导致有效资本投入对潜在产出的拉动力持续走低。而投资专有技术进步放缓,投资调整成本上升,资本形成效率快速下降,是有效资本投入不足和潜在产出放缓的深层次原因。这也是供给侧结构性改革的理论基础。(3)劳动力市场搜寻成本较高,供需结构不匹配,导致劳动的增长贡献率较低,我国的人口优势并未得到充分利用和有效发挥,进一步加剧了近年来潜在产出增速的趋势性放缓。(4)如果不推动供给侧结构性改革,未来5-10年我国潜在产出平均增速仍将缓慢下降。与发达经济体相比,我国潜在产出增长仍有较大提升空间,尤其在劳动投入方面。(5)政策上,应在平衡好短期需求与中长期改革目标基础上,以结构性改革为导向,完善劳动力市场,提高劳动力质量,降低就业主体的搜寻成本。着力促进全要素生产率提升,更加注重优化投资质量和结构,提高投资专有技术进步水平。     

Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns

Using comprehensive firm‐ and aggregate‐level data, this paper studies the real and financial implications of capital market imperfections. We first examine whether financially constrained firms' business fundamentals (capital spending and operating earnings) are more sensitive to macroeconomic movements than unconstrained firms' fundamentals. We then examine whether financial constraint “return factors” respond to macroeconomic shocks in tandem with the responses from business fundamentals. The evidence in this paper points to financial constraints affecting both fundamental quantities and asset returns.     

Efficiency,Scale Economies,and the Risk/Return Performance of Real Estate Investment Trusts

Estimates from a directional output distance function are used to construct a risk/return frontier that defines the best-practice management technology for Real Estate Investment Trusts (REITs). We model REIT performance as a production process in which each REIT produces a desirable output (return) and an undesirable output (risk) using inputs of managerial effort and financial capital. The results suggest that ignoring the effects of risk yields a management technology that is significantly different from one that incorporates risk. In addition, market valuation is inversely related to inefficiency and directly related to leverage.     

中美资本市场财富效应比较研究

本文从股利支付和资本利得的角度对比分析了中美资本市场财富效应水平,并对其影响因素展开分析。研究发现,我国资本市场财富效应不够显著,A股上市公司虽然具有较高的股利支付倾向,但股利支付率和资本利得属性较弱;股利支付行为迎合监管动机较强,融资分红特征明显,股票股利支付行为具有高送转特征;资本市场估值中枢下移,指数波动性较高,资本利得属性较差。美股上市公司虽然股利支付意愿不及A股,但股利支付率和资本利得属性较强,且上市公司不存在明显的融资分红倾向。基于此,本文从控股股东属性、企业生命周期、管理层侵占行为、宏观经济和资本市场环境四个维度对A股市场财富效应水平展开深入探讨,并从提升公司质量、改善盈利能力、调整投资者结构、加强市场建设、优化股利监管制度五方面提出了改善我国资本市场财富效应的政策建议。     

Does environmental regulation affect capital-labor ratio of manufacturing enterprises: Evidence from China

Currently, China faces the dual pressures of finding ways to address the unstable ecological environment improvement and rising labor costs. All sectors of society are concerned about how to perfect the structure of enterprise factors input to improve production efficiency and adapt to high-quality economic development. This paper examines the impact of environmental regulation on the capital-labor ratio of manufacturing enterprises in China. The results indicate that the implementation of the new EPL (Environmental Protection Law) increases the capital-labor ratio of heavy polluting manufacturing enterprises. This conclusion is still robust to parallel trend tests, considering sample selection bias, random factors, as well as expected effects. Enterprises response to the new EPL by increasing capital factors input and hiring high-skilled labor, which is in line with the capital-skill complementarity hypothesis and reflects the views of Karabarbounis and Neiman (2014). In addition, this study investigates the effects of capital deepening on the production and operational efficiency of heavy-polluting manufacturing firms. Results show that the implementation of the new EPL can facilitate the reduction of enterprise's production costs and the improvement of total factor productivity.     

宏观经济因素与经常项目失衡的调整:跨国经验及其对中国的启示

本文利用1980年至2005年全球范围内106个国家或地区的相关经济数据,确定了经常项目失衡调整的事后标准,进而识别出经常项目失衡的不同调整期间。借助于调整期间的界定,本文针对宏观经济因素与经常项目失衡的调整问题进行了实证研究。基于跨国数据的实证研究结果表明了一些宏观经济变量对经常项目失衡的调整具有显著的影响作用,例如固定资本形成、贸易条件变化以及官方储备等。本文合理借鉴了经常项目失衡调整的跨国经验,并且结合中国经济实际情况针对中国经常项目的盈余调整给出了相关政策建议。     

Labor cost voluntary disclosures and firm equity values: Is human capital information value-relevant?

This study examines the market value relevance of labor cost voluntary disclosures using a valuation model relating firm market values to book values of equity and to disclosed human capital information, such as labor costs, net pension liabilities (NPLs), and estimated average and marginal labor productivity and efficiency indicators. Results indicate that labor cost disclosing companies command higher equity market values in general, and that labor productivity and efficiency measures appear to be undervalued. Both findings suggest that there might be market opportunities for firms with valuable human capital to differentiate themselves from their industry peers, which might encourage further human capital disclosure in the future. More refined measures of human capital assets and investments are needed to assess firms’ human resource management decisions and performance impacts in the capital markets more adequately.     

兼并收购可以促进劳动力结构优化升级吗？

本文使用2000-2016年我国沪深A股上市公司数据,实证研究了公司被并购对其劳动力结构的影响。研究发现,公司被并购带来公司的劳动力结构优化升级,即公司会增加非常规高技能劳动力占比和高学历劳动力占比,降低常规低技能劳动力占比。渠道检验发现,并购会通过降低企业融资约束,促进企业生产技术升级来促进企业的劳动力结构优化升级。异质性分析发现并购对劳动力结构优化升级的影响在非完全换股并购和低绩效企业中更为显著。     

Taxing Mobile Capital with Labor Market Imperfections

Taxing internationally mobile factors of production has been dismissed as an inefficient means of raising tax revenue. This paper addresses the question of whether it is efficient to tax capital at source when labor markets and the taxation of lumpsum income suffer from imperfections. Four reasons for taxing capital are identified: (i) institutional constraints rendering any taxation of profit income infeasible; (ii) market power in the demand for labor; (iii) market power in the supply of labor if it increases with the employment of capital; (iv) unemployment benefits that are not tied to net real wages. It is argued that the case for taxing capital is not particularly strong. By reinterpreting capital as energy the results are applicable to the discussion about ecological tax reforms.     

影响企业并购的宏观经济因素分析——基于企业并购理论与中国市场实践的实证研究

2008年全球金融危机以来,世界范围内掀起了一股企业并购的高潮。影响企业并购的发生有诸多因素,本文以企业并购的相关理论为基础,结合中国企业并购的现实,用计量实证研究方法,构建中国企业并购的宏观经济影响因素模型,旨在研究影响中国企业并购的宏观经济因素。     

金融危机以来跨境资金流动与人民币汇率预期、境内外利差间互动关系的实证研究

跨境资金流动、人民币汇率预期、境内外利差是影响我国金融市场稳定的三个重要因素。文章通过对这三者时间序列的实证分析,考察这三个因素之间的长短期内在影响效应,并根据实证分析结论,从维护我国国际收支平衡与深入推进利率、汇率市场化改革大局着眼,就营造和谐市场环境提出相关政策建议。     

国际资本异常流动对经济增长具有非线性效应吗?--基于汇率制度和金融市场发展视角

本文基于64个经济体1999-2017年的季度面板数据,采用工具变量广义矩估计(IV-GMM)方法,从汇率制度和金融市场发展视角研究国际资本异常流动对经济增长的非线性效应。研究表明,资本流动激增显著促进了经济增长,资本流动中断、外逃和撤回对经济增长具有负向影响。有弹性的汇率制度显著减弱了四种资本异常流动情形对经济增长的冲击效应;金融市场发展显著降低了激增、中断和撤回对经济增长的冲击影响,强化了外逃对经济增长的冲击效应。随着汇率制度弹性和金融发展程度变化,新兴经济体与发达经济体资本外逃对经济增长的影响呈现明显的异质性。本文结论对于各国防范国际资本异常流动风险、维护国内经济金融稳定,以及稳步有序推进汇率市场化改革和金融市场建设具有重要的参考价值。     

Economic forces and seasonality in secirity returns

This article finds strong seasonal behavior in the innovations for three Canadian macroeconomic variables (industrial production, unexpected inflation and GDP). An APT model is estimated as a restricted nonlinear multivariate regression system using seven macroeconomic variables, various residual market factor (RMF) proxies, and the returns on fifty size related portfolios of equities that traded on the Toronto Stock Exchange (TSE). As in Chen, Roll and Ross (1986), five macrofactors (lagged industrial production, lagged GDP, term structure, unexpected inflation, and risk premium) have significantly priced risk premia. The risk premia are insignificant for RMF based on two value weighted indices, and marginally significant (0.10 level) for the RMF based on an equally weighted index, which is somewhat consistent with McElroy and Burmeister (1988) and Brown and Otsuki (1989). The significance of the RMF risk premium appears not to be robust to whether portfolios or individual securities are used in the estimations. The significance of the estimated risk premia for the macrofactors also appear not to be robust to the number of portfolios (equations) used in the estimations. Unlike the risk premia estimates for the RMF, those for the other macrofactors are generally unaffected by the inclusion of a January dummy. This implies that the January seasonal remains a market phenomenon that requires further study.