同业拆借利率与上市公司资本结构的协整分析  

Co-Integration Analysis of the Interest Rate of Inter-Bank Market and the Capital Structure of the Listed Company

作　　者：周晖[1] 谢赤[1] 高芳[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《湖南大学学报（自然科学版）》2006年第4期132-135,共4页Journal of Hunan University:Natural Sciences

基　　金：国家自然科学基金项目(79970015);全国高校教师奖励计划:教人司[2002123号]

摘　　要：利用协整理论对中国3个月期同业拆借利率与上市公司资本结构之间的关系进行了分析.首先采用ADF检验法发现同业拆借利率和资本结构序列均为2阶单整.然后采用Engel-Granger两步法进行协整检验,结果表明同业拆借利率与资本结构之间存在长期稳定的关系.Granger因果检验则表明资产负债率受利率因素的影响.By applying the co-integration theory, this paper analyzed the relation between 3 month＇s interest rate of inter-bank market and the capital structure of listed company. Firstly, the use of the augmented Dickey- Fuller method discovered that the two step difference sequences of the interest rate of inter-bank market and the capital structure were the steady sequences. Secondly, the use of the Engel-Granger two step method involved a co-integration examination. The result indicated that there was a long and steady relation between the interest rate of inter-bank market and the capital structure of listed company. The Granger examination indicated that the interest rate influenced the capital structure of listed company.

关 键 词：误差修正 同业拆借利率 资本结构 协整 

分 类 号：F019.3[经济管理—政治经济学]