我国上市公司资本结构选择的宏观因素影响分析——基于状态空间模型方法  

Analysis of Macro-factors Affecting Capital Structure of Chinese Listed Companies——Based on the method of state-space models

作　　者：杨新宝[1] 叶阿忠[2] 

机构地区：[1]福州外语外贸学院财经系,福建福州350018 [2]福州大学管理学院,福建福州350108

出　　处：《长江大学学报（自然科学版）》2011年第12期22-24,39,共4页Journal of Yangtze University(Natural Science Edition)

摘　　要：为了解宏观因素对我国上市公司资本结构选择的影响,利用2001～2008的季度时间序列数据,选取以利率和通货膨胀为代表的宏观经济变量,通过建立状态空间模型,利用Kalman滤波算法对影响我国上市公司资本结构选择的宏观因素进行分析。研究结果表明,资产负债率与消费价格指数和利率之间虽然不存在不变系数的协整关系,但却存在变系数协整关系;资产负债率与通货膨胀和利率存在负相关关系。To understand the macro-factor affecting capital structure of Chinese listed companies and by usig quarterly time series data from 2001 to 2008,macroeconomic factors represented by interest rates and consumer price index are selected,state-space models are established and Kalman filtering algorithm is used for analyzing the macro-factors affecting the capital structure of Chinese listed companies.The result shows that there exists no co-integration relationship between asset-liability ratio,CPI,and interest rate,but there exists variable co-integration relationship between them.Asset-liability ratio and CPI are correlated negatively,but also asset-liability ratio and rate correlate negatively.

关 键 词：资本结构 宏观经济变量 状态空间模型 协整 

分 类 号：O212.1[理学—概率论与数理统计]