宏观经济不确定性与公司投资行为——基于时期随机效应的实证研究  

Macro-Economic Uncertainty and Investments:An Empirical Study Based on the Random Effect

作　　者：陆庆春[1] 朱晓筱[1] 

机构地区：[1]河海大学商学院,江苏南京211100

出　　处：《河海大学学报（哲学社会科学版）》2013年第1期56-59,63,共5页Journal of Hohai University：Philosophy and Social Sciences

基　　金：江苏省教育厅高校哲学社会科学研究指导项目(2010SJD630039);河海大学中央高校基本科研业务费项目(2009B23314)

摘　　要：运用面板数据的随机效应模型实证分析了我国非金融上市公司2001—2009年直接投资和间接投资行为与宏观经济不确定性之间的关系。研究结果显示:①以GARCH模型计算的宏观经济不确定性对公司直接投资行为和间接投资行为的影响存在差异,即宏观经济不确定性显著抑制公司交易成本较高的直接投资行为,但是与间接投资没有显著的相关性;②相对于间接投资,直接投资是公司的主要投资方式,间接投资则是公司风险管理的工具;③公司的直接投资和间接投资行为均表现出较为显著的惯性特征。This paper studies the relationship between macro-economic uncertainty and the direct and indirect investments of nonfinancial companies by using the random effect model of panel data from 2001 to 2009.It is shown that the macro-economic uncertainty calculated by the GARCH model has different impact on the direct and indirect investments.That is,macroeconomic uncertainty significantly restrains the direct investment,while it has no significant relation with the indirect investment.In addition,direct investment is the main investment of the companies,while the indirect investment is used as the tools of risk controlling.Finally,direct investment and indirect investment are continuous.

关 键 词：直接投资 间接投资 宏观经济不确定性 随机效应 

分 类 号：F830.59[经济管理—金融学]