基于贝叶斯动态面板数据模型的民营上市企业债务融资决策  

Bayesian Dynamic Panel Data Model with Application to Debt Financing Analysis of Private Listed Companies

作　　者：朱慧明[1] 张伟[1] 曾昭法[2] 任英华[2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与统计学院,湖南长沙410079

出　　处：《系统工程》2013年第11期27-34,共8页Systems Engineering

基　　金：国家自然科学基金创新研究群体项目(71221001);国家自然科学基金资助项目(71171075;71031004);教育部博士点基金资助项目(20110161110025);湖南省自然科学基金资助项目(11JJ3090)

摘　　要：民营上市企业如何克服债务融资难的问题,为债务融资决策寻找依据一直是企业融资领域的重要课题,通过建立存在严格外生变量的贝叶斯动态面板数据随机效应模型,从企业外部宏观金融环境和内部治理两个方面研究债务融资决策的影响因素;利用Gibbs抽样算法进行模拟仿真,得到模型参数的后验估计值。研究结果表明:民营上市企业当期债务融资水平与前一期负债水平、企业成长性、企业规模、企业与政府关系密切度正相关,与外部宏观金融环境、盈利性以及短期偿债能力负相关,这表明企业的负债具有惯性,处于快速成长阶段、规模越大、与政府关系越密切的民营上市企业负债水平越高;外部宏观金融环境较好并且盈利能力、短期偿债能力越强的民营上市企业负债水平越低。How do private listed companies overcome the problem of debt financing and find the basis for the debt financing decisions has been an important topic of company financing research. We develope a random effect model of Bayesian dynamic panel data with strictly exogenous variables, and then study the determinants of debt financing decision from the perspective of companies external environment and the internal management. We get the Bayesian estimator of the model parameter through MCMC numerical algorithm for simulation based on Gibbs sampling. The study shows that： （1） the debt financing level of private listed companies have a positive correlation with previous debt level, the size of the company, the growth stage of company and business-government relations, hut negatively correlates with external macro-financial environment, the profitability of company and the short-term debt paying ability, implying that the debt financing level of a company has inertia and the private listed companies with faster growth rate, larger size and closer business-government is seen with higher level of company liabilities; （2） the liabilities level of the companies with better external macro-financial environment, stronger profitability and short-term debt paying ability is lower.

关 键 词：债务融资决策 贝叶斯分析 面板数据 动态随机效应 民营上市企业 

分 类 号：F275[经济管理—企业管理]