宏观经济、异质治理环境与公允价值顺周期计量实证  

Empirical Research on Macro Economy,Heterogeneous Environment and Procyclicality of Fair Value

作　　者：梅波[1,2] 

机构地区：[1]南京大学会计学系,江苏南京210093 [2]重庆三峡学院会计系,重庆万州404120

出　　处：《经济与管理》2014年第2期53-59,共7页Economy and Management

基　　金：教育部人文社会科学研究青年项目(12YJC790141);国家自然科学基金项目(70962005);国家自然科学基金项目(71262006);教育部新世纪优秀人才支持计划项目(NCET-08-0919)

摘　　要：公允价值顺周期性在金融风险形成中存在重要效应。理论上剖析公允价值顺周期效应的内在机理,探寻多重因素效应于公允价值顺周期的作用机制。实证研究发现:宏观经济形势越好,市场非理性效应加剧了公允价值对金融类资产计量的放大效应,公允价值的顺周期效应越明显;市场化程度越高,公允价值的顺周期效应越明显;相比于非国有企业,国有企业中公允价值计量的顺周期效应越明显。国有企业中宏观经济形势与公允价值计量顺周期性间的敏感性在金融危机前后差异不大,而在非国有企业中差异表现明显,在市场化程度较高的地方越明显,但在市场化越低的上市公司中宏观经济形势与公允价值计量顺周期性间的敏感性在金融危机前后差异不大。Fair value has an important effect on procyclicality of fair risk, this paper theoretically analyzes internal mechanism of procyclicality of fair value and explores effects of multiple factors on procyclicality of fair value. Empirical studies have found that the macroeconomic situation better, irrationality of market exacerbated fair value measurement of financial assets classes amplification effect , procyclical effects of fair value are more obvious ; The degree of market higher, procyclicality of fair value is more obvious ; compared to the non- state-owned enterprises , state-owned enterprises in the fair value measurement procyclicality are more obvious. It is insignificant that the sensitivity of macroeconomic situation and the fair value t between before and after the financial crisis in state-owned enterprises, while the differences in the performance of non-state enterprises is obvious. In the higher level of the market place is obvious, although it is insignificant that the lower level of macroeconomic situation of the listing Corporation and the sensitivity of macroeconomic situation and the fair value measurement between before and after the financial crisis.

关 键 词：宏观经济 治理环境 公允价值 顺周期性 内在机理 

分 类 号：F233[经济管理—会计学]