油价不确定性与企业投资  

Uncertainty Shocks to Oil Prices and Firm Investment

作　　者：俞剑[1] 郑文平[2] 程冬 

机构地区：[1]中央财经大学经济学院,北京100081 [2]中国人民大学经济学院,北京100872 [3]范德比尔特大学经济系,美国田纳西州纳什维尔市37235

出　　处：《金融研究》2016年第12期32-47,共16页Journal of Financial Research

基　　金：国家社科基金重点项目(11AZD037);国家社科基金青年项目(16CJL012);中央财经大学青年教师发展基金项目(QJJ1524)的资助

摘　　要：本文利用2000-2015年中国宏观经济数据和1998-2007年中国工业企业调查数据,从宏观和微观两种视角考察了投资对油价不确定性冲击的反应。宏观研究发现,油价不确定性冲击不仅能够解释约12%的固定资产投资波动,而且还对固定资产投资具有短期抑制效应。在微观层面,本文采用基于异质性折旧率计算得到的企业投资,发现油价不确定性冲击在短期内对民营企业和外资企业投资也有抑制效应,但是对国有和集体企业的影响不显著,这一结论随着企业折旧率异质性的程度提高将变得更加明显。进一步分析发现,与非国有企业相比,国有和集体企业的投资行为具有明显的政策导向性,特别是在"十五计划"实施以后,国有和集体企业的投资密度比非国有企业高出约2.1%。这种政策导向性的存在,使得国有和集体企业的投资对油价不确定性冲击的反应并不显著。We investigate the response of Chinese investment to oil price uncertainty shocks, using quarterly macro data spanning the period 2000 - 2015 and annual micro survey data over the period 1998 - 2007. The macro structural VAR analysis reveals that uncertainty shocks to oil prices inhibit aggregate investment in the short run and account for around 12% fluctuations in fixed asset investment. In the micro level, we initiate a new computation method for firm investment using heterogeneous firm - level depreciation rate. The panel- data VAR evidence shows that uncertainty shocks to oil prices hinder firm investment in the short run for private and foreign firms, yet not significantly affecting state - and collectively - owned firms. We also find that the results are more pronounced when we allow for more heterogeneity in depreciation rate to compute finn investment. Further exploration suggests a more policy - oriented feature for investment of state - and collectively ＇ owned firms, which explains its unresponsiveness to oil price uncertainty shocks.

关 键 词：油价不确定性 企业投资 异质性折旧率 面板向量自回归 

分 类 号：F426.22[经济管理—产业经济] F764.1F406.7