短期国际资本流动与我国上市企业融资成本  

Short-term Global Capital Flow and Firms' Cost of Debt

作　　者：韩乾 袁宇菲[3] 吴博强 

机构地区：[1]厦门大学王亚南经济研究院 [2]厦门大学经济学院,361005 [3]对外经济贸易大学国际经济贸易学院,100029 [4]中国金融期货交易所,200122

出　　处：《经济研究》2017年第6期77-89,共13页Economic Research Journal

基　　金：国家自然科学基金项目(编号:71471153);国家自然科学基金重点项目(编号:71631004);厦门大学教育部计量经济学国家重点实验室;高等学校学科创新引智计划(编号:B13028)的资助

摘　　要：随着当今国际金融一体化日益加深,研究短期国际资本流动(热钱)对资本接收国,特别是对新兴市场国家的影响显得尤其重要。本文使用中国上市公司的财务数据研究热钱对上市公司融资成本的影响。研究结果显示,热钱流入能够显著地降低我国上市公司的融资成本,并且这种影响与企业所在城市的对外贸易量密切相关。这主要是因为部分热钱通过虚假贸易进出我国银行系统而造成的。进一步地,本文探究了热钱对不同行业的不同影响,发现制造业企业的融资成本对热钱最为敏感。Over the past decades, the global financial system has become more integrated than ever, and finance has gradually replaced trade as one of the most important channels of risk contagion across countries. A clear understanding of the impact of global capital flow on its recipient countries thus has great significance to both policymakers and market regulators. Despite this, there remains a lack of rigorous empirical studies of how global capital flow impacts recipient countries, especially emerging markets. The literature uses time-series analysis （VAR） of aggregated variables to study the influences of short-term global capital flow （SGCF） on recipient countries. However, VAR analysis may not provide much insight into the channel of how SGCF affects these countries, as it not only overlooks the cross-sectional differences but also suffers from the identification problem. We use a panel data approach to investigate the impact of SGCF on Chinese firms＇ cost of debt, A panel regression not only takes care of the cross-sectional difference of firms, but also controls for fixed effects. This advantage allows us to identify the heterogeneous impact of SGCF across firms. The uniqueness of the Chinese market makes it particularly suitable for such panel data analysis. China is one of the few countries in the world to adopt a managed floating exchange rate system and impose strict control on cross-border capital flows. This causes a significant amount of SGCF to sneak into China＇s bank deposits through faked international trade by artificially inflating export prices and deflating import prices, which implies that custom cities with higher volumes of foreign trade are easier destinations of SGCF. In addition, the markets of bank loans are regionally segmented across different cities, and SGCF is expected to have a heterogeneous influence on the cost of debt of firms in different cities. Therefore, we hypothesize that the cost of debt of firms in these cities should be more sensitive to SGCF than those with lo

关 键 词：短期国际资本流动 国际热钱 融资成本 对外贸易 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]