中国宏微观资本回报率的融合研究  

The Integration of Macro and Micro Capital Returns in China

作　　者：陈英楠[1] 张智威 刘仁和[3] 周舒渲 CHEN Yingnan;ZHANG Zhiwei;LIU Renhe;ZHOU Shuxuana(Department of Finance,School of Economics,Jinan University;Ping An Bank Co.,Ltd.Guangzhou Branch;Department of Finance,College of Economics and Management,South China Agricultural University)

机构地区：[1]暨南大学经济学院金融系,510632 [2]平安银行股份有限公司广州分行,510623 [3]华南农业大学经济管理学院金融系,510642

出　　处：《经济研究》2023年第4期41-57,共17页Economic Research Journal

基　　金：广东省财政专项资金项目(GDZXZJSCAU202054)的资助。

摘　　要：Bai et al.(2006)和CCER“中国经济观察”研究组(2007)为中国宏微观两种数据来源的资本回报率研究奠定了方法论基础,但沿用上述两种方法开展后续研究存在两个有待解决的问题:第一,相似对象下两种方法的宏微观资本回报率测算结果不相等;第二,不同对象间两种方法的宏微观资本回报率测算结果不可比。本文从Cochrane(1991,1996)的资本回报率定义出发,利用投资的q理论构造单一测算思路——资本边际转换率测算方法,将宏微观两种数据来源的资本回报率融合在“资本回报率=资本边际转换率”的经济意义下,实现相似对象的宏微观资本回报率测算结果相等,并将不同对象宏微观资本回报率的对比建立在可比的资本边际转换率基础上。可以证明,Bai et al.(2006)和CCER“中国经济观察”研究组(2007)两种方法分别是本文方法在一定假设条件下的特定应用。综上,本文方法为未来中国资本回报率的相关研究提供了新的方法论基础,可以有效替代Bai et al.(2006)和CCER“中国经济观察”研究组(2007)两种方法。Bai et al.(2006) and CCER(2007) laid the methodological foundations for the study of capital return rates from two kind of data sources, namely the macro and micro levels in China(hereafter referred to as Bai method and CCER method, respectively). However, these two methods differ significantly in their conceptual approach. The Bai method is derived from the capital rental equation proposed by Hall Jorgenson(1967), with its core theoretical basis being the principle of “marginal costs equal marginal revenues” in enterprise investment. In contrast, the CCER method uses accounting identities to obtain a proxy indicator for the average capital return rate, which does not include capital gains. Therefore, employing these two methods to investigate capital return rates from the macro and micro levels in China faces two challenges that require attention. Firstly, for similar objects, the capital return rates calculated by the Bai method and the CCER method for both levels are not equivalent. Secondly, the capital return rates calculated by these two methods for different objects are not comparable.Cochrane(1991, 1996) reinterpreted the q theory of investment and defined capital return rate as the intertemporal marginal transformation rate of capital. According to Cochrane's capital return rate definition, it is theoretically possible to estimate the capital return rate using a single method. Under this single estimation method, the capital return rates of macro and micro data sources for similar objects should be equal to the same marginal transformation rate of capital, while the capital return rates of different objects can be compared using their respective marginal transformation rates of capital. Therefore, we constructed a single estimation formula for the capital return rate based on the q theory of investment, then relaxed the tax deduction conditions step by step, obtaining expressions for the capital return rate under the four tax deduction scenarios. Through the economic meaning of “capital return rate

关 键 词：宏观资本回报率 微观资本回报率 资本边际转换率 

分 类 号：F124[经济管理—世界经济]