经济政策的不确定性对企业违约概率有影响吗? 来自理论分析和中国上市公司的结论

IF 3.8 3区 经济学 Q1 BUSINESS, FINANCE
Junrong Liu , Guoying Deng , Jingzhou Yan , Shibo Ma
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引用次数: 0

摘要

本文通过理论-实证研究探讨了经济政策不确定性(EPU)与企业违约概率(CDP)之间的关系,并记录了经济政策不确定性对企业违约概率的显著正向影响,通过严格的稳健性检验和局部项目估计验证了这一点。研究还指出,债券到期期限结构的增加会系统性地加剧 EPU 对 CDP 的影响。我们的研究结果表明,EPU 带来了企业融资能力的削弱、管理质量的下降、股票流动性的降低和企业情绪的低落,为 CDP 的增长提供了有效的传导机制。此外,国有制、高科技和国际化抑制了 EPU 的 CDP 增加效应,制造业也是如此。而在非国有、低技术、服务和非国际化企业中,这种效应则会加强。我们还强调,EPU 可以稳健地预测随后两年的情况。这项研究表明,企业财务状况能够很好地反映 EPU,相关利益方(包括政府和企业)可以通过考虑 EPU 及其影响 CDP 的属性来改进财务风险管理。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does economic policy uncertainty matter to corporate default probability? findings from theoretic analyses and China’s listed firms
This paper conducts a theoretical–empirical study to investigate the nexus between economic policy uncertainty (EPU) and corporate default probability (CDP) and documents a significant and positive impact of EPU on CDP, which is validated through rigorous robustness tests and local project estimations. The study also reports that the increasing term structure of bond maturity aggravates the impact of EPU on CDP systematically. Our findings pronounce that EPU brings about the erosion of firm financing capacity, management quality deterioration, lowered stock liquidity, and corporate sentimental depression, providing an effective conducting mechanism to breed an increase in CDP. Additionally, state ownership, high technology, and internationalization curtail the CDP-increasing effect of EPU, and the same in the manufacturing sector. Whereas, this effect is intensified in non-state-owned, low-tech, service, and non-internationalized enterprises. We also highlight that EPU can robustly predict in the subsequent 2 years. This study suggests that the corporate financial position well reflects EPU and the relevant stakeholders, both governments and firms, may improve financial risk management by considering EPU and the attribute of its impacting CDP.
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来源期刊
CiteScore
7.30
自引率
8.30%
发文量
168
期刊介绍: The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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