- : 3,, - GMM,,,Q, Q ;,Q Q,,,,, Q,,,,,,,,, Fazzari (1988),,,, Hoshi (1991) 3 : 433 : keikou@ shufe. edu. cn () ; yinjie@ shufe. edu. cn () 211 9
- :,, ;,,,,,Chapman ( 1996) Goergen Renneboog(1) Shin Park (1999),,,, Fazzari,, Chow Fung(1998)Fazzari,,,,,, Fazzari,(7) Q,, Fazzari (7),, -,-,,-,,,, Q,,,,,,,,, (W hited, 1992),,,,,-, Q Q :; GMM,, - ; 9278
( ) 19 5 W IND 1 () 1996 1997 1998 1999 0 1 2 3 4 5 0. 24 0. 4146 0. 2977 0. 4785 0. 3736 0. 7819 0. 2547 0. 8071 0. 2366 0. 8716 0. 1885 0. 5626 0. 1830 0. 3973 0. 2084 0. 7611 0. 16 0. 4883 0. 1301 0. 6870 0. 2268 0. 6643 0. 1510 0. 2805 0. 1097 0. 2357 0. 10 0. 4829 0. 0505 0. 3804 0. 0646 0. 30-0. 1160 1. 6-0. 0410 1. 1930 0. 0688 0. 5409 0. 0121 0. 6548 0. 0457 0. 8406 0. 0364 0. 71 0. 2364 0. 7164 0. 1 0. 59 0. 1106 0. 4005 0. 0940 0. 4678 0. 0964 0. 4703 0. 1247 0. 5835 0. 0426 0. 4501 0. 0861 0. 4522 0. 0290 0. 4189-0. 0257 0. 3632 0. 0812 0. 4854 0. 0100 0. 9 0. 0215 0. 2303 0. 0059 0. 2590 0. 0624 0. 4387 0. 0100 0. 3661 0. 0192 0. 1894-0. 0031 0. 1 0. 0378 0. 2934-0. 0274 0. 4534 0. 0100 0. 2759 0. 0148 0. 3087-0. 1015 0. 9148 0. 1089 1. 0197 0. 1813 1. 0190 0. 0500 1. 0697 0. 0 1. 2109-0. 1759 1. 5970-0. 4352 3. 2289-0. 5785 4. 2361-0. 5157 1. 8326-0. 7629 2. 1485-0. 2388 2. 2107 0. 4357 0. 5637 0. 4739 0. 5896 0. 5184 0. 6932 0. 5281 0. 6377 0. 6620 0. 8057 0. 6941 0. 8781 0. 6540 0. 8598 0. 6321 0. 7927 0. 6362 1. 4836 0. 5374 0. 9442 0. 5886 0. 8875 : I it i t, I it = [ t( + ) - ( + ) ] / ; CF it i t, CF it = [ t( 9279
- : + ) - ( + ) ] / ; DS it i t, DS it = ( t - ) / ; DL it i t, DL it = ( t - ) / ; W K it - 1 i,w K it - 1 = ( - - ) / ; CASH it - 1 i t - 1, CASH it - 1 = ( + ) / ; Q it - 1 iq, Q it - 1 =/,8, 1998 5 2 () 1996 1997 1998 1999 0 1 2 3 4 5 0. 2363 0. 3 0. 3296 0. 5354 0. 3421 0. 6090 0. 2486 0. 3758 0. 2835 1. 0930 0. 6 0. 5999 0. 1877 0. 4205 0. 2126 0. 7966 0. 1310 0. 2881 0. 1 0. 4830 0. 2213 0. 6111 0. 1242 0. 2421 0. 1326 0. 2607 0. 1239 0. 3423 0. 0677 0. 2844 0. 07 0. 2753-0. 1089 1. 3646-0. 1248 1. 5086 0. 1240 0. 5258 0. 0362 0. 4321 0. 0435 0. 8082 0. 0444 0. 7870 0. 2065 0. 3345 0. 1560 0. 7321 0. 1073 0. 4362 0. 0778 0. 4325 0. 1066 0. 5534 0. 1096 0. 5630 0. 0346 0. 9 0. 0360 0. 3132 0. 0201 0. 3417-0. 0362 0. 2798 0. 0718 0. 4557-0. 0074 0. 1128 0. 0231 0. 2680 0. 0063 0. 3046 0. 0491 0. 2626 0. 0037 0. 4593 0. 0209 0. 1-0. 0194 0. 1434 0. 0412 0. 2085-0. 0306 0. 5449-0. 0224 0. 1064 0. 0069 0. 3001-0. 1888 0. 8749 0. 0104 0. 64 0. 1611 1. 0460 0. 0591 1. 0592 0. 0051 1. 2505-0. 2316 1. 77-0. 6349 4. 2251-0. 8132 5. 5692-0. 4789 1. 8532-0. 6622 1. 7938-0. 2933 2. 6536 0. 4294 0. 4758 0. 4696 0. 43 0. 5643 0. 7737 0. 5706 0. 6083 0. 7049 0. 8494 0. 6917 0. 7577 0. 6 0. 7350 0. 6133 0. 8873 0. 6912 1. 52 0. 5966 1. 1309 0. 6082 0. 9408 9280
1, 2 3, 1,,,,, 3 () 1996 1997 1998 1999 0 1 2 3 4 5 0. 3199 0. 5146 0. 2554 0. 3885 0. 4130 0. 60 0. 2623 1. 1400 0. 17 0. 4550 0. 2097 0. 5128 0. 1771 0. 36 0. 2032 0. 7160 0. 6 0. 6557 0. 1530 0. 8804 0. 2338 0. 63 0. 1863 0. 3227 0. 0793 0. 1947 0. 0862 0. 6160 0. 0288 0. 4748 0. 0253 0. 3450-0. 1249 0. 8751 0. 0638 0. 5863-0. 0009 0. 5530-0. 0181 0. 8556 0. 0484 0. 8823 0. 0264 0. 6435 0. 2759 1. 0242 0. 0659 0. 3 0. 1148 0. 3518 0. 1144 0. 5093 0. 0836 0. 3382 0. 1436 0. 60 0. 0525 0. 5 0. 1494 0. 5769 0. 0401 0. 4996-0. 0124 0. 4473 0. 0931 0. 5205 0. 0329 0. 1259 0. 0194 0. 1690 0. 0054 0. 1876 0. 0792 0. 5909 0. 0179 0. 1932 0. 0 0. 2107 0. 0 0. 1991 0. 0334 0. 3747-0. 0234 0. 3040 0. 0510 0. 3941 0. 0247 0. 3190 0. 0136 0. 88 0. 2397 1. 0885 0. 2066 0. 9866 0. 0 1. 0857 0. 0819 1. 1613-0. 1060 1. 3350-0. 1852 1. 0348-0. 2824 1. 1752-0. 5617 1. 8109-0. 8901 2. 5259-0. 1698 1. 4680 0. 4441 0. 6657 0. 4797 0. 7475 0. 4607 0. 5736 0. 4744 0. 6708 0. 6076 0. 7458 0. 6970 1. 0113 0. 6965 0. 9948 0. 6558 0. 6560 0. 5675 1. 1 0. 4627 0. 6303 0. 5637 0. 8146 : 1 3 1 1, 1,1,, 9281
- : 1, 1 5 ( ),, Q (Bond and Meghir, 1994 ),, Bond Meghir ( 1994 ),,,, ( Goergen and Renneboog, 1),,,, GMMGMM,, : ( Gilchrist and H immelberg, 19; A lti, 3;, 7;, 7; Hoshi et al., 1991; W hited, 1992),,,,, 1.,,, ;,,,,,, 2, 2,,, 9282
Q Q,, Q (1) I it = 1 Q it- 1 + 2 D _P it + 3 D _P_Q it + it (1), it = i + it i IID (0, ) 2 ; i IID (0, ) 2 D _P 1,0 ; D _P_Q D _P Q 4 Q, 4 Q, D _P,, D _P_Q,,Q, Q I z P > z Q 0. 0949 0. 0109 8. 7300 0. 0000 D _P 0. 2509 0. 0400 6. 2800 0. 0000 D _P_Q - 0. 1028 0. 0133-7. 7100 0. 0000 0. 0042 0. 0294 0. 1400 0. 8850 2. Q 1998,Q, 30%Q, 30%Q Q Q,, Q,, QQ 3.,1998,, 30%, 30%,, ;,,,, 1:, 2: Q Q, 3:, ( ),,, ( financial cushion),,, 9283
- :,,,,, I it = 1 I it- 1 + 2 I 2 it- 1 + 3 CF it + 4 DS it + 5 DL it + 6 W K it- 1 + 7 CASH it- 1 + 8 Q it- 1 + it (2), it = i + it, i IID (0, ) 2 ; i IID (0, ) 2,, I it - 1 i, LSDV 1,, A rellano Bond (1991) 55,, 5,,Q,,,, 13, (2) (3), 6 I it z P > z I - 0. 1558 0. 0011-143. 0800 0. 0000 CF 0. 1285 0. 0008. 7600 0. 0000 I 0. 0000 0. 0001 0. 3600 0. 7 DS 0. 4612 0. 0009 488. 7600 0. 0000 DL 0. 5136 0. 0012 440. 4000 0. 0000 W K - 0. 06 0. 0002-469. 5700 0. 0000 CASH 0. 1023 0. 0013 76. 2 0. 0000 Q 0. 0336 0. 0007 45. 0800 0. 0000-0. 0235 0. 0003-80. 7700 0. 0000 :GMM = 1 I it- 1 + 2 I 2 it- 1 + 3 CF it + 4 DS it + 5 DL it + 6 W K it- 1 + 7 CASH it- 1 + 8 Q it- 1 + 9 D _P_CF it + 10 D _T_CF it + 11 D _P_CASH it- 1 + 12 D _P_W K it- 1 + 13 D _T + it (3) 6 z P > z I - 0. 2012 0. 0005 -. 3300 0. 0000 CF 0. 0599 0. 0003 211. 00 0. 0000 I 0. 0030 0. 0000 85. 2100 0. 0000 DS 0. 4281 0. 0003 1233. 7100 0. 0000 DL 0. 5129 0. 0012 415. 8100 0. 0000 W K - 0. 0737 0. 0001-1028. 6900 0. 0000 CASH 0. 0506 0. 0010 50. 1600 0. 0000 Q 0. 0259 0. 0002 120. 8100 0. 0000 D _P_CF 0. 1900 0. 0013 142. 6400 0. 0000 D _T_CF 0. 1427 0. 0003 423. 0100 0. 0000 D _P_CASH 0. 1819 0. 0009 192. 6700 0. 0000 D _P_W K 0. 0004 0. 0004 0. 00 0. 3410 D _T 0. 0109 0. 0004 28. 6300 0. 0000-0. 0228 0. 0001-188. 0500 0. 0000 :GMM chi2 (586) =. 69, Prob > chi2 = 1. 0000 9284 it = i + it, i IID ( 0, ) 2 ; i IID (0, 2 ) D _P 1,0 ; D _ T 11, 1 0 ; D _P _CF it D _P CF it ; D _T _ CF it D _T CF it ; D _P _CASH it - 1 D _P CASH it - 1 ; D _P_W K it - 1 D _P W K it - 1 6, D _P_CF it,,,, D _P_CASH it - 1,,,
1,,, D _T_CF it,,,,, 3,,, ( ), Q Q,, Q, -, (3) (4) I it = 1 I it- 1 + 2 I 2 it- 1 + 3 CF it + 4 DS it + 5 DL it + 6 W K it- 1 + 7 CASH it- 1 + 8 Q it- 1 + 9 D _hh_cf it + 10 D _ll_cf it + 11 D _hh_cash it- 1 + 12 D _ll_cash it- 1 + 13 D _T_CF it + it (4), it = i + it, i IID (0, ) 2 ; i IID (0, ) 2 D _hhq1, 0 ; D _llq1, 0 ; D _hh_cf it D _hh CF it ; D _ll_cf it D _ll CF it ; D _hh_cash it - 1 D _hh CASH it - 1 ; D _ ll_cash it - 1 D _ ll CASH it - 1 77 7, D _hh_cf it 0,, D _ll_cf it 0 Q,,Q, z P > z I - 0. 1081 0. 0022-49. 4900 0. 0000 CF 0. 0922 0. 0018 50. 1 0. 0000 I - 0. 0001 0. 0001-0. 7600 0. 4500 DS 0. 3396 0. 0016 207. 5700 0. 0000, D _hh_cash it - 1 D _ DL 0. 6613 0. 0019 341. 8400 0. 0000 ll_cash it - 1, W K - 0. 0185 0. 0013-14. 7300 0. 0000 CASH 0. 1908 0. 0022 87. 7400 0. 0000, Q Q - 0. 0301 0. 0004-76. 0700 0. 0000 Q D _hh_cf 0. 1237 0. 04 2. 5000 0. 0120 D _T_CF it, D _ll_cf - 0. 0924 0. 0381-2. 4300 0. 0150, D _T_CF 0. 4858 0. 0046 106. 2300 0. 0000, Q D _hh_cash - 0. 0892 0. 0234-3. 8 0. 0000,,Q, D _ll_cash - 0. 0877 0. 0110-7. 9700 0. 0000-0. 0196 0. 0005-36. 4500 0. 0000 :GMM chi2 (363) = 165. 36, Prob > chi2 = 1. 0000 2, - ( ),, Q 9285
- : Q, (4),-, 8 8, 8, D _hh_cf it D _ ll_cf it, z P > z D _hh_cash it - 1 D _ll_cash it - 1 I - 0. 2157 0. 0008-283. 1300 0. 0000, CF 0. 0701 0. 0003 265. 3100 0. 0000, Q I - 0. 0030 0. 0000-59. 6600 0. 0000 Q DS 0. 4856 0. 0014 348. 5900 0. 0000, DL 0. 2746 0. 0025 110. 2900 0. 0000, W K - 0. 0825 0. 0001-1076. 9400 0. 0000, Q CASH 0. 1002 0. 0013 74. 5400 0. 0000, Q 0. 04 0. 0007 140. 4300 0. 0000 D _hh_cf 0. 4617 0. 0222 20. 8000 0. 0000 D _ll_cf 0. 25 0. 0253 10. 7800 0. 0000, D _T_CF 0. 0450 0. 0006 78. 1100 0. 0000 D _hh_cash 0. 1 0. 05 2. 0400 0. 0410, Q it - 1 D _ll_cash 0. 0411 0. 0150 2. 7300 0. 0060 78-0. 0230 0. 0004-63. 8700 0. 0000, :GMM chi2 (363) = 211. 54, Prob > chi2 = 1. 0000-0. 0301, 0. 04, Q,,,, Q,,,,,;, Q Q, -,,, -,,,,,Q Q,, Q ;Q,,,, 9286
Fazzari,,,,,,,,,,,,,,,,,,,,,, : (7) :, 3 (7) : :, 2 A lti, A. How Sensitive Is Investment to Cash Flow W hen Financing is Frictionless. Journal of F inance, 3, 58, pp. 707-2. A rellano, M. and Bond, S. R. Some Tests of Specification of Panel Data: Monte Carlo Evidence and an App lication to Emp loyment Equa2 tions. Review of Econom ic S tudies, 1991, 59, pp. - 297. - 222. Bond, S. R. and Meghir, C. Dynam ic InvestmentModels and Firm s Financial Policy. Review of Econom ic S tudies, 1994, 61 (2), pp. 197 Chapman, D. R; Junor, C. W. and Stegman, T. R. Cash Flow Constraints and Firm s Investment Behaviour. A pplied Econom ics, 1996, 28, pp. 1037-1044. Chow, C. K. W. and Fung, M. K. Y. Ownership Structure, Lending B ias, and L iquidity Constraints: Evidence from Shanghai s Manu2 facturing Sector. Journal of Com parative Econom ics, 1998, 26, pp. 301-316. Fazzari, Steven M. ; Hubbard, R. nom ic Activity, 1988, 1, pp. 141-206. Glenn and Petersen, B ruce C. Financing Constraints and Corporate Investment. B rookings Papers on Eco2 Gilchrist, Simon and H immelberg, Charles P. Evidence on the Role of Cash Flow for Investment. Journal of M onetary Econom ics, 19, 36, pp. 541-5. Goergen, M. and Renneboog, L. Investment Policy, Internal Financing and Ownership Concentration in the UK. Journal of Corporate Fi2 nance, 1, 7, pp. 257-284. Hoshi, Takeo; Kashyap, Anil and Scharfstein, David. Corporate Structure, L iquidity and Investment: Evidence from Japanese Industrial Group s. Q uarterly Journal of Econom ics, 1991, 106, pp. 33-60. Shin, Hyun - Han and Park, Young S. Financing Constraints and Internal Cap ital Markets: Evidence from Korean Chaebols. Journal of Corporate Finance, 1999, 5, pp. 169-191. W hited, ToniM. Debt, L iquidity Constraints and Corporate Investment: Evidence from Panel Data. Journal of Finance, 1992, 47 (4), pp. 1425-1460. (: 8 10:) 9287