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題名 金融自由化、經濟政策不確定性與公司資本結構
Financial Liberalization, Economic Policy Uncertainty and Corporate Capital Structure作者 廖俊凱
Liao, Jun-Kai貢獻者 陳嬿如
Chen, Yenn-Ru
廖俊凱
Liao, Jun-Kai關鍵詞 金融自由化
經濟政策不確定性
資本結構
Financial liberalization
Economic policy uncertainty
capital structure日期 2021 上傳時間 4-Aug-2021 14:44:54 (UTC+8) 摘要 過去對於資本結構的研究族繁不及備戴，但對金融自由化程度與公司的融資決策或資本結構的研究討論相對較少，且多半是集中在特定的國家。這些研究多半發現金融自由化對於公司槓桿比率有負向關係，其原因可能在於當法規限制解除後，公司獲得了新的融資管道，抑或是能取得較便宜的權益資金。但金融自由化多半會牽涉到國家的法規限制且可能使外部融資環境改變，可能對該國帶來更多不確定性。因此本研究將經濟政策不確定性加入討論，先觀察其與金融自由化之間的關係，再結合金融自由化指標來探討對於公司槓桿比率的影響。而本研究以兩種不同的金融自由化指標KAOPEN與TOTAL作為金融自由化的衡量指標，樣本為涵蓋經濟政策不確定性指數有衡量國家中資本市場的所有掛牌公司，期間則自1985年至2020年。實證結果發現金融自由化指標對於經濟政策不確定性影響沒有顯著關係，至於KAOPEN對於公司槓桿比率則有顯著負向影響，這與過去Mitton（2006）的研究結果相似，但TOTAL與公司槓桿比率則無顯著關係，至於經濟政策不確定性則多為不顯著影響。在異質性分析當中不同金融自由化指標則會產生不同結果，說明法規層面跟實際上的資本流動對公司槓桿比率影響仍存在差異，至於EPU則仍存在更多討論空間。
In the past few decades, there have been a lot of studies on Corporate Capital Structure. Instead, discussions on Financial Liberalization and Corporate Capital Structure were still not enough and most of them focused on specific area or countries. The potential reasons for this result is that company may have new equity financing channel and the lower cost of equity capital after government lifted the regulatory restrictions. However, financial liberalization will most likely involve regulatory restrictions and may change the external financing environment, which could bring more uncertainty to the country. That is why economic policy uncertainty is included in this study. First, we analyzed the relationship between economic policy uncertainty and financial liberalization. Then our study used two financial liberalization indicators KAOPEN and TOTAL combined with policy uncertainty index to discuss the relationship with corporate leverage. We use all listed companies in the countries covered by EPU index as the sample for the period from 1985 to 2020.We found that financial liberalization has no significant impact on economic policy uncertainty. Then KAOPEN has significant negative relationship with corporate leverage which is similar to the previous result of Mitton(2006). But there is no significant relationship between TOTAL and leverage. Neither is EPU and leverage. In the heterogeneity analysis, KAOPEN and TOTAL show different results, indicating that there are still differences between de jure and de facto measurement on the company`s leverage ratio.As for policy uncertainty, there is still more room for discussion.參考文獻 Aktham Maghyereh, 2005. “The Capital Structure Choice and Financial Market Liberalization: A Panel Data Analysis and GMM Estimation in Jordan" Journal of Economics and Management 13, no.1.Arbatli, E., S.J. Davis, A. Ito, and N. Miake, 2019. "Policy Uncertainty in Japan," NBER Working Paper 23411. Revised, August 2019. Forthcoming in The Economic Challenges of Japan`s Aging and Shrinking Population, International Monetary Fund, edited by Paul Cashin and Todd Schneider.Armelius, H., I. Hull, and H.S. Köhler, 2017. "The Timing of Uncertainty Shocks in a Small Open Economy," Economics Letters, 155 (June), 31-34.Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141. doi: 10.1016/j.frl.2016.04.011Baker, M., & Wurgler, J. (2002). Market Timing and Capital Structure. The Journal Of Finance, 57(1), 1-32. doi: 10.1111/1540-6261.00414Baker, S. R., N. Bloom, and S. J. Davis, 2016. "Measuring Economic Policy Uncertainty," Quarterly Journal of Economics, 131, no. 4 (November), 1593-1636.Baker, S.R., N. Bloom, S.J. Davis and Xiaoxi Wang, 2013. "Economic Policy Uncertainty in China," unpublished paper, University of Chicago.Barraza, S., & Civelli, A. (2020). Economic Policy Uncertainty and the Supply of Business Loans. Journal Of Banking & Finance, 105983. doi: 10.1016/j.jbankfin.2020.105983Cerda, R., A. Silva and J. T. Valente, 2016. "Economic Policy Uncertainty Indices for Chile," working paper.Chinn, M., & Ito, H. (2006). What matters for financial development? Capital controls, institutions, and interactions. Journal Of Development Economics, 81(1), 163-192. doi: 10.1016/j.jdeveco.2005.05.010Chinn, Menzie D. and Hiro Ito (2008). "A New Measure of Financial Openness". Journal of Comparative Policy Analysis, Volume 10, Issue 3, p. 309 – 322 (September).Davis, S. J., 2016. "An Index of Global Economic Policy Uncertainty." Macroeconomic Review, October. Also available as NBER Working Paper No. 22740.Davis, S. J., Dingquian Liu and Xuguang Simon Sheng, 2019. "Economic Policy Uncertainty in China Since 1946: The View from Mainland Newspapers," working paper, August.DUTT, P. and MIHOV, I., 2013. Stock Market Comovements and Industrial Structure. Journal of Money, Credit and Banking, 45(5), pp.891-911.Flavin, T. and O`Connor, T., 2010. The Sequencing of Stock Market Liberalization Events and Corporate Financing Decisions. SSRN Electronic Journal,.Ghirelli, C., J.J. Perez, and A. Urtasun, 2019. "A New Economic Policy Uncertainty Index for Spain," Bank of Spain, WorkingPaper No., 1906.Gil, M. and D. Silva, 2018. "Economic Policy Uncertainty Indices for Colombia," working paper.Hamrouni, A., Boussaada, R., & Ben Farhat Toumi, N. (2019). Corporate social responsibility disclosure and debt financing. Journal Of Applied Accounting Research, 20(4), 394-415. doi: 10.1108/jaar-01-2018-0020Hardouvelis, G. A., G. I. Karalas, D. I. Karanastasis and P. K. Samartzis, 2018. "Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis," working paper, May.Henry, P., 2000. Do stock market liberalizations cause investment booms?. Journal of Financial Economics, 58(1-2), pp.301-334.Iqbal, A., & Kume, O. (2014). Impact of Financial Crisis on Firms’ Capital Structure in UK, France, and Germany. Multinational Finance Journal, 18(3/4), 249-280. doi: 10.17578/18-3/4-3Kaviani, M., Kryzanowski, L., Maleki, H., & Savor, P. (2020). Policy uncertainty and corporate credit spreads. Journal Of Financial Economics. doi: 10.1016/j.jfineco.2020.07.001Kayhan, A., & Titman, S. (2007). Firms’ histories and their capital structures☆. Journal Of Financial Economics, 83(1), 1-32. doi: 10.1016/j.jfineco.2005.10.007Khurana, I. K., Martin, X., & Pereira, R. (2006). Financial development and the cash flow sensitivity of cash. Journal of Financial and Quantitative Analysis, 41(04), 787-808.Kroese, L., S. Kok and J. Parlevliet, 2015. "Beleidsonzekerheid in Nederland," Economisch Statistische Berichten, No. 4715, pp. 464-467.Lane, P. R., & Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of international Economics, 73(2), 223-250.Love, I. (2003). Financial development and financing constraints: International evidence from the structural investment model. Review of Financial Studies, 16(3), 765-791.Lucey, B. and Zhang, Q., 2011. Financial integration and emerging markets capital structure. Journal of Banking & Finance, 35(5), pp.1228-1238.Mitton, T., 2006. Stock market liberalization and operating performance at the firm level. Journal of Financial Economics, 81(3), pp.625-647.Moshirian, F., Tian, X., Zhang, B., & Zhang, W. (2020). Stock market liberalization and innovation. Journal of Financial Economics. doi:10.1016/j.jfineco.2020.08.018Porta, R. L., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1998). Law and finance. Journal of political economy, 106(6), 1113-1155.Stulz, R. (1999). GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL. Journal Of Applied Corporate Finance, 12(3), 8-25. doi: 10.1111/j.1745-6622.1999.tb00027.xStulz, R.M., 1995. International portfolio choice and asset pricing: an integrative survey. In: Maximovic, V., Ziemba, W. (Eds.), The Handbook of Modern Finance. North-Holland, Amsterdam, pp. 201-223.Stulz, R.M., 1999a. International portfolio flows and security markets. Unpublished Working Paper No. 99-3. Dice Center for Financial Economics, The Ohio State University, Columbus, OH.Vithessonthi, C., & Tongurai, J. (2015). The effect of firm size on the leverage–performance relationship during the financial crisis of 2007–2009. Journal Of Multinational Financial Management, 29, 1-29. doi: 10.1016/j.mulfin.2014.11.001Zalla, R., 2016. "Economic Policy Uncertainty in Ireland," working paper, 20 September.Zhang, D., Lei, L., Ji, Q., & Kutan, A. (2019). Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling, 79, 47-56. doi: 10.1016/j.econmod.2018.09.028Zhang, G., Han, J., Pan, Z., & Huang, H. (2015). Economic policy uncertainty and capital structure choice: Evidence from China. Economic Systems, 39(3), 439-457. doi: 10.1016/j.ecosys.2015.06.003 描述 碩士
國立政治大學
財務管理學系
108357023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357023 資料類型 thesis dc.contributor.advisor 陳嬿如 zh_TW dc.contributor.advisor Chen, Yenn-Ru en_US dc.contributor.author (Authors) 廖俊凱 zh_TW dc.contributor.author (Authors) Liao, Jun-Kai en_US dc.creator (作者) 廖俊凱 zh_TW dc.creator (作者) Liao, Jun-Kai en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:44:54 (UTC+8) - dc.date.available 4-Aug-2021 14:44:54 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:44:54 (UTC+8) - dc.identifier (Other Identifiers) G0108357023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136332 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357023 zh_TW dc.description.abstract (摘要) 過去對於資本結構的研究族繁不及備戴，但對金融自由化程度與公司的融資決策或資本結構的研究討論相對較少，且多半是集中在特定的國家。這些研究多半發現金融自由化對於公司槓桿比率有負向關係，其原因可能在於當法規限制解除後，公司獲得了新的融資管道，抑或是能取得較便宜的權益資金。但金融自由化多半會牽涉到國家的法規限制且可能使外部融資環境改變，可能對該國帶來更多不確定性。因此本研究將經濟政策不確定性加入討論，先觀察其與金融自由化之間的關係，再結合金融自由化指標來探討對於公司槓桿比率的影響。而本研究以兩種不同的金融自由化指標KAOPEN與TOTAL作為金融自由化的衡量指標，樣本為涵蓋經濟政策不確定性指數有衡量國家中資本市場的所有掛牌公司，期間則自1985年至2020年。實證結果發現金融自由化指標對於經濟政策不確定性影響沒有顯著關係，至於KAOPEN對於公司槓桿比率則有顯著負向影響，這與過去Mitton（2006）的研究結果相似，但TOTAL與公司槓桿比率則無顯著關係，至於經濟政策不確定性則多為不顯著影響。在異質性分析當中不同金融自由化指標則會產生不同結果，說明法規層面跟實際上的資本流動對公司槓桿比率影響仍存在差異，至於EPU則仍存在更多討論空間。 zh_TW dc.description.abstract (摘要) In the past few decades, there have been a lot of studies on Corporate Capital Structure. Instead, discussions on Financial Liberalization and Corporate Capital Structure were still not enough and most of them focused on specific area or countries. The potential reasons for this result is that company may have new equity financing channel and the lower cost of equity capital after government lifted the regulatory restrictions. However, financial liberalization will most likely involve regulatory restrictions and may change the external financing environment, which could bring more uncertainty to the country. That is why economic policy uncertainty is included in this study. First, we analyzed the relationship between economic policy uncertainty and financial liberalization. Then our study used two financial liberalization indicators KAOPEN and TOTAL combined with policy uncertainty index to discuss the relationship with corporate leverage. We use all listed companies in the countries covered by EPU index as the sample for the period from 1985 to 2020.We found that financial liberalization has no significant impact on economic policy uncertainty. Then KAOPEN has significant negative relationship with corporate leverage which is similar to the previous result of Mitton(2006). But there is no significant relationship between TOTAL and leverage. Neither is EPU and leverage. In the heterogeneity analysis, KAOPEN and TOTAL show different results, indicating that there are still differences between de jure and de facto measurement on the company`s leverage ratio.As for policy uncertainty, there is still more room for discussion. en_US dc.description.tableofcontents 第一章 緒論 8第一節 研究動機 8第二節 研究架構 10第二章 文獻回顧 12第一節 金融自由化程度 12第二節 經濟政策不確定性 14第三節 公司資本結構 16第四節 研究假說 17第三章 研究方法 19第一節 樣本選取與資料來源 19第二節 主要解釋變數定義與說明 20第三節 實證模型 23第四章 實證結果與分析 24第一節 敘述統計 24第二節 相關係數 24第三節 實證結果分析 25第五章 結論 31第一節 研究結論 31第二節 研究限制與建議 32參考文獻 34 zh_TW dc.format.extent 3177448 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357023 en_US dc.subject (關鍵詞) 金融自由化 zh_TW dc.subject (關鍵詞) 經濟政策不確定性 zh_TW dc.subject (關鍵詞) 資本結構 zh_TW dc.subject (關鍵詞) Financial liberalization en_US dc.subject (關鍵詞) Economic policy uncertainty en_US dc.subject (關鍵詞) capital structure en_US dc.title (題名) 金融自由化、經濟政策不確定性與公司資本結構 zh_TW dc.title (題名) Financial Liberalization, Economic Policy Uncertainty and Corporate Capital Structure en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aktham Maghyereh, 2005. “The Capital Structure Choice and Financial Market Liberalization: A Panel Data Analysis and GMM Estimation in Jordan" Journal of Economics and Management 13, no.1.Arbatli, E., S.J. Davis, A. Ito, and N. Miake, 2019. "Policy Uncertainty in Japan," NBER Working Paper 23411. Revised, August 2019. Forthcoming in The Economic Challenges of Japan`s Aging and Shrinking Population, International Monetary Fund, edited by Paul Cashin and Todd Schneider.Armelius, H., I. Hull, and H.S. Köhler, 2017. "The Timing of Uncertainty Shocks in a Small Open Economy," Economics Letters, 155 (June), 31-34.Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141. doi: 10.1016/j.frl.2016.04.011Baker, M., & Wurgler, J. (2002). Market Timing and Capital Structure. The Journal Of Finance, 57(1), 1-32. doi: 10.1111/1540-6261.00414Baker, S. R., N. Bloom, and S. J. Davis, 2016. "Measuring Economic Policy Uncertainty," Quarterly Journal of Economics, 131, no. 4 (November), 1593-1636.Baker, S.R., N. Bloom, S.J. Davis and Xiaoxi Wang, 2013. "Economic Policy Uncertainty in China," unpublished paper, University of Chicago.Barraza, S., & Civelli, A. (2020). Economic Policy Uncertainty and the Supply of Business Loans. Journal Of Banking & Finance, 105983. doi: 10.1016/j.jbankfin.2020.105983Cerda, R., A. Silva and J. T. Valente, 2016. "Economic Policy Uncertainty Indices for Chile," working paper.Chinn, M., & Ito, H. (2006). What matters for financial development? Capital controls, institutions, and interactions. Journal Of Development Economics, 81(1), 163-192. doi: 10.1016/j.jdeveco.2005.05.010Chinn, Menzie D. and Hiro Ito (2008). "A New Measure of Financial Openness". Journal of Comparative Policy Analysis, Volume 10, Issue 3, p. 309 – 322 (September).Davis, S. J., 2016. "An Index of Global Economic Policy Uncertainty." Macroeconomic Review, October. Also available as NBER Working Paper No. 22740.Davis, S. J., Dingquian Liu and Xuguang Simon Sheng, 2019. "Economic Policy Uncertainty in China Since 1946: The View from Mainland Newspapers," working paper, August.DUTT, P. and MIHOV, I., 2013. Stock Market Comovements and Industrial Structure. Journal of Money, Credit and Banking, 45(5), pp.891-911.Flavin, T. and O`Connor, T., 2010. The Sequencing of Stock Market Liberalization Events and Corporate Financing Decisions. SSRN Electronic Journal,.Ghirelli, C., J.J. Perez, and A. Urtasun, 2019. "A New Economic Policy Uncertainty Index for Spain," Bank of Spain, WorkingPaper No., 1906.Gil, M. and D. Silva, 2018. "Economic Policy Uncertainty Indices for Colombia," working paper.Hamrouni, A., Boussaada, R., & Ben Farhat Toumi, N. (2019). Corporate social responsibility disclosure and debt financing. Journal Of Applied Accounting Research, 20(4), 394-415. doi: 10.1108/jaar-01-2018-0020Hardouvelis, G. A., G. I. Karalas, D. I. Karanastasis and P. K. Samartzis, 2018. "Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis," working paper, May.Henry, P., 2000. Do stock market liberalizations cause investment booms?. Journal of Financial Economics, 58(1-2), pp.301-334.Iqbal, A., & Kume, O. (2014). Impact of Financial Crisis on Firms’ Capital Structure in UK, France, and Germany. Multinational Finance Journal, 18(3/4), 249-280. doi: 10.17578/18-3/4-3Kaviani, M., Kryzanowski, L., Maleki, H., & Savor, P. (2020). Policy uncertainty and corporate credit spreads. Journal Of Financial Economics. doi: 10.1016/j.jfineco.2020.07.001Kayhan, A., & Titman, S. (2007). Firms’ histories and their capital structures☆. Journal Of Financial Economics, 83(1), 1-32. doi: 10.1016/j.jfineco.2005.10.007Khurana, I. K., Martin, X., & Pereira, R. (2006). Financial development and the cash flow sensitivity of cash. Journal of Financial and Quantitative Analysis, 41(04), 787-808.Kroese, L., S. Kok and J. Parlevliet, 2015. "Beleidsonzekerheid in Nederland," Economisch Statistische Berichten, No. 4715, pp. 464-467.Lane, P. R., & Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of international Economics, 73(2), 223-250.Love, I. (2003). Financial development and financing constraints: International evidence from the structural investment model. Review of Financial Studies, 16(3), 765-791.Lucey, B. and Zhang, Q., 2011. Financial integration and emerging markets capital structure. Journal of Banking & Finance, 35(5), pp.1228-1238.Mitton, T., 2006. Stock market liberalization and operating performance at the firm level. Journal of Financial Economics, 81(3), pp.625-647.Moshirian, F., Tian, X., Zhang, B., & Zhang, W. (2020). Stock market liberalization and innovation. Journal of Financial Economics. doi:10.1016/j.jfineco.2020.08.018Porta, R. L., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1998). Law and finance. Journal of political economy, 106(6), 1113-1155.Stulz, R. (1999). GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL. Journal Of Applied Corporate Finance, 12(3), 8-25. doi: 10.1111/j.1745-6622.1999.tb00027.xStulz, R.M., 1995. International portfolio choice and asset pricing: an integrative survey. In: Maximovic, V., Ziemba, W. (Eds.), The Handbook of Modern Finance. North-Holland, Amsterdam, pp. 201-223.Stulz, R.M., 1999a. International portfolio flows and security markets. Unpublished Working Paper No. 99-3. Dice Center for Financial Economics, The Ohio State University, Columbus, OH.Vithessonthi, C., & Tongurai, J. (2015). The effect of firm size on the leverage–performance relationship during the financial crisis of 2007–2009. Journal Of Multinational Financial Management, 29, 1-29. doi: 10.1016/j.mulfin.2014.11.001Zalla, R., 2016. "Economic Policy Uncertainty in Ireland," working paper, 20 September.Zhang, D., Lei, L., Ji, Q., & Kutan, A. (2019). Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling, 79, 47-56. doi: 10.1016/j.econmod.2018.09.028Zhang, G., Han, J., Pan, Z., & Huang, H. (2015). Economic policy uncertainty and capital structure choice: Evidence from China. Economic Systems, 39(3), 439-457. doi: 10.1016/j.ecosys.2015.06.003 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100737 en_US
