信用供给冲击与资本结构的异质性调整——基于去杠杆的证据

《财经研究》 2022年48卷第10期 页码：138 - 152  online：2022年10月3日

信用供给冲击与资本结构的异质性调整——基于去杠杆的证据

Credit Supply Shock and Capital Structure Heterogeneity Adjustment: Evidence Based on Deleveraging

作者（中）：胡悦1 , 吴文锋2

作者（英）：Hu Yue1, Wu Wenfeng2

作者单位：1. 华东理工大学 商学院，上海 200237; 2. 上海交通大学 安泰经济与管理学院，上海 200030

摘要：信用供给的变化是宏观经济波动的重要原因，而企业杠杆率的变化有放大或者平抑宏观经济波动的作用。考察信用供给对企业资本结构的影响有助于我们进一步理解杠杆率在金融摩擦影响经济活动的过程中的作用以及背后的作用机制。文章利用我国去杠杆政策来考察信用供给冲击对企业资本结构的异质性影响。研究发现，随着2017年二季度金融监管的趋严和信用供给的收紧，国企的杠杆率相对私企开始显著下降，逆转了2008年以来国企结构性加杠杆的长期趋势。进一步研究表明，信用供给收缩通过融资约束和融资成本渠道结构性地降低了非国企的利润累积和权益增速，使得非国有企业杠杆率和债务风险的相对上升。文章揭示了信用供给对企业资本结构的异质性影响，发现了我国企业杠杆率结构性变化的新趋势，为化解企业部门的债务风险提供了一定的参考。

关键词：信用供给; 资本结构; 去杠杆; 国有企业

Summary: Credit supply shock is an important source of macroeconomic fluctuations. If credit supply shock significantly affects firm capital structure, the leverage change will play a role in amplifying or smoothing fluctuations by changing entrepreneurs’ net worth and agency costs. Therefore, examining the impact of credit supply on capital structure will help to further understand what role leverage will play in the process of interactions between financial frictions and economic activities, and whether this mechanism will lead to a structural effect in the context of China. Intuitively, an exogenous credit supply shock will, on the one hand, have a positive impact on leverage by firms’ access to financing（liability side）, but on the other hand, also have a negative impact on the capital structure by firms’ accumulation of profits（equity side）. For this reason, we are likely to observe a heterogenous pattern in the impact of credit supply on capital structure at different times and in different regions. China’s deleveraging policy can be seen as an exogenous shock to credit supply. Using the quarterly data of China’s listed companies from 2012 to 2018, this paper examines the impact of credit supply on capital structure empirically by using the credit supply shock resulting from the deleveraging policy. The results show that the leverage of state-owned firms decreases with the credit supply contraction since 2017Q2, relative to that of their private counterpart, a striking reversal of previous trend of leverage increase of state-owned firms since 2008. Further mechanism analysis shows that under the credit supply shock, the difference between state-owned firms and non-state-owned firms mainly lies in the growth rate of equity rather than that of equity: On the one hand, the financing costs and financing constraints of non-state-owned firms have risen with a significant erosion of profitability, which leads to a larger decline in equity growth（compared to debt growth）and a passive increase in the leverage of non-state-owned firms; on the other hand, the financing costs and profitability of state-owned firms have not deteriorated significantly, which contributes to a modest reduction of their leverage induced from a decrease in debt growth. The robustness test shows that although the overcapacity policy mainly implemented at the industry level has achieved an overall decrease in the leverage ratio of firms in overcapacity industries through supply contraction and profit transfer between industries, it cannot explain the structural reduction of state-owned firms’ leverage within the industry. Seasoned equity offering（SEO）cannot explain the structural change in the capital structure of firms with different ownerships. The conclusions confirm the heterogeneous impact of financial frictions on economic activity, analyze the impact of supply-side factors on capital structure, and supplement the literature on shadow banking.

Key words: credit supply; capital structure; deleveraging; state-owned firms

DOI：10.16538/j.cnki.jfe.20220714.401

收稿日期：2022-04-01

基金项目：国家社会科学基金重大项目（21ZDA047）

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