金融市场摩擦和企业动态的宏观效应

Firm incorporation numbers are procyclical. New incorparations enter markets substantially during boom, while existing firms exit from markets more often during bust. Though firm number variations interplay with financial frictions, academia and policy makers have been less concerned about the macroeconomic implications of the interaction of the two. For example, firm dynamics literature has addressed the importance of firm entries and exits in altering the transmission of exogenous shocks to the real economy, and "financial accelerator" literature has emphasized the importance of finanical factors in shaping macroeconomy, while the two are less touched by each other. .One goal of the project is to fill in the gap in literature, exploring the macroeconomic implications of the joint effect of financial market frictions and firm dynamics. We will empirically identify stylized facts in data, and then construct Dynamic Stochastic General Equilibrium (DSGE) models to examine the potential mechanisms behind the facts. We are aiming at studying the following questions: (1) How bank credit risk affects firm dynamics and macroeconomic output; (2) How financial shocks affect macroeconomy through the channels of firm dynamics and capital structure; (3) How the presence of entry barriers affect the role of capital structure as a buffer in affecting macroeconomy; (4) How the entry barriers affect firm stock prices..The project sheds lights to our understanding of the channels through which financial market frictions and firm dynamics jointly affect the real economy, and thus contributes to the macroeconomic theory. In addition, the project is in line with China's financial policy in encouraging the diversity of external financing sources, and in exploring the macroeconomic implications of this diversity.

企业数目具有明显顺周期性。经济上升期时显著增加，低迷期时大量退出，且退出企业普遍融资困难。虽然企业数目变动同融资约束相互作用，学术界对这一现象的宏观效应却明显关注不足。譬如企业动态文献强调企业数目变化的宏观效应，“金融加速器”文献关注金融要素的宏观影响，二者却极少交叉。本项目旨在弥补文献研究不足，探讨金融市场摩擦和企业动态相互作用的宏观效应。本项目会构建动态随机一般均衡（DSGE）模型，并进行经验数据检验。通过这些研究，项目着重探讨以下问题：（1）银行信用风险如何影响企业动态及宏观产出；（2）金融冲击对企业动态、资本结构和宏观产出的影响；（3）行业（地区）准入门槛如何影响资本结构调整的产出效应；（4）行业（地区）准入门槛如何影响企业股票市值。本项目能够扩展现有的宏观经济波动研究，故具有重要的理论价值和学术价值；并能够结合中国实际情况探讨金融市场服务实体经济这一政策目标，具有重要的实践意义。

课题组共发表标注本项目的论文4篇，均为国际经济学著名期刊。其中2篇发表在国际经济学顶级期刊《Journal of International Economics》，1篇发表在国际知名经济学期刊《Economic Journal》。.课题组围绕“金融市场摩擦和企业动态的宏观效应”这一研究方向，基于动态随机一般均衡（DSGE）理论和面板数据分析等计量工具，从“企业动态和融资约束的交互作用如何影响宏观经济波动”、“贸易障碍（如关税、贸易不确定性等）如何影响中国企业在进出口市场上的进入退出决策”等多个维度，探讨了融资约束下的企业进出市场行为、所伴随的宏观经济波动效应，以及中国宏观政策变动所带来的我国进出口企业在国际市场上的进出市场、生产决策，取得了一系列的创新成果。.课题主要研究内容及其意义：（1）通过构造DSGE理论模型，从企业动态和企业资本结构视角，阐释金融危机期间宏观经济波动的形成机制。丰富了宏观经济周期理论，对“大众创业、万众创新”政策具有借鉴意义。（2）基于我国贸易企业数据，从国内市场开放、出口市场政策不确定性等视角，分析我国贸易政策对我国企业进出国际市场、出口产品质量升级的影响和形成机制。有助于理解自贸区的价值、以及新的贸易保护政策、贸易开放实践等对我国出口以及整体经济产生的影响。（3）使用我国宏观数据，分析外商在华直接投资（FDI）和短期“热钱”等对中国房价、股价的影响。有助于理解我国政府近些年来在资本项目开放过程中所采用的审慎政策。

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