國家資本結構之抵換理論實證分析

Abstract

本論文試圖驗證國家資本結構的抵換理論，並把法定貨幣及本國幣債券當作國家的股權，外幣債券則當作債權，實證國家槓桿比率是否受到如同公司股權稀釋的通膨成本及負債違約成本所影響。驗證結果發現，國家總資本結構(包含公私部門)主要受國家的固定效果影響，解釋力近80%，可能源於融資限制，受到通膨及違約成本影響則不大。公部門與私部門在決定槓桿比率上並不一致，公部門的槓桿比率對到通膨及違約成本較為敏感。另外，本論文也證實國家存在一最適資本結構的假說，在新融資發生時國家會依據目標資本結構選擇發行本國幣及本國幣債券或外國幣債券。

This study has two major purposes: (1) to investigate how inflation cost and default cost affect nation’s capital structure. (2) to demonstrate whether a nation has an optimal capital structure. We use (Bolton & Huang, 2016) analogy between fiat liabilities for sovereigns and equity for corporations. Our studies show that nation’s total leverage ratio mainly depends on country’s fixed effect rather than inflation cost and default cost. This may due to country’s financial constraints. However, down to public and private sector, we found that public sector is more sensitive to inflation cost and default cost. In addition, the results provide some support for the existence of nation’s optimal capital structure.