異質性廠商投資及其借貸限制之一般均衡分析

Abstract

相較於傳統文獻中常使用的「基於資產」的借貸限制，近期研究發現「基於收益」的借貸限制在美國公司債務契約中更為盛行。有鑑於此，在目前有關金融摩擦的研究中，「基於收益」的借貸限制所受到的關注正逐漸增加。另一方面，實證研究發現廠商的資本調整往往具有「非連續大額投資」的特性：廠商的資本調整通常集中在一段較短的期間內，且在此期間廠商每次投資的數額都十分龐大，然而在其他期間廠商的資本調整則不活躍，大多處於低度投資的狀態。考慮到上述有關廠商借貸能力及資本調整的實證現象，本文建構了一個異質性廠商的一般均衡模型，以此來探討在廠商具有非連續大額投資的行為時，基於收益的借貸限制所造成的影響。在模型的靜止均衡之下，我們發現：相較於沒有金融摩擦的模型，當基於收益的借貸限制變得更為緊俏時，經濟體系中所有總體變數包括產出、消費、投資、就業及資本存量均下降，而且總體生產力也下降至少13%。此外，為了比較基於收益及基於資產的借貸限制各自所造成的影響，我們考慮以下兩個版本的模型：一個只包括基於收益的借貸限制，另一個則只包含基於資產的借貸限制。在這兩個模型中，我們將這兩個借貸限制的鬆緊程度從各自選定的基準值之下同時提高10%，結果發現放鬆這兩個借貸限制的確都能使相關總體變數值提高，然而在具有基於資產的借貸限制的模型中，總體變數上升的幅度明顯較高。上述結果顯示相對於基於收益的借貸限制，基於資產的借貸限制對總體變數有較大的影響。

Due to their higher prevalence in U.S. corporate debt, “earnings-based” borrowing constraints have been attracting increasing attention in recent studies on financial frictions, aside from the traditional “assets-based” borrowing constraints. On the other hand, empirical evidence has suggested the existence of “lumpy investment” behavior among firms: capital adjustments of firms often appear in large amounts but are concentrated in relatively short periods of time, while at other times these plants are inactive with only low levels of investment. Given these observations on the borrowing capacity and the capital adjustments of firms, this paper proposes a heterogeneous-firm model to study the implications of earnings-based borrowing constraints in a general equilibrium environment where plants exhibit lumpy investment behavior. In the stationary equilibrium, a tightening of earnings-based borrowing constraints leads to reductions in all aggregate variables such as output, consumption, investment, employment, and capital stock, accompanied by a fall in the aggregate productivity by at least 13%, compared to the results from the model without financial frictions. Moreover, to compare the aggregate implications between earnings-based and assets-based constraints, I raise the values of the tightness of constraints by 10% from the benchmarks in the two versions of my model: one with only earnings-based constraints and the other with only assets-based constraints. While relaxing both constraints in each model leads to an increase in each aggregate variable, the percentage of change for each variable is much larger in the presence of assets-based constraints than earnings-based constraints. This result implies that assets-based constraints tend to exert more influence on aggregate variables, compared to earnings-based constraints.