總體資訊不確定性與公司信用風險

Abstract

本研究主要檢驗總體資訊不確定性對公司信用風險之影響，同時也檢驗投資對公司信用風險之影響。採用1991年至2022年的美國公司資料進行分析，並使用經濟政策不確定性（EPU）、貨幣政策不確定性（MPU）與地緣政治風險（GPR）三項指數計算各公司的總體資訊不確定性，實證結果發現在控制個體資訊不確定性與公司特徵後，投資與總體資訊不確定性均與公司信用風險呈顯著正向關係。

This study aims to examine the impact of macro information uncertainty on firm credit risk, while also investigating the influence of investment on firm credit risk. Analyzing data from U.S. companies from 1991 to 2022, economic policy uncertainty (EPU), monetary policy uncertainty (MPU), and geopolitical risk (GPR) indexes are used to calculate the macro information uncertainty of each firm. Empirical results reveal that, after controlling for micro information uncertainty and firm characteristics, both investment and macro information uncertainty exhibit a significant positive relationship with firm credit risk.