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Title: | 擔保品價值對企業融資限制的影響—追蹤隨機邊界模型的應用 The Effect of Collateral Value on Firms’ Financing Constraints— An Application of Panel Stochastic Frontier Model |
Authors: | Chia-Wei Chang 張家瑋 |
Advisor: | 王泓仁(Hung-Jen Wang) |
Co-Advisor: | 陳南光(Nan-Kuang Chen) |
Keyword: | 擔保品,借貸限制,企業投資, Collateral,Financing Constraints,Capital Investment, |
Publication Year : | 2020 |
Degree: | 碩士 |
Abstract: | 在財務合約的文獻中,擔保品一直扮演一個重要的角色來減少廠商的借貸限制。本文使用2003年至2018年台灣製造業廠商的資料,並應用Wang and Ho (2010)的 縱橫隨機邊界模型來研究房價波動對企業借貸限制的影響,台灣在2003 年後房價 不停的上漲,僅在金融海嘯時略為下跌,在金融海嘯後 (2010年到2014 年) 帳福最大,我們的實證結果發現在金融海嘯後持有房地產確實能大幅減少廠商的借貸限制,然而在金融海嘯時持有房地產反而增加借貸限制,這與早期文獻Kiyotaki and Moore (1997)的結果一致,房地產價波動會透過擔保品導致廠商借貸限制的不同,在景氣或房市熱絡時,廠商的投資因為可透過房地產擔保品升值而上升, 然而在景氣或房市低迷時,對於房地產持有比例佔資產總額較多的廠商反而會因房價下跌而減少投資。此外,我們也研究了房價波動對上市櫃公司的影響,上市 公司的實證結果符合前面的結果,然而上櫃公司而言,房地產價格的波動對廠商的借貸限制卻沒有顯著的效果,我們也發現擔保品對不同的產業有異質性的效果。 In the financial contract literature, collateral is an important role mitigating firms’ financing constraints. This paper uses Taiwan firm level data in manufacturing industry from 2003 to 2018, which is the period when Tai- wan undergoes surging real estate price. We apply Wang and Ho (2010) panel stochastic frontier model to estimate the effect of fluctuation of housing prices on capital investment. Our empirical finding is that real estate as collateral can alleviate firm’s financing constraints in housing boom period after crisis. On the contrary, real estate might undermine firm’s financing ability during the global financial crisis. Furthermore, we divide our sample into different trade markets and industries. The collateral effect on companies listed in Tai- wan Stock Exchange (TWSE) is similar to the whole sample, while it doesn’t influence small and medium enterprises (SMEs) listed in Taipei Exchange (TEPx). Regarding the sub-industries results, we find that collateral channel does have heterogeneous effects on industries. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50387 |
DOI: | 10.6342/NTU202002932 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 經濟學系 |
Files in This Item:
File | Size | Format | |
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U0001-1108202013330600.pdf Restricted Access | 1.85 MB | Adobe PDF |
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