狀態變換景氣波動下公司之資本結構與信用風險分析

Abstract

本計畫嘗試創新建構在景氣波動下的部分均衡結構式模型，並以此新觀點來分析公司之 最適資本結構。此模型不僅考慮具有個別公司特質之非系統衝擊，同時亦考量總體經濟 之系統性衝擊，其中總體經濟之系統性衝擊特別設定為可狀態轉變，並以此反應實質景 氣之轉換。有別於既有文獻，本模型亦將上述二種衝擊之相關性納入考量。在完成模型 建構後，將利用數值分析來探討二種衝擊對公司資本結構之影響。再者，我們將實際運 用工業化國家(如：G-7)及新興國家(如：金磚四國)之個別公司資料，以驗證本模型對公 司最適資本結構之預測。

This project intends to construct a partial equilibrium structural model to analyze the firm’s optimal capital structure with some new insights from business fluctuations. The model accounts not only firm-specific productivity (idiosyncratic) shocks but also macroeconomic condition (systematic) shocks, where the later are assumed to be regime-switching reflecting the real business shifts. Different from the existing literature, the correlation between these two random shocks will be particularly taken into consideration. After the completion of the model, the numerical analysis of the model will be conducted to investigate the effects of both regime-switching systematic shocks and idiosyncratic shocks on the firm’s optimal capital structure. Furthermore, we would like to empirically examine our predictions with the international firm-level data of industrialized countries (such as G-7) and emerging countries (such as BRIC).