Asset Prices and Capital Investment -- A Panel Stochastic Frontier Approach
2010/10/12
研討會日期 : 2010-10-12
時間 : 14:30
主講人 : Professor Hung-Jen Wang
地點 : Conference Room B110
演講者簡介 : Hung-Jen Wang got his Ph.D. in Economics from University of Michigan in 1998. He is currently serving as Chair and Professor of Department of Economics at National Taiwan University. His research field is in investment, monetary policy and applied econometrics.
演講摘要 : We investigate the quantitative significance of firms' collateral value on external financing for corporate investments using Taiwan's firm-level data. Taiwan's real estate price exhibited a full cycle in 1995-2008, with the price declining steadily in 1995-2002 and rising sharply in 2003-2008. The cyclicality of asset prices may imply procyclical bank lending and thus the business investment, which is likely to amplify the aggregate fluctuation. We employ a panel stochastic frontier approach to test whether the cyclicality of asset prices affects the financing constraints on investment through the collateral channel. The estimation results lend strong support to the hypothesis that the collateral channel plays a significant role in generating the procyclicality of bank lending for investment.
