Wpływ niepewności makroekonomicznej na oszczędności przedsiębiorstw

• Autorzy: Natalia Nehrebecka , Michał Brzozowski

Warianty tytułu

Impact of macroeconomic uncertainty on corporate savings

• Języki publikacji: PL

Abstrakty

Celem artykułu jest weryfikacja wpływu niepewności makroekonomicznej i szoków idiosynkratycznych na oszczędności i zasoby środków pieniężnych przedsiębiorstw w Polsce. Analizę przeprowadzono na podstawie jednostkowych niezbilansowanych danych panelowych przedsiębiorstw, zatrudniających co najmniej 10 pracowników, zawartych w rocznych sprawozdaniach GUS F-02 z lat 1995-2012. W przypadku weryfikacji wpływu niepewności makroekonomicznej na oszczędności oszacowano modele za pomocą estymatora GMM z błędami HAC, natomiast identyfikacji wpływu szoków idiosynkratycznych na oszczędności dokonano za pomocą odpornego estymatora systemowego GMM. Polskie przedsiębiorstwa dostosowują posiadane oszczędności i zasoby środków pieniężnych do poziomu niepewności makroekonomicznej. Uzyskane wyniki wskazują też na motyw przezornościowy utrzymywania bufora bezpieczeństwa w postaci zgromadzonych oszczędności z obawy przed szokami idiosynkratycznymi. (abstrakt oryginalny)

EN

The article aims to verify the impact of macroeconomic uncertainty and idiosyncratic shocks on corporate savings and the cash holdings of companies in Poland. The analysis is based on an unbalanced panel data for companies with at least 10 workers for the 1995-2012 period, as provided by Poland's Central Statistical Office (GUS) in its GUS F-02 reports. To verify the impact of macroeconomic uncertainty on savings, models were estimated using the GMM estimator with HAC, and the influence of idiosyncratic shocks on corporate savings was identified with use of a robust system GMM estimator. The study shows that Polish companies tend to adapt their savings and cash resources to the level of macroeconomic uncertainty. The findings also indicate that companies maintain a security buffer in the form of accumulated savings as a precaution for fear of idiosyncratic shocks. (original abstract)

Słowa kluczowe

PL

Niepewność w gospodarce; Szok gospodarczy; Oszczędności; Dane panelowe; Estymatory; Model GARCH; Szeregi czasowe

EN

Uncertainty in the economy; Economic shock; Savings; Panel data; Estimators; GARCH model; Time-series

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2016
• Numer: nr 5
• Strony: 51--69

Twórcy

autor

Natalia Nehrebecka

• Narodowy Bank Polski; Uniwersytet Warszawski

autor

Michał Brzozowski

• Uniwersytet Warszawski

Bibliografia

• Ali A., Daly K. [2010], Modelling Credit Risk: A Comparison of Australia and the USA, "Journal of International Finance and Economics", vol. 10, no. 1, s. 123-131.
• Almeida H., Campello M., Weisbach M. [2004], The Cash Flow Sensitivity of Cash, "Journal of Finance", vol. 59, s. 1777-1804.
• Altman E. I. [1971], Corporate Bankruptcy in America, Lexington, MA, Heath Lexington Books.
• Altman E. I. [1983], Why Businesses Fail, "Journal of Business Strategy", vol. 3, s. 15-21.
• Arellano M., Bover O. [1995], Another Look at the Instrumental Variable Estimation of Error-components Models, "Journal of Econometrics", vol. 68, no. 1, s. 29-51.
• Baum C. F., Caglayan M., Ozkan N., Talavera O. [2006], The Impact of Macroeconomic Uncertainty on Non-financial Firms' Demand for Liquidity, "Review of Financial Economics", vol. 15, s. 289-304.
• Baum C. F., Chakraborty A., Boyan L. [2010], The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage, "International Journal of Finance and Economics", vol.15, s.22-30.
• Baum C. F., Stephan A., Talavera O. [2009], The Effects of Uncertainty on the Leverage of Nonfinancial Firms, "Economic Inquiry", vol. 47, no. 2, s. 216-225.
• Bhamra H. S., Kuehn L.-J., Strebulaev I. A. [2010], The Aggregate Dynamics of Capital Structure and Macroeconomic Risk, "Review of Financial Studies", vol. 23, no. 12, s. 4187-4241.
• Bhattacharjee A., Higson C., Holly S., Kattuman P. [2009], Macroeconomic Instability and Business Exit: Determinants of Failures and Acquisitions of UK Firms, "Economica", vol. 76, s. 108-131.
• Blundell R., Bond S. [1998], Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, "Journal of Econometrics", vol. 87, no. 1, s. 115-143.
• Bonfim D. [2009], Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics, "Journal of Banking and Finance", vol. 33, s. 281-299.
• Carling K., Jacobson T., Linde J., Roszbach K. [2007], Corporate Credit Risk Modeling and the Macroeconomy, "Journal of Banking & Finance", vol. 31, s. 845-868.
• Chen N., Mahajan A. [2010], Effects of Macroeconomic Conditions on Corporate Liquidity - International Evidence, "International Research Journal of Finance and Economics", vol. 35, s. 112-129.
• Chen H. [2010], Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure, "Journal of Finance", vol. 65, no. 6, s. 2171-2212.
• Covas F., Den Haan W. J. [2006], The Role of Debt and Equity Finance over the Business Cycle, Bank of Canada Working Paper, no. 2006-45.
• Furceri D., Guichard G., Rusticelli E. [2011], Episodes of Large Capital Inflows and the Likelihood of Banking and Currency Crises and Sudden Stops, OECD Economics Department Working Papers, no. 865.
• Fresard L. [2012], Cash Savings and Stock Price Informativeness, "Review of Finance", vol. 16, no. 4, s. 985-1012.
• Hackbarth D., Miao J., Morellec E. [2006], Capital Structure, Credit Risk, and Macroeconomic Conditions, "Journal of Financial Economics", vol. 82, s. 519-550.
• Hale G. [2007], Bonds or Loans? The Effect of Macroeconomic Fundamentals, "Economic Journal", vol. 117, s. 196-215.
• Huang Y. [2011], Can the Precaucionary Motive Explain the Chinese Corporate Savings Puzzle? Evidence from the Liquid Assets Perspective, International Monetary Fund, Working Paper.
• Klapper L., Laeven L., Rajan R. [2006], Entry Regulation as a Barrier to Entrepreneurship, "Journal of Financial Economics", vol. 82, no. 3, s. 591-629.
• Korajczyk R. A., Levy A. [2003], Capital Structure Choice: Macroeconomic Conditions and Financial Constraints, "Journal of Financial Economics", vol. 68, s. 75-109.
• Korteweg A. [2010], The Net Benefits to Leverage, "Journal of Finance", vol. 65, no. 6, s. 2137-2170.
• Levy A., Hennessy C. [2007], Why Does Capital Structure Choice Vary with Macroeconomic Conditions? "Journal of Monetary Economics", vol. 54, s. 1545-1564.
• Liu J. [2004], Macroeconomic Determinants of Corporate Failures: Evidence from the UK, "Applied Economics", vol. 36, s. 939-945.
• Opler T., Pinkowitz L., Stulz R., Williamson R. [1999], The Determinants and Implications of Corporate Cash Holdings, "Journal of Financial Economics", vol. 52, s. 3-46.
• Sula O., Willet T. D. [2009], The Reversibility of Different Types of Capital Flows to Emerging Markets, "Emerging Market Review", vol. 10, no. 4, s. 296-310.
• Zhang J., Bessler D. A., Leatham D. J. [2013], Aggregate Business Failures and Macroeconomic Conditions: A VAR Look at the U. S. Between 1980 and 2004, "Journal of Applied Economics",vol. 16, no. 1, s. 179-202.