宏观经济不确定性与企业最优资产结构

孟庆斌, 张永冀, 贾俊生

系统工程理论与实践 ›› 2019, Vol. 39 ›› Issue (2) : 286-297.

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中国科学院数学与系统科学研究院期刊网
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系统工程理论与实践 ›› 2019, Vol. 39 ›› Issue (2) : 286-297. DOI: 10.12011/1000-6788-2017-1383-12
论文

宏观经济不确定性与企业最优资产结构

    孟庆斌1, 张永冀2, 贾俊生3
作者信息 +

Economic uncertainty and optimal corporate assets structure

    MENG Qingbin1, ZHANG Yongji2, JIA Junsheng3
Author information +
文章历史 +

摘要

宏观经济不确定性包括实体经济不确定性和经济政策不确定性两部分，政策不确定性占经济前景不确定性的比重越来越高，中国市场经济环境下这一现象尤为突出.本文运用包含维纳过程和泊松过程的复合随机过程刻画企业面临的实体经济不确定性和经济政策不确定性，并利用随机最优化方法，建立了一个可以描述宏观经济不确定性的随机最优控制模型来对企业最优资产结构策略性质进行分析，基于此设计出了不同预期下的企业最优资产结构，从而为已有大量的宏微观结合的实证研究提供了理论基础.

Abstract

The two parts of macroeconomic uncertainty are real economic uncertainty and economic policy uncertainty. Besides economic policy uncertainty in the proportion of the uncertainty of the economy is more and more higher, especially in China. This paper describes the real economic uncertainty and economic policy uncertainty faced by companies by using compound stochastic processes including Wiener process and Poisson process. This paper establishes a stochastic optimal control model which can describe macroeconomic uncertainty to analyze the nature of the optimal assets structure. Based on this, the optimal assets structure strategies under different expectations are put forward. This paper provides a theoretical basis for a large number of empirical studies on how macro-economy affects corporate decision-making.

关键词

经济不确定性 / 经济政策不确定性 / 资产结构 / 随机动态最优 / 金融资产

Key words

economic uncertainty / economic policy uncertainty / assets structure / stochastic dynamic optimization / financial assets

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孟庆斌 , 张永冀 , 贾俊生. 宏观经济不确定性与企业最优资产结构. 系统工程理论与实践, 2019, 39(2): 286-297 https://doi.org/10.12011/1000-6788-2017-1383-12
MENG Qingbin , ZHANG Yongji , JIA Junsheng. Economic uncertainty and optimal corporate assets structure. Systems Engineering - Theory & Practice, 2019, 39(2): 286-297 https://doi.org/10.12011/1000-6788-2017-1383-12
中图分类号： F381   

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基金

国家自然科学基金（71302156，71102110）
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