Investment and Capital Market Imperfections: A Switching Regression Approach Using U.S. Firm Panel Data
构建了一个投资转换回归模型，内生决定企业面临外部融资高溢价的可能性，利用美国企业数据分析信用、信息不对称和代理问题对融资溢价状态的影响，并讨论宏观经济与货币政策的作用。
In this paper we develop a switching regression model of investment, in which the probability of a firm facing a high premium on external finance is endogenously determined. This approach allows one to address the potential problem of static and dynamic misclassification encountered where firms are sorted using a criteria chosen a priori. We use U.S. firm level data to analyze the effects of variables that capture each firm's credit worthiness, asymmetric information, and agency problems on the probability of being in the high- or low-premium regime. The role of macroeconomic conditions and monetary policy is also discussed. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology