财务金融系系列讲座之166期

时间：2015年4月21日（周二）13:30　　　　　　

地点：史带楼303室

主持人：Dr. Fan YU　 Department of Finance, School of Management, Fudan University　

主题：On the Interest Sensitivity of Corporate Cash: Theory and Evidence

演讲者：Dr. Na ZHANG Assistant Professor, Department of Finance, School of Management, Fudan University

摘要：In this paper, we examine the interest sensitivity of corporate cash holdings. We start by presenting an empirical fact on the lack of a significantly negative relationship between nominal interest rate and firms’ cash holdings, which is in contrast to conventional wisdom. This finding is robust to various measures of nominal interest rates and various regression specifications. We then develop a structural model to study the role of nominal interest rates in shaping firms’ cash policy. In the model, firms face productivity uncertainty and financial frictions, and need to pay wage bills up front. They have access to external borrowings: (i) risk-free intra-period bank loans, yet subject to a borrowing constraint, and (ii) risky inter-period debt whose value is endogenously determined by market conditions as well as prevailing nominal interest rates. Due to the borrowing constraint and the high costs associated with debt financing, firms have an incentive to accumulate cash. We show that corporate cash holdings are highly responsive to credit spread, the difference between the endogenous borrowing rate on debt and nominal interest rate. This result is supported by data and provides a potential explanation for the insignificance of the interest-cash relation highlighted in the empirical section. The calibrated model is also able to replicate a number of other empirical features. Using the validated model, we lastly estimate the non-linear effect of nominal interest rates on firms’ cash policy.

财务金融系

2015-4-16