Macro-drivers and Over-investment of Russian Companies

V. Cherkasova, Yana Piankova, UniCredit Bank
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Abstract

A consideration of investment activity in relation to macroeconomic factors suggests that companies have an optimal investment policy. In the majority of studies that analyze companies’ investment activities, attention has been focused mainly on the influence of internal factors as they are manageable, and less has been paid to external factors. In the Russian real-ity, since this may result in bankruptcy, over-investment occurs less frequently than under-investment. Therefore, the main question is: What has a bigger impact on over-investment, macroeconomic factors or internal factors? The goal of our study is to establish macro-drivers as having the strongest impact on the likelihood of over-investment in Russian companies. To measure the influence of macro-drivers, a binary choice regression model is estimated on the basis of panel data. The results reveal that the biggest impact on the probability of over-invest-ment was oil price volatility, decreasing it by 38 %. Exchange rate volatility was second place (–29 %), and GDP growth rate and inflation have an inconsequential influence (7 % and less than –1 % respectively). The analysis of the speed of adjustment to target levels of investment shows that, in the macroeconomic environment Russia experienced in 2012–2017, companies would have target levels of investment, adjustment to which would occur gradually, over a period of around 2 to 5 years, depending on the industry.
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宏观驱动因素与俄罗斯企业过度投资
考虑到投资活动与宏观经济因素的关系,表明公司有一个最优的投资政策。在大多数分析公司投资活动的研究中,主要关注内部因素的影响,因为它们是可管理的,对外部因素的关注较少。在俄罗斯的现实中,由于这可能导致破产,过度投资比投资不足发生的频率要低。因此,主要问题是:宏观经济因素和内部因素,哪个对过度投资的影响更大?我们研究的目标是确定对俄罗斯公司过度投资可能性影响最大的宏观驱动因素。为了衡量宏观驱动因素的影响,在面板数据的基础上估计了一个二元选择回归模型。结果表明,油价波动对过度投资概率的影响最大,使其降低了38%。汇率波动排在第二位(- 29%),GDP增长率和通货膨胀的影响不大(分别为7%和不到- 1%)。对投资目标水平调整速度的分析表明,在2012-2017年俄罗斯经历的宏观经济环境中,企业将有投资目标水平,调整将在2至5年左右的时间内逐步进行,具体取决于行业。
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来源期刊
CiteScore
1.30
自引率
20.00%
发文量
9
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