Is there a macroeconomic impact on the profitability of the company

Material Source:The Relationship Between Profitability and Market Economy

Author:N.Gregory.Mankiw

Abstract

This paper aims at identifying a potential impact of the macroeconomic environment on the profitability of the companies listed on the Bucharest Stock Exchange. This research derives from the most recent literature on the macroeconomic determination of the capital structure of companies located into emerging countries. Indeed, as for these corporations, there has been agreed on the risk transfer between sovereign and corporate spreads, but every emerging country incurs a particular approach and generalization tends to decay. Therefore, the research focuses on highlighting out the macro determination of the corporate profitability; there will be developed a complex perspective, following up the mixture between idiosyncratic and systemic approach.

Introduction

Global economy triggered corporate sector internalization. Companies became more and more integrated into a borderless world, designing and implementing strategies in order to reduce costs through economy of scale and outsourcing

Meanwhile, corporations are more and more exposed to disequilibriumrsquo;s originating from the international environment. Macroeconomic volatility impacts them more consistently, especially from the perspective of their creditworthiness and profitability.

Economic cycle is closely related to corporate profitability. During boom periods, profitability potential increases while recession brings it down. An economic downturn triggers the probability to not be able to generate enough cash-flow in order to cover the financial obligations.

During the last decade, analysts agreed on the fact that corporate default does not imply only an idiosyncratic side, but also a systemic one, resulting from the correlation of the company with the macroeconomic environment.

This paper aims at highlighting out the impact of the macroeconomic environment on the profitability of the companies listed on the Bucharest Stock Exchange, broken down by sector. There have been selected three variables closely linked to the macroeconomic volatility ? current account deficit, economic growth, exchange rate fluctuation- that have been integrated into an OLS regression grouping also indicators reflecting the financial soundness of the company. The conclusions regarding the potential impact of the macro side on the profitability tend to differ according to the corporate sector, some being more impacted than the others.

Trend of profitability

Recently there has been developed a consistent literature on the macro determination of the corporate default see Mc Neil, Frey and Embrachts, 2005. Links between micro and macro variables closely related to corporate default have been pointed out. Alves 2005 and Shahnazarian and Asberg-Sommer 2007 found cointegration relationships between the macro and Moody s KMV expected default frequency EDF variables. Short term interests, GDP and inflation are closely linked to EDF. Similar approaches have been developed by Aspachs, Goodhart, Tsomocos and Zicchino 2006 as well as by Pesaran, Schuermann and Weiner 2006. These perspectives subscribe to an impact derived from the macro environment to the corporate segment, while Pesaran, Schuermann and Weiner 2006 revealed that this relationship can be modeled also under the form of an impact deriving from the corporate to the macro side. They found out that corporate default probability as well as equity values impact GDP variables.

Castren et al. 2007 included domestic output, inflation, nominal interest rate and real exchange rate as endogenous variables into a VAR model while aggregated default frequency and foreign macro variables were incorporated as exogenous variables. They concluded that default frequency and macro indicators have a similar trend.

This paper follows up the rationale of Jacobson et al. 2005 who conceived macro variables as corporate default regressors using the logit methodology. What it differentiates this approach is precisely the fact that there will be developed an OLS regression at the level of the corporate profitability which is conceived as the key element of the corporate financial soundness. There have been selected three variables closely linked to the macroeconomic volatility ? current account deficit, economic growth, exchange rate fluctuation- that have been integrated into an OLS regression grouping also indicators reflecting the financial soundness of the company.

The research aims at revealing to what extent profitability is triggered by variables at the firm level and by variables related to the macro environment. The conclusions regarding the potential impact of the macro side on the profitability tend to differ according to the corporate sector, some being more impacted than the others.

Macroeconomic factors

In order to reveal the macroeconomic impact on corporate profitability, there has been performed a regression integrating profitability reflected into the net margin as endogenous variable and a series of financial ratios related to liquidity, size and solvency as exogenous variables. Regressors included also macroeconomic variables ? current account deficit, exchange rate volatility and real economic growth.

Database integrated financial information related to the companies listed on the Bucharest Stock Exchange, broken down by sector. The industries analysis focused on were represented by materials, finished goods producers, fertilizer producers, energy and pharmaceuticals. The period financial information was related to was represented by the interval 1997-2007.

In a first stag

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宏观经济是否影响公司的盈利能力

资料来源:《盈利能力与市场经济的关系》 作者:乔治曼昆

摘 要

本文的写作主旨在于识别宏观经济环境对列示在布加勒斯特证券交易所的公司的盈利能力产生的潜在影响。这项研究源自于大多数关于新兴国家的公司运用宏观经济测定公司资本结构的近代文献。事实上,对于这些公司,已经达成了风险在主权和企业公司之间的转变的一致意见,但每一个新兴国家的公司都有各自特定的方式并且往往普遍地趋向于衰减。因此,这项研究更集中于突显出公司盈利能力的宏观测定,并且将会开发出一种复杂的方法,继而将特别的和系统的途径相融合。

1导言

经济的全球化引发了公司部门的内部化。各式各样的公司越来越多地融入到无边界的世界经济当中,并且为了减少成本,它们计划和实施了规模经济和外部采购的策略。

与此同时,各公司也正在越来越多地暴露出它们来自于国际环境的非均衡状态。宏观经济的波动对它们的影响更具有一贯性,特别是在它们的信誉程度方面和盈利能力方面。

经济周期与企业的盈利能力密切相关。在经济繁荣时期,会引起公司盈利能力的增长,而在经济衰退时期,会引起公司盈利能力的下降。由于经济低迷而引发的盈利能力的下降会使得企业不能够产生足够的现金流来覆盖企业的各项金融债务。

在过去的十年中,分析师们一致认同这样一个事实,就是企业的违约现象不仅仅是出现在个别的公司,而是一个普遍的现象,这是因为在宏观经济环境下公司之间是具有相关性的。

本文的主旨在于突显出宏观经济环境影响列示在布加勒斯特交易所的公司的盈利能力的影响程度,并且按部门进行分解。目前已选定了三个与宏观经济波幅密切相关的变量??收支往来账户赤字,经济增长和汇率波动,它们已被纳入了最小平方法线性回归分组指标,同时也反映了公司的财务健全程度,并且得出了有关企业盈利能力宏观方面的潜在影响会根据企业部门的不同而有所不同的结论,跟其他部门相比,其中一些部门受到的影响更大。

2盈利能力的趋势的分析

最近,已经建立起了一致的关于企业在宏观经济下违约的一致的文学体系(见Mc Neil, Frey and Embrachts,2005)。微观变量和宏观变量之间的联系与公司违约密切相关的事实已被指出。Alves(2005)和Shahnazarian和Asberg-Sommer(2007)发现了宏观经济和穆迪县KMV公司(法国电力公司)预期违约的频数之间的关系。短期利益、国内生产总值和通货膨胀与预期违约的频数是密切相关的。类似的方法通过Aspachs, Goodhart,Tsomocos和Zicchino(2006)以及Pesaran,Schuermann和Weiner(2006)而得到发展。通过对这些观点的订阅认知到宏观经济环境会对企业的各部门产生影响,而Pesaran,Schuermann和Weiner(2006)透露这种关系即源自于宏观方面对公司的影响可以被模式化或者形式化。他们发现,企业因违约而产生的盈利能力和权益价值影响着国内生产总值。

Castren等(2007)的观点包括国内生产总量,通货膨胀,名义利率和实际汇率在VAR模型中表现为内生变量,而被汇总的违约频数和外部的宏观变量则被合并纳入为外生变量。他们的结论是违约频数的变动趋势和宏观指标的变动趋势有所相似。

本文追踪Jacobson等人(2005)的基本原理,他们运用多元逻辑的研究方法设想宏观变量和企业违约频数。而不同于前种做法的另一种方法是制定一个公司盈利能力水平的最小二乘方线性回归,同时把公司的盈利能力被设想成为是一个对公司财务健全起关键作用的因素。目前已选定了三个与宏观经济波幅密切相关的变量-收支往来帐户赤字,经济增长和汇率波动,它们已被纳入了最小二乘方线性回归分组指标,同时也反映了公司的财务是否健全。

这项研究旨在揭示由企业的变量水平与宏观经济环境的关系而引发的对公司盈利能力的影响程度。得出的结论是针对企业的不同部门,企业盈利能力受宏观方面的影响会有所不同,跟其他部门相比,其中的一些部门受到的影响更大。

3宏观经济影响盈利能力的因素

为了揭示了宏观经济对企业盈利能力的影响程度,已进行了对盈利能力的综合的回归分析,反映到类似于内生变量的净利润和一系列与流动性有关的财务比率,规模和类似于偿付能力的外生变量。 回归量也包括宏观经济变量??收支往来账户赤字,汇率波动和实际经济增长率。

数据库已经综合了有关在布加勒斯特证券交易所列示的上市的公司的财务信息,并把它们以产业进行细分。工业行业的分析焦点主要是有代表性的原材料、产成品、材料供应商、动力和药物。与这些周期性的财务信息有关的代表区间选定在1997年?2007年。

在第一阶段,回归分析只包括与公司有关的链接公司盈利能力的特殊方面的变量。

在第二阶段,回归分析范围由于增加了与宏观方面有关的指标而有所扩大。起关键性作用的元素来源于从一种回归分析到另一种回归分析的统计输出的方式,特别是来源于对宏观指标的影响的透视。

统计输出指出,盈利能力受到偿付能力,流动性和规模性指标的广泛影响。材料和化工行业的盈利能力与流动性呈负相关关系,而其他工业企业的盈利能力似乎与流动性呈正相关关系。这一结论是很有趣的。一个好的流动性指标对盈利能力产生积极影响。利润为公司创造好的流动性,但它并不一定意味着流动性与盈利能力的现实意义在材料和化学工业中奏效。

在大多数的工业企业中,规模性与盈利能力呈正相关关系,而企业的偿债能力和债务指标则与盈利能力呈负相关关系。

通过宏观变量扩大回归分析范围给R平方和对R平方增加调整创造了一个明晰的机会。在所有的这些案件中,R平方和调整后的R平方至少增加了10%。其中最显著的变化出现在制药工业的案例中(R平方从0.55增加至0.78)。

盈利能力受到宏观经济指标高度影响的有4-5个行业。唯一的一个不受宏观经济环境影响盈利能力的行业是工业产成品行业。其盈利能力只受公司标准的影响。收支往来账户赤字在原材料行业对盈利能力产生消极影响,而在化肥生产、制药、化学和动力行业收支往来账户赤字对盈利能力产生积极影响。这种影响被解释为与行业的最终的消费量有关。动力和化学产业的收支往来账户赤字与平常的消费量存在高度相关性,而其他行业都没有相同程度的相关性。在制药和原材料行业,与商品有关的通常消费量并不能反映出一个正在增长的收支往来账户赤字。实际的经济增长率对在这一水平上的所有行业的盈利能力均产生积极的影响,因此一个繁荣的宏观经济环境有利于促进企业的盈利能力的假定得到了证实。汇率波动对企业盈利能力的变化是产生消极影响的,这只有在制药行业才奏效。这一发现是符合药品主要集中于进口这一假设的,这意味着在制药行业盈利能力对汇率的波动有着较高的敏感性。

总体而言,与宏观调控有关的变量在很大程度上影响着企业的盈利能力。为了对企业的盈利能力有一个准确的评估,经济学分析师有必要考虑宏观经济环境对企业参与经济活动产生的影响。本文的结论必须包括来自于数据库容量的局限性因素。将来的研究将热衷于与另外的宏观经济指标相融合。

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