企業倒産とマクロ経済要因

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1 No Abstract The purpose of this paper is to clarify the relationship between business bankruptcy and macro-economic indices. The method is a multiple linear regression model. As dependent variables, Bankruptcy number of enterprises, the rate of the bankruptcy, and the liabilities of all the bankrupt enterprises are used. The following conclusions were drawn as a result of examining the multiple linear regression analysis. First, the bankruptcy number of cases (logarithm) is explained by two macro-economic indices, a stock price and the job offers to applicants ratio. Secondly, the rate of bankruptcy is explained by four variables, New dwelling construction started, Money stock(m2+cd), Public demand and Outlay of the general government. And thirdly, the liabilities of all the bankrupt enterprises (logarithm) are explained by three macro-economic indices, corporate liquidity, the number of registration of industrial property, and a research and development expenditure. Furthermore, it is discussed about the relation between these three dependent variables. 1) DIP 2)

2 3) 4) 5) ) 4 (cross-correlation) 2 (lag) (SAS ARIMA ) ( ) ( ) 7) ) ( ) RSQ RSQ k

3 No R 2 ˆ = 1 2 ( y y) n 1 2 ( y y) n k 1 n, k (multicollinearity) ( ) 2 4 ( )

4 2002 ( ) ( ) 9) ( ) 3 ( ) ( ) 1, GDP

5 No GDP ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 4 ( ) 10) ( ) [( ) ] ) 10 12)

6 GDP GDP 15 13) 16 14) 17 SNA 3 15) )

7 No (CPI) CPI 17) 23 (WPI) 1 18) 24 GDP

8 19) 29 ( ) ( ) ( ) ( ) ( ) 20) 30 ( ) M1 M2 CD M3 CD 4 M2 CD 21) ) )

9 No y ( ) 1 24) ( multicollinearity ) 25) F ( ) 1 26) 1 F

10 SPSS F 企業倒産件数 ( 対数 ) 企業倒産率倒産企業の負債総額実質化対数データ実質化対数データ実質化対数データ 1 企業倒産件数 **.783**.477*.477* 2 企業倒産率.783**.783** 倒産企業の負債総額 0.477*.477* 為替相場 **.808** -.509* -.575** 5 輸入 ** -.769**.698**.641** 6 輸出 **.713** 7 売上高経常利益率 -.577** -.577** * -.513* 8 手元流動性 -878** -.878** -.874** -.874** 設備投資 -.626** -.603** -.899** -.908** 機械受注 ** -.765**.649**.634** 11 人件費 ** -.726**.769**.722** 12 役員給与 * -.638**.832**.782** 13 資本合計 ** -.784**.749**.667** 14 実質 GDP 指数 ** -.758**.695**.695** 15 鉱工業生産指数 -.487* -.487* -.883** -.883**.488*.488* 16 新設住宅着工件数 -.784** -.775** -.751** -.754** 一般政府支出 ** -.680**.794**.753** 18 公的需要 ** -.636**.800**.776** 19 民間需要 ** -.839**.634**.608** 20 実質家計消費支出 ** -.765**.716**.674** 21 実質家計可処分所得 ** -.804**.671**.634** 22 消費者物価指数 ** -.696**.730**.730** 23 卸売物価指数 **.700** -.575** -.575** 24 地価要因 * ** -.747** 25 全国工業地指数 ** -.831**.484*.484* 26 六大都市商業地地価指数 -.825** -.825** -.750** -.750** 株価 -.889** -.806** -.838** -.879** 完全失業率 **.753** 29 有効求人倍率 -.845** -.845** -.582** -.582** マネーサプライ ** -.817**.673**.613** 31 銀行の貸出 -.633** -.589** -.559** -.494* 公定歩合 *.462* -.697** -.697** 33 銀行貸出金利 ** -.730** 34 実質コールレート ** -.667** 年国債利回り **.551** -.704** -.704** 36 工業所有権登録数 *.526* 37 新規企業数 -.781** -.663** -.463* * -.650** 38 研究開発費 ** -.769**.727**.662**

11 No ( ) SPSS 35 F 3 ( ) ( ) 2 ( ) ( ) 6 6 ( ) 4 ( ) 2 ( ) ( ) 10 8 ( ) ( ) SPSS TSP SPSS ( 2) TSP 2 AIC( ) SPSS TSP

12 - 58 -

13 No ( ) ( ) R DW=1.822 d U DW 2 ( ) ( ) ( ) R DW= d U DW 4 d L ( ) ( )

14 6 6 ( ) R DW= DW 4 d (M2 CD) M2+CD ( ) R DW=1.410 d DW d DW L U U

15 No ( ) ( ) R DW= d U DW 4 d L ( ) ( ) 10 8 ( ) ( ) R DW= DW 4 d U ( ) ( )

16 4. ( ) 2 ( ) ( ) ) 0.44% % ( ) ( ) 3 ( ) ( ) 3 3 ( )

17 No 図 1 倒産件数倒産率負債総額の推移 ( 実質 ) 倒産件数倒産率 % 負債総額 ( 百万円 ) 年 ( ) ( ) 3 ( ) 2 4 ( ) 3 ( )

18 ( )38(2) (6) pp pp ( 6) 1993.pp ( 10).p68 ( 10).p76 ( 10).p108 ( 10).pp ( 10).p269 ( 10).p51 ( 10).pp ( 10).pp ( 10).pp ( 10).p136 [ ] FAQ( ) ( 10).pp ( 10).pp pp ( ) 1993.pp ( 24)p138 F F F F-in F-out F ( ( 24)pp ) 1998.p

1 ( ) 4.1% 4.4% 4.% 1 ( ) 1.2%( ) 1.6% 3.8% 1( ) 5.6% 4, % 8 6.5% % 2 4.3% 47.8% 18.8% % 13 2, % 2.2% 13.% 218 ( ).

1 ( ) 4.1% 4.4% 4.% 1 ( ) 1.2%( ) 1.6% 3.8% 1( ) 5.6% 4,733 1 4.8% 8 6.5% 4 1 17.7% 2 4.3% 47.8% 18.8% 1 19.5% 13 2,4 2 57.6% 2.2% 13.% 218 (21 8 1 ).6% 1 4,91 1.8% 1 4,828 21 8 1 1.1% 8.4% 7.6% 1 9.4%