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1、AStructuralEstimationonCapitalMarketDistortionsZhengMichaelSongyGuiyingLauraWuzThisversion:August2012AbstractCapitalmarketdistortionsloweraggregateproductivee¢ciencybymisallocatingre-sources.Theexistingliteratureinferssuchdistortionsfromthedispersionoftheaverage
2、revenueproductofcapital.However,themethodologyissubjecttoasetofidenti…cationissues:unobservedheterogeneitiesinproductiontechnologyandmarketpower,capitalad-justmentcostswithidiosyncraticshocks,andmeasurementerrorsinthedata.Thispaperdevelopsastructuraleconometricap
3、proachofidentifyingandestimatingcapitalmarketdistortionsinenvironmentswherealltheaboveelementscanbepresent.Usingarepresen-tative…rm-leveldataintheChinesemanufacturingfrom2004to2007,we…ndamagnitudeofdistortionsthatissmallerthanthatintheliteraturebutstillsubstantia
4、l.Capitalmarketdistortionsimplyaggregaterevenuetotalfactorproductivitylossesof40%intheChinesemanufacturing.WealsoestimatedistortionsinacomparablesampleofCompustat…rms.Improvingcapitalallocatione¢ciencyintheChinesemanufacturingtothelevelamongtheCompustat…rmswouldi
5、ncreaseChina’smanufacturingoutputby31%.Finally,wepresentempiricalevidencethat…rmsize,age,ownershipandpoliticalconnectionscansigni…cantlya¤ectcapitalallocationintheChinesemanufacturing.JELClassi…cation:E22,D92,C15Keywords:capitalmarketdistortions,aggregateTFPR,uno
6、bservedheterogeneitiesWewouldliketothankChang-TaiHsieh,HanmingFang,KjetilStoresletten,Shang-JinWei,FabrizioZilibotti,XiaodongZhu,seminarandconferenceparticipantsatmanyinstitutionsforhelpfulcomments.WealsothankJieLuoandChaoDuanforexcellentresearchassistance.yUniv
7、ersityofChicago,BoothSchoolofBusiness.Email:zheng.song@chicagobooth.edu.zDivisionofEconomics,NanyangTechnologicalUniversity.Email:guiying.wu@ntu.edu.sg.1IntroductionResourceallocativee¢ciencydi¤ersacrosscountries.Thedi¤erencehasrecentlybeenfoundimportanttoaccount
8、forthelargecross-countrydi¤erenceinaggregateproductivee¢ciency(RestucciaandRogerson,2008;HsiehandKlenow,2009).1Acornerstoneofthequantitativeanalysisistoestimat
