金融行业对实体行业的尾部风险传导研究——基于实体企业金融化视角
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摘要
本文基于我国金融资本超额回报率的事实,在市场套利分析框架下实证检验了实体企业金融化是抑制还是加剧了尾部金融风险溢出。数值模拟结果表明:从杠杆率来看,实体企业金融化对杠杆率具有"双刃剑"效应,然而,实证结果发现,从长期经济后果来看,实体企业金融化却显著提高了杠杆率,基于Altman-Z值的风险分析进一步发现企业破产风险显著上升,从而加剧了尾部金融风险溢出。文章的研究结论有利于全面观察实体企业金融化带来的的实际效果,也揭示了金融行业对实体行业的风险传导过程中的一个风险源,对于实体经济和金融领域关于企业金融化效应的研究具有参考价值。
Based on the fact that China's financial capital exceeds the rate of raturn, this paper performs the empirical test to verify that the entity enterprise finance is to suppress or exacerbate the tail financial risk spillover under the framework of market arbitrage analysis. The results of the numerical simulation show that the entity enterprise financialization has a "double-edged sword" effect on the leverage ratio. However, the empirical results show that the real enterprise financialization has significantly increased the leverage ratio from the long-term economic consequences, and the risk analysis based on the Altman-Z value further finds that the enterprise bankruptcy risk has also increased. As a result, the tail financial risk spillover is aggravated. The conclusion of this paper is beneficial to the comprehensive observation of the actual effect of the entity enterprise financialization, and also reveals a risk source in the financial industry's risk transmission to the entity industry. It has a reference value for the research on the effect of enterprise financialization of the real economy and the financial field.
Based on the fact that China's financial capital exceeds the rate of raturn, this paper performs the empirical test to verify that the entity enterprise finance is to suppress or exacerbate the tail financial risk spillover under the framework of market arbitrage analysis. The results of the numerical simulation show that the entity enterprise financialization has a "double-edged sword" effect on the leverage ratio. However, the empirical results show that the real enterprise financialization has significantly increased the leverage ratio from the long-term economic consequences, and the risk analysis based on the Altman-Z value further finds that the enterprise bankruptcy risk has also increased. As a result, the tail financial risk spillover is aggravated. The conclusion of this paper is beneficial to the comprehensive observation of the actual effect of the entity enterprise financialization, and also reveals a risk source in the financial industry's risk transmission to the entity industry. It has a reference value for the research on the effect of enterprise financialization of the real economy and the financial field.
引文
[1]陈学彬,《当代金融危机的行成、扩散与防范机制研究》[M],上海:上海财经大学出版社,2007年3月,107-142,411-414.
[2]吴军,陈丽萍,《非金融企业金融化程度与杠杆率变动的关系》[J],金融论坛,2018年第一期。3-15
[3]孙红梅、朱伟琪、崔百胜,《金融危机的传导效应》[J],金融论坛,2018年第一期,16-21
[4]黄为伟,《我国中小上市企业杠杆率与风险承担关系研究》[C],华侨大学,2017
[5]张斌,《推动金融补短板,当务之急做好三件事》[Z],中国金融四十人论坛,2018
[6]张远军,《杠杆的结构性特征与差异施测——基于非金融企业的视角》[Z],中国金融论坛,2017年第18期
[7]张小茜,孙璐佳,《抵押品清单扩大、过度杠杆化与企业破产风险》[J],中国工业经济,2017年第7期,175~190
[8]程六兵,叶凡,刘峰,《资本市场管制与企业资本结构》[J],中国工业经济,2017年第11期,155~171
[9]卢文伟,《经济短周期与股市的行业效应——基于1999年以来中国股市的实证分析》[M],上海:上海社会科学院出版社,2014年
[10]刘星,彭程.《负债融资与企业投资决策:破产风险视角的互动关系研究》[J].管理工程学报,2009,23(01):104-111.
[11]Zachary Feinstein,Fatena El-Masri.The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks[J].Statistics&Risk Modeling,2017,34(3-4).
[12]Chanjuan Li,Zhongfei Li.Multi-period portfolio optimization for asset-liability management with bankrupt control[J].Applied Mathematics and Computation,2012,218(22).
[13]Wan-Chien Chiu,Juan Ignacio Pena,Chih-Wei Wang.Industry Characteristics and Financial Risk Contagion[J],Journal of Banking and Finance,2015,50(1):411-427.
[14]王红建,曹瑜强,杨庆,杨筝.实体企业金融化促进还是抑制了企业创新——基于中国制造业上市公司的经验研究[J].南开管理评论,2017,20(01):155-166.
[15]刘丽娜,马亚民.实体企业金融化、过度负债与股价崩盘风险——基于上市公司投资视角的检验[J].云南财经大学学报,2018,34(03):41-55.
(1)稳健性检验结果未详细列出,有兴趣的读着可向笔者索取。
[2]吴军,陈丽萍,《非金融企业金融化程度与杠杆率变动的关系》[J],金融论坛,2018年第一期。3-15
[3]孙红梅、朱伟琪、崔百胜,《金融危机的传导效应》[J],金融论坛,2018年第一期,16-21
[4]黄为伟,《我国中小上市企业杠杆率与风险承担关系研究》[C],华侨大学,2017
[5]张斌,《推动金融补短板,当务之急做好三件事》[Z],中国金融四十人论坛,2018
[6]张远军,《杠杆的结构性特征与差异施测——基于非金融企业的视角》[Z],中国金融论坛,2017年第18期
[7]张小茜,孙璐佳,《抵押品清单扩大、过度杠杆化与企业破产风险》[J],中国工业经济,2017年第7期,175~190
[8]程六兵,叶凡,刘峰,《资本市场管制与企业资本结构》[J],中国工业经济,2017年第11期,155~171
[9]卢文伟,《经济短周期与股市的行业效应——基于1999年以来中国股市的实证分析》[M],上海:上海社会科学院出版社,2014年
[10]刘星,彭程.《负债融资与企业投资决策:破产风险视角的互动关系研究》[J].管理工程学报,2009,23(01):104-111.
[11]Zachary Feinstein,Fatena El-Masri.The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks[J].Statistics&Risk Modeling,2017,34(3-4).
[12]Chanjuan Li,Zhongfei Li.Multi-period portfolio optimization for asset-liability management with bankrupt control[J].Applied Mathematics and Computation,2012,218(22).
[13]Wan-Chien Chiu,Juan Ignacio Pena,Chih-Wei Wang.Industry Characteristics and Financial Risk Contagion[J],Journal of Banking and Finance,2015,50(1):411-427.
[14]王红建,曹瑜强,杨庆,杨筝.实体企业金融化促进还是抑制了企业创新——基于中国制造业上市公司的经验研究[J].南开管理评论,2017,20(01):155-166.
[15]刘丽娜,马亚民.实体企业金融化、过度负债与股价崩盘风险——基于上市公司投资视角的检验[J].云南财经大学学报,2018,34(03):41-55.
(1)稳健性检验结果未详细列出,有兴趣的读着可向笔者索取。