民营企业财务风险形成与扩散机制研究
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摘要
在全球信贷危机外部冲击下,宏观经济环境不确定性因素持续增加,民营企业,尤其是外向型民营中小企业遭遇严重冲击,陷入严重经营困难和财务风险。高负债民营企业在信贷供给冲击下更加脆弱,资金链紧绷,财务风险凸显。事实上,在世界范围内,企业破产很普遍,世通、安然、环球电信、长期资本管理公司、雷曼兄弟、新疆德隆、江龙控股、无锡尚德。总之,企业持续经营危机是一个重大的理论与实践命题。
在经济全球化和区域一体化背景下,微观经济主体之间经济、贸易联系更加频繁,从而形成紧密的财务联系。例如供应链企业商业信用,银企信贷,银行间贷款,企业互保、联保,企业集团内部资本市场,战略联盟、联合投资等。本质上,联系是一把双刃剑。一方面,联系能够使企业节约交易成本、分散风险和缓解融资约束。另一方面,联系也可能产生负外部性。尤其在遭遇严重未预期的不利外部冲击时,这些财务联系内在是脆弱的,初始小的冲击可能发生扩散、放大,引发企业违约集聚、连锁破产,甚至区域系统性财务危机。
本研究遵循“信贷关系网络-风险分担-违约相关性-财务风险系统性扩散”逻辑分析框架,识别民营企业财务风险的形成机制和扩散机理,以期建立民营企业财务风险预警与控制长效机制。首先,运用动态logit模型,实证检验民营企业财务风险的主要影响因素。研究发现,企业现金流、负债及负债构成、债务期限、资产有形性对企业财务风险具有显著影响。进一步研究发现,企业现金流对企业财务危机具有长期预测能力,而短期负债具有短期预测能力。其次,识别基于关联方风险的财务风险扩散机制。本研究深入剖析浙江省民营企业担保圈危机,刻画民营企业担保风险扩散机制。最后,银行通过学习其他银行的类型可能产生协调失败。运用动态博弈分析框架研究民营企业财务风险扩散机制,银行策略互补、自实施信念更新是企业财务风险扩散的主要机制。
本研究对民营企业财务风险预测与扩散研究主要有三方面可能创新。
一、运用动态logit模型实证检验民营企业财务风险的主要影响因素。研究发现,企业现金流、负债结构(负债构成和期限结构)等对企业财务风险具有显著解释能力。在较长预测区间内,持续预测变量例如企业经营活动产生的现金流更加重要。本研究丰富有关公司投资、融资决策、资本结构选择与现金持有政策相关研究。
二、识别基于关联方风险的财务风险扩散机制。基于浙江省民营企业担保链的分析,着重对联保贷款机制、模式、特征和风险进行分析,并结合具有代表性的担保链,深入刻画民营企业互保、担保风险的扩散机制。研究发现,银行抽贷是担保圈危机的主要推手。进一步提出民营企业互保、联保博弈分析框架,以期更深刻理解联保贷款机制,防范风险。
三、识别基于银行预期的财务风险扩散机制。通过债权人学习过程,即对其他债权人的类型和行动的信念更新,债权人协调失败使企业遭挤兑,这样,通过共同债权人学习过程,一企业遭遇财务危机增加另一企业陷入财务危机的概率。概括地,这是基于信息的财务风险扩散。
Faced with external shock such as the global financial crisis, macroeconomic environment is sharply volatile, Chinese private enterprises, especially export-oriented enterprises, suffered from great shock, caught in serious operational difficulties and financial distress. Highly levered firms are more vulnerable to the credit supply shock, funding chain tightened and financial risk increasing. As a matter of fact, firm bankruptcy is rather common throughout the world, WorldCom, Enron, Global Telecom, LTCM, Lehman Brothers, Xinjiang Delong, Jianglong Holdings, Wuxi Suntech. In short, firms'sustainable operational crisis is a significantly theoretical and practical proposition.
With economic globalization and regional integration, firms trade frequently, resulting in fund ties, such as trade credit, bank loan, co-guarantee loans, internal capital market in group firms, strategic alliances and joint venture as well. By nature, contact is a double-edged sword. On the one hand, these financial links help firms to save transaction costs, risk diversification, and mitigating financial constraint. On the other hand, the financial relationship between firms is very fragile, especially during severe adverse shock. Initial small shock transmits and amplifies, resulting in contagious defaults and even systematic financial crisis.
With the logic analytic framework of "credit network-risk sharing-default correlation-systematic diffusion of financial risk", we indentify the formation and diffusion mechanism of private enterprises' financial risk, in order to establish early warning and long-term control mechanism of private enterprises' financial risk. Firstly, we use dynamic logit model to empirically investigate the main determinants of private enterprises' financial risk. Evidence demonstrates that cash flow, debt and debt structure, debt maturity, and asset tangibility exert significant effect on private enterprises' financial risk. Further evidence shows that cash flow has long-term ability in forecasting financial distress, yet short-term debt is a sound short-term predictor. Secondly, we indentify the financial risk diffusion mechanism based on counterparty. This study analyzes in depth the private enterprises' guarantee circle crisis in Zhejiang Province, depicting private enterprises' guarantee risk diffusion mechanism. Finally, banks'learning from types of other banks may lead to coordination failures. We use dynamic games technique to focus on the diffusion mechanism of private enterprises' financial risk. Bank strategic complementarities and self-fulfilling belief are the main diffusion mechanism of private enterprises' financial risk.
We make contributions on research on prediction and diffusion of private enterprises' financial risk in three aspects.
Firstly, we use dynamic logic model to empirically investigate the main determinants of private enterprises' financial risk. Evidence demonstrates that cash flow, debt structure (debt and maturity structure) have significant prediction ability of enterprises' financial risk. At long prediction horizon, continuous predictor variable such as cash flow from operation becomes more important. Our study enriches related research on enterprises' investment decision, financing decision, choice of capital structure and cash policy.
Secondly, we indentify financial risk diffusion mechanism based on counterparty. Based on private enterprises' guarantee chain in Zhejiang Province, we focus on mechanism, pattern, characteristics and risk of co-guarantee loans. And combined with representative guarantee chains, We describe in depth the diffusion mechanism of co-guarantee loans of private enterprises. The study demonstrates that bank panic run is the main driver of guarantee circle crisis. We also put forward the games analytic framework of private enterprises' co-guarantee loans, so as to further understand co-guarantee loans mechanism and prevent risk.
Finally, we indentify the financial risk diffusion mechanism based on banks' expectation. By means of the learning process of creditors, that is, belief updating of the types and actions of other creditors, creditor coordination failures make enterprises susceptible to run. Thus, through the learning process of co-creditors, one enterprise suffering from financial risk might lead to the probability of another enterprise encountering financial crisis increasing. In general, this is information-based financial risk diffusion.
在经济全球化和区域一体化背景下,微观经济主体之间经济、贸易联系更加频繁,从而形成紧密的财务联系。例如供应链企业商业信用,银企信贷,银行间贷款,企业互保、联保,企业集团内部资本市场,战略联盟、联合投资等。本质上,联系是一把双刃剑。一方面,联系能够使企业节约交易成本、分散风险和缓解融资约束。另一方面,联系也可能产生负外部性。尤其在遭遇严重未预期的不利外部冲击时,这些财务联系内在是脆弱的,初始小的冲击可能发生扩散、放大,引发企业违约集聚、连锁破产,甚至区域系统性财务危机。
本研究遵循“信贷关系网络-风险分担-违约相关性-财务风险系统性扩散”逻辑分析框架,识别民营企业财务风险的形成机制和扩散机理,以期建立民营企业财务风险预警与控制长效机制。首先,运用动态logit模型,实证检验民营企业财务风险的主要影响因素。研究发现,企业现金流、负债及负债构成、债务期限、资产有形性对企业财务风险具有显著影响。进一步研究发现,企业现金流对企业财务危机具有长期预测能力,而短期负债具有短期预测能力。其次,识别基于关联方风险的财务风险扩散机制。本研究深入剖析浙江省民营企业担保圈危机,刻画民营企业担保风险扩散机制。最后,银行通过学习其他银行的类型可能产生协调失败。运用动态博弈分析框架研究民营企业财务风险扩散机制,银行策略互补、自实施信念更新是企业财务风险扩散的主要机制。
本研究对民营企业财务风险预测与扩散研究主要有三方面可能创新。
一、运用动态logit模型实证检验民营企业财务风险的主要影响因素。研究发现,企业现金流、负债结构(负债构成和期限结构)等对企业财务风险具有显著解释能力。在较长预测区间内,持续预测变量例如企业经营活动产生的现金流更加重要。本研究丰富有关公司投资、融资决策、资本结构选择与现金持有政策相关研究。
二、识别基于关联方风险的财务风险扩散机制。基于浙江省民营企业担保链的分析,着重对联保贷款机制、模式、特征和风险进行分析,并结合具有代表性的担保链,深入刻画民营企业互保、担保风险的扩散机制。研究发现,银行抽贷是担保圈危机的主要推手。进一步提出民营企业互保、联保博弈分析框架,以期更深刻理解联保贷款机制,防范风险。
三、识别基于银行预期的财务风险扩散机制。通过债权人学习过程,即对其他债权人的类型和行动的信念更新,债权人协调失败使企业遭挤兑,这样,通过共同债权人学习过程,一企业遭遇财务危机增加另一企业陷入财务危机的概率。概括地,这是基于信息的财务风险扩散。
Faced with external shock such as the global financial crisis, macroeconomic environment is sharply volatile, Chinese private enterprises, especially export-oriented enterprises, suffered from great shock, caught in serious operational difficulties and financial distress. Highly levered firms are more vulnerable to the credit supply shock, funding chain tightened and financial risk increasing. As a matter of fact, firm bankruptcy is rather common throughout the world, WorldCom, Enron, Global Telecom, LTCM, Lehman Brothers, Xinjiang Delong, Jianglong Holdings, Wuxi Suntech. In short, firms'sustainable operational crisis is a significantly theoretical and practical proposition.
With economic globalization and regional integration, firms trade frequently, resulting in fund ties, such as trade credit, bank loan, co-guarantee loans, internal capital market in group firms, strategic alliances and joint venture as well. By nature, contact is a double-edged sword. On the one hand, these financial links help firms to save transaction costs, risk diversification, and mitigating financial constraint. On the other hand, the financial relationship between firms is very fragile, especially during severe adverse shock. Initial small shock transmits and amplifies, resulting in contagious defaults and even systematic financial crisis.
With the logic analytic framework of "credit network-risk sharing-default correlation-systematic diffusion of financial risk", we indentify the formation and diffusion mechanism of private enterprises' financial risk, in order to establish early warning and long-term control mechanism of private enterprises' financial risk. Firstly, we use dynamic logit model to empirically investigate the main determinants of private enterprises' financial risk. Evidence demonstrates that cash flow, debt and debt structure, debt maturity, and asset tangibility exert significant effect on private enterprises' financial risk. Further evidence shows that cash flow has long-term ability in forecasting financial distress, yet short-term debt is a sound short-term predictor. Secondly, we indentify the financial risk diffusion mechanism based on counterparty. This study analyzes in depth the private enterprises' guarantee circle crisis in Zhejiang Province, depicting private enterprises' guarantee risk diffusion mechanism. Finally, banks'learning from types of other banks may lead to coordination failures. We use dynamic games technique to focus on the diffusion mechanism of private enterprises' financial risk. Bank strategic complementarities and self-fulfilling belief are the main diffusion mechanism of private enterprises' financial risk.
We make contributions on research on prediction and diffusion of private enterprises' financial risk in three aspects.
Firstly, we use dynamic logic model to empirically investigate the main determinants of private enterprises' financial risk. Evidence demonstrates that cash flow, debt structure (debt and maturity structure) have significant prediction ability of enterprises' financial risk. At long prediction horizon, continuous predictor variable such as cash flow from operation becomes more important. Our study enriches related research on enterprises' investment decision, financing decision, choice of capital structure and cash policy.
Secondly, we indentify financial risk diffusion mechanism based on counterparty. Based on private enterprises' guarantee chain in Zhejiang Province, we focus on mechanism, pattern, characteristics and risk of co-guarantee loans. And combined with representative guarantee chains, We describe in depth the diffusion mechanism of co-guarantee loans of private enterprises. The study demonstrates that bank panic run is the main driver of guarantee circle crisis. We also put forward the games analytic framework of private enterprises' co-guarantee loans, so as to further understand co-guarantee loans mechanism and prevent risk.
Finally, we indentify the financial risk diffusion mechanism based on banks' expectation. By means of the learning process of creditors, that is, belief updating of the types and actions of other creditors, creditor coordination failures make enterprises susceptible to run. Thus, through the learning process of co-creditors, one enterprise suffering from financial risk might lead to the probability of another enterprise encountering financial crisis increasing. In general, this is information-based financial risk diffusion.
引文
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