国际金融风险传导的微观经济基础研究:基于公司数据角度

发布时间：2019-04-12 14:28

【摘要】：金融一体化与金融动荡的全球蔓延是当今国际金融市场的突出特征。本文通过公司数据的研究旨在揭示宏观上联动和传染的微观经济基础。具体而言,本文构建了一个由我国各类行业典型上市公司宏微观经济特征数据构成的样本,以美国次贷危机及后续的欧债危机为典型事件,研究并揭示国际金融市场动荡对我国资本市场的传染渠道及其异质性影响。结果表明:与危机国存在出口竞争关系的公司,与危机国有直接贸易往来的公司,以及对短期债务更加依赖的公司在危机期间的市场表现更差。研究结论证实产品竞争力、收入效应和信贷紧缩是危机传染的主要渠道,而流动性不足引发的资产组合调整压力在我国市场上并未出现。
[Abstract]:The global spread of financial integration and financial turbulence is a prominent feature of today's international financial markets. The purpose of this paper is to reveal the micro-economic base of linkage and contagion on the macroscopical level through the research of company data. Specifically, this paper constructs a sample of macro-and micro-economic characteristics of typical listed companies in various industries in China, taking the subprime mortgage crisis in the United States and the subsequent European debt crisis as the typical events. This paper studies and reveals the influence of international financial market turbulence on the contagion channels and heterogeneity of China's capital markets. The results show that firms with export competition with crisis countries, those with direct trade with crisis countries, and those more dependent on short-term debt performed worse in the market during the crisis. The results show that product competitiveness, income effect and credit crunch are the main channels of contagion, while the pressure of portfolio adjustment caused by lack of liquidity does not appear in the market of our country.
【作者单位】：湖南师范大学商学院;湖南师范大学;
【基金】：国家自然科学基金资助项目“国际金融市场联动与传染的微观机制及其模拟研究”(项目编号:71473081)的资助
【分类号】：F831.59

【相似文献】