供应链风险传染效应的实证分析

An empirical analysis on supply chain risk contagion effects

文章选取2008年金融危机发生前后的产业指数数据,采用三元VAR-GARCH(1,1)-BEKK模型分析由煤炭、电力、制造企业构成的三级供应链风险传染效应。研究表明:制造企业与电力企业存在双向风险传染效应,电力企业风险只能单向传染给煤炭企业,煤炭企业风险能单向传染给制造企业。供应链成员企业之间的风险双向及跳跃式传染会加剧供应链整体风险,要求成员企业协同分析与控制风险。

Based on the data of industry indexes before and after the financial crisis in 2008, this paper uses VAR-GARCH（1,1）-BEKK model to analyze risk contagion effect in a three-level supply chain composed of coal enterprises, power enterprises and manufacturing enterprises. The result shows that there exist a bi-directional risk contagion effect between manufacturing enterprises and power enterprises, a one-way risk contagion effect from power enterprises to coal enterprise, also one from coal enterprises to manufacturing enterprises. Seeing that bi-directional and salutatory risk contagion among supply chain members will intensify the overall risk of supply chain, those member enterprises are demanded to cooperatively analyze and control risks.