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

Micro-Economic Foundation of Risk Contagion from International Financial Markets: A Study Based on Firm-Level Data

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。

Financial Integration and global spread of financial turbulence are prominent features of international financial markets. This paper aims to explore the micro-foundation of the macro co-movement and contagion using firm-data.In particular,we construct a new data set of macro and micro economic data about typical listed companies in China. Then we examine the transmission channels and heterogeneity influence of the Subprime crisis and European debt crisis to our capital market. Results show that firms competing with exports from the crisis countries,having direct sales exposure to the crisis countries,and more relying on short-term debt,had worse market performance. Firms with higher stock liquidity,however,did not experience lower abnormal returns. These results suggest that product competitiveness,income effect and credit crunch are contagion channels. Results suggest that product competitiveness,income effect and credit crunch are key contagion channels. However,portfolio adjustment pressures triggered by making up the need of liquidity were not significant in China's stock market.