实体企业融资结构对金融市场风险的溢出效应研究

Study on the Financial Structure of Non-Financial Corporations and the Risk Spillover in Financial Markets

国际金融危机以来,实体经济部门,尤其是非金融企业的融资结构与金融风险溢出的关系,越来越引起学界的重视。本文将反映非金融企业融资结构的杠杆率从横向和纵向分解,从两个维度考察其对金融市场风险溢出效应的影响。在此基础上,利用中介效应模型考察了非金融企业融资结构是否会通过影响企业破产风险,进而作用于金融市场风险溢出。实证表明:非金融企业融资结构恶化会加剧金融市场风险溢出,且破产风险的扩大,是非金融企业融资结构恶化加剧金融市场风险溢出的部分中介因子。此外,在考虑宏观环境的调节效应后,本文还发现,非金融企业融资结构恶化对金融市场风险溢出效应的正向影响,会随着货币政策的宽松而加剧。本文的政策启示是:非金融企业减少短期债务融资、扩大权益融资占比,对于优化自身融资结构进而抑制金融市场风险溢出,具有显著作用。

Since the global financial crisis, the relationship between the financial structure of the real economy,particularly non-financial corporations, and financial risk spillovers has attracted wide attention from academia.This paper decomposes the leverage ratio of non-financial corporations which stands for their financial structurefrom both vertical and horizontaldimensions and investigates its impacts on risk spillovers in financial markets.This paper then employs the intermediary effects model to study whether thefinancial structure of nonfinancialcorporations impacts risk spillovers in financial markets through bankruptcies. We find that the deterioration of thefinancial structure of nonfinancial corporations amplifies the risk spillover in financial markets, and bankruptcyrisk is the intermediary factor. Taking into account the adjustment effects of macroeconomic environment, thispaper further finds that the impacts of the deteriorating financial structure of non-financial corporations on riskspillovers in financial markets becomes larger with more loose monetary policies. The policy implications of thispaper is that the reductions of short-term debts of non-financial corporations and the increase equity financing ratiohave significantly impacts on optimizing financial structure and confining risk spillover of financial markets.