金融行业对实体行业的尾部风险传导研究——基于实体企业金融化视角

Research on Tail Risk Transmission of Financial Industry to Entities——Based on the Perspective of Entity Enterprise Financialisation

本文基于我国金融资本超额回报率的事实,在市场套利分析框架下实证检验了实体企业金融化是抑制还是加剧了尾部金融风险溢出。数值模拟结果表明:从杠杆率来看,实体企业金融化对杠杆率具有"双刃剑"效应,然而,实证结果发现,从长期经济后果来看,实体企业金融化却显著提高了杠杆率,基于Altman-Z值的风险分析进一步发现企业破产风险显著上升,从而加剧了尾部金融风险溢出。文章的研究结论有利于全面观察实体企业金融化带来的的实际效果,也揭示了金融行业对实体行业的风险传导过程中的一个风险源,对于实体经济和金融领域关于企业金融化效应的研究具有参考价值。

Based on the fact that China's financial capital exceeds the rate of raturn,this paper performs the empirical test to verify that the entity enterprise finance is to suppress or exacerbate the tail financial risk spillover under the framework of market arbitrage analysis.The results of the numerical simulation show that the entity enterprise financialization has a"double-edged sword"effect on the leverage ratio.However,the empirical results show that the real enterprise financialization has significantly increased the leverage ratio from the long-term economic consequences,and the risk analysis based on the Altman-Z value further finds that the enterprise bankruptcy risk has also increased.As a result,the tail financial risk spillover is aggravated.The conclusion of this paper is beneficial to the comprehensive observation of the actual effect of the entity enterprise financialization,and also reveals a risk source in the financial industry's risk transmission to the entity industry.It has a reference value for the research on the effect of enterprise financialization of the real economy and the financial field.