宏观经济因素对股权质押融资风险的影响研究

Research on the Impact of Macroeconomic Factors on Equity Pledge Financing Risks

自2018年以来股权质押融资风险频发,许多金融机构深受其害。本文基于2014-2022年的季度数据构建VAR模型,研究发现:股权质押融资风险同时受信用周期和股票周期影响,股权质押融资额增长有助于降低股权司法冻结现象,沪深300上涨在短期内会轻微缓解股权司法冻结,但是长期看会导致股权司法冻结增多。金融机构、投资者与监管政策三方共同努力,对于有效管控股权质押融资风险具有重要作用。

Since 2018,there has been a surge in equity pledge financing risks,causing significant harm to many financial institutions.A VAR model constructed using quarterly data from 2014 to 2022 revealed that these risks are influenced by both the credit cycle and stock market cycle.The study also found that an increase in equity pledge financing helps mitigate judicial freezes on equity,while a short-term rise in the Shanghai and Shenzhen 300 Index slightly alleviates such freezes.However,in the long run,it contributes to an increase in judicial freezes on equity.The concerted efforts of financial institutions,investors,and regulatory policies play a crucial role in effectively managing the risks associated with equity pledge financing.