供应链与信用违约互换的外部性研究——来自企业层面的证据

A Study on the Externalities of Supply Chain and Credit Default Swaps——Evidence from Enterprise Level

本文基于2009-2019年企业层面数据,从供应链角度考察信用违约互换(CDS)交易的外部性。首先,构建PVAR模型并使用格兰杰因果关系检验,从价格发现方面证实CDS交易对供应链上的供应商存在外部性。其次,面板数据分析发现,下游客户CDS交易对其上游供应商具有正的外部性,且在发达国家企业以及非科技行业中更为显著:供应商将客户参与CDS交易视为风险对冲行为,从而相应地提高其杠杆率。

Based on the enterprise level data from 2009 to 2019,this paper examines the externalities of Credit Default Swap(CDS)transactions from a supply chain perspective.Firstly,a PVAR model and Granger causality test are used to confirm the externalities of CDS transactions on suppliers in the supply chain from the perspective of price discovery.Secondly,panel data analysis shows that downstream customer CDS transactions have a positive externality on their upstream suppliers,and is more significant in enterprises of developed countries and non-tech industries:suppliers view customer participation in CDS transactions as risk hedging behavior,thereby correspondingly increasing their leverage ratio.