经济周期、经济转型与企业系统性信用风险——基于ECTM模型的实证研究  

Economic Cycles,Economic Transition and Systemic Credit Risk of Firms:Empirical Study Based on ECTM Model

作　　者：李关政[1,2] 彭建刚[2] 吕志华[2] 

机构地区：[1]招商银行博士后流动工作站,广东深圳518067 [2]湖南大学金融与统计学院,湖南长沙410079

出　　处：《财经研究》2011年第6期25-35,共11页Journal of Finance and Economics

基　　金：国家自然科学基金项目(70673021);中国博士后科学基金(20100480781);国家留学基金委建设高水平大学项目(2008101824);湖南省研究生科研创新项目(CX2009B062)的支持

摘　　要：我国企业的系统性信用风险根源于经济周期和经济转型两方面,但已有研究对经济转型因素缺乏足够重视。文章构建了ECTM模型,筛选出对我国企业系统性信用风险有显著影响的两个经济周期因子和三个经济转型因子,并刻画其作用方向和程度。结论显示,未来我国企业所有制多元化程度的提高和金融市场化改革有助于降低企业的系统性信用风险,但外贸依存度的下降则可能给相关企业带来冲击。我国银行业应加强对企业系统性信用风险的监测和防范。Firms＇systemic credit risk in China stems from economic cycles and economic transition, but current studies lack enough emphasis on the latter. By constructing an ECTM model, this paper selects two factors of economic cycles and three factors of economic transition, which significantly affect firms＇ systemic credit risk, and measures the direction and extent of their effects. The results show that the increase in diversification degree of enterprise ownership and the financial marketization reform in the future will be advantageous to the reduction in systemic credit risk, but the decrease in the dependence on foreign trade may subject relevant firms to the shock. So the banking in China should pay attention to the detection and prevention of firms＇ systemic credit risk.

关 键 词：经济周期 经济转型 系统性信用风险 ECTM模型 

分 类 号：F830.56[经济管理—金融学]