供应链风险传染效应的实证分析  

An empirical analysis on supply chain risk contagion effects

作　　者：徐敏[1] 喻冬冬 XU MIN YU DONGDONG(School of Economics and Management, Chang ＇an University, Xi ＇an 710064, China)

机构地区：[1]长安大学经济与管理学院,陕西西安710064

出　　处：《西安电子科技大学学报（社会科学版）》2016年第2期13-21,共9页Journal of Xidian University：Social Science Edition

基　　金：国家自然科学基金项目"供应链违约传染与风险度量:理论和实证研究"(71001011);教育部新世纪优秀人才支持计划项目"供应链风险管理"(NCET-11-0716);陕西省自然科学基础研究计划面上项目"基于成员企业风险偏好的供应链风险评估与治理"(2015JM7376)

摘　　要：文章选取2008年金融危机发生前后的产业指数数据,采用三元VAR-GARCH(1,1)-BEKK模型分析由煤炭、电力、制造企业构成的三级供应链风险传染效应。研究表明:制造企业与电力企业存在双向风险传染效应,电力企业风险只能单向传染给煤炭企业,煤炭企业风险能单向传染给制造企业。供应链成员企业之间的风险双向及跳跃式传染会加剧供应链整体风险,要求成员企业协同分析与控制风险。Based on the data of industry indexes before and after the financial crisis in 2008, this paper uses VAR-GARCH（1,1）-BEKK model to analyze risk contagion effect in a three-level supply chain composed of coal enterprises, power enterprises and manufacturing enterprises. The result shows that there exist a bi-directional risk contagion effect between manufacturing enterprises and power enterprises, a one-way risk contagion effect from power enterprises to coal enterprise, also one from coal enterprises to manufacturing enterprises. Seeing that bi-directional and salutatory risk contagion among supply chain members will intensify the overall risk of supply chain, those member enterprises are demanded to cooperatively analyze and control risks.

关 键 词：供应链风险管理 风险传染 VAR-GARCH(1 1)-BEKK模型 

分 类 号：F274[经济管理—企业管理]