金融同业活动与实体企业经营风险——来自地区层面同业存单业务的证据  

Interbank Financial Activity and Firms’Operating Risk in the Real Sector:Evidence from Regional-level Interbank Negotiable Certificates of Deposit(INCDs)

作　　者：倪骁然[1] 刘士达 NI Xiaoran;LIU Shida(School of Economics,Xiamen University;School of Economics and Management,Tsinghua University)

机构地区：[1]厦门大学经济学院金融系,福建厦门361005 [2]清华大学经济管理学院,北京100084

出　　处：《金融研究》2020年第9期136-153,共18页Journal of Financial Research

基　　金：国家自然科学基金青年项目(71802170)的资助;“计量经济学”教育部重点实验室(厦门大学)的支持。

摘　　要：本文研究了地区层面金融同业活动对实体企业经营风险的影响。基于各省份金融机构开启同业存单业务的研究表明,地区层面金融同业活动显著提升了当地上市企业股价大幅下跌的风险。进一步研究表明,随着同业存单业务的发展,当地上市企业债务融资成本和风险水平有所上升,而业绩表现和市场价值有所下降。上述发现表明,企业融资链条变长后,信贷市场道德风险上升,部分企业因风险偏好增强导致经营风险上升,更容易突然出现负面事件而导致股价大幅下跌。本文的发现揭示了金融同业活动存在监管规避的可能性及其影响实体企业的潜在路径,凸显了完善金融监管以更好服务实体经济发展的重要现实意义。During the post-crisis period,regulators encourage financial innovation to stimulate economic growth.However,financial innovation is accompanied by the rapid development of shadow banking,which has raised many concerns among practitioners and policymakers.Although many studies have discussed the unintended consequences of financial innovation on the financial system,empirical evidence of how financial innovation affects the real economy is rare.In this paper,we attempt to fill this gap by studying how interbank financial innovation can affect the operating risk and likelihood of stock price crashes of listed firms.Stock price crashes are regarded as extreme bad events in stock markets.They fundamentally depend on a firm’s operating risk and are largely driven by the intentional hoarding of bad news by firm insiders.When a firm’s operating risk is high,the firm is more likely to experience negative events during the operating process,leading firm insiders to withhold bad news from external investors.Once the bad news is suddenly leaked to the market,the firm will experience tremendous stock price crashes.Specifically,to understand how interbank financial innovation affects firms’operating risk,we focus on the introduction of Interbank Negotiable Certificates of Deposit(INCDs)in 2013.Although INCDs were introduced to propel the liberalization of interest rates,they have been widely used in the banking sector to circumvent regulations.Since INCDs are introduced by the banking sector at different times across different provinces,we are able to study the effects of regional interbank financial innovation on the firm stock price crash risk in a difference-in-differences(DiD)setting.We conduct a quarterly empirical analysis of listed Chinese firms over the 2011-2016 period.We find that the stock price crash risk of local listed firms increases significantly after INCDs are introduced into the corresponding region.The effect is also of economic significance:on average,the stock price crash risk of firms increases t

关 键 词：金融同业活动 同业存单 企业经营风险 监管规避 

分 类 号：F832.2[经济管理—金融学] F279.2