投贷联动的系统性风险抵减效应——Basel 3.5准则下来自科创型企业的实证  

Systemic Risk Mitigation Effect of Investment-Loan Linkage--An Empirical Study from Science and Innovation Companies under the Basel 3.5

作　　者：刘妹[1] LIU Mei(School of Accounting and Finance,Anhui Xinhua University,Hefei,Anhui,230088,China)

机构地区：[1]安徽新华学院财会与金融学院,安徽合肥230088

出　　处：《西安石油大学学报（社会科学版）》2021年第3期9-16,65,共9页Journal of Xi’an Shiyou University:Social Science Edition

基　　金：安徽省高校人文社科重点资助项目“安徽省科创企业投贷联动风险管控研究”(SK2019A0734);安徽省高等学校省级质量工程项目(2019MOOC346)。

摘　　要：基于我国1773家科创型上市企业2000—2019年的数据,利用Basel 3.5高级内部评级方法,以资产相关性系数为核心构建商业银行投贷联动系统性风险模型,实证检验投贷联动系统性风险的抵减效应。研究发现:中小型企业的资产相关性相对较低,针对中小型企业的投贷联动具有显著的系统性风险抵减优势;产业特征对资产相关性系数存在显著的正向影响,同时我国资产相关性系数具有明显的顺周期性。提出应加大对中小型企业的支持力度,健全多层次资本市场,强化投贷联动的系统性风险抵减效应,推动投贷联动有效落实。Based on the data of 1773 Chinese listed scientific and technological innovation enterprises from 2000 to 2019,this article uses Basel 3.5 advanced internal rating method,constructs a commercial bank investment-loan linkage systemic risk model with the asset correlation coefficient as the core,and empirically tests the mitigation effect of investment-loan linkage systemic risks.The study shows that the asset correlation of SMEs is relatively low,and the investment-loan linkages of SMEs have significant systemic risk reduction advantages;industrial characteristics have a significant positive impact on the asset correlation coefficient,and my country's asset correlation coefficient has obviously reasonable procyclicality.Therefore,it is suggested that we should increase the support for SMEs and improve the multi-level capital market,strengthen the systemic risk reduction effect of investment-loan linkage,and promote the effective implementation of investment and loan linkage.

关 键 词：投贷联动 Basel 3.5规则 系统性风险 科创型企业 

分 类 号：F832.4[经济管理—金融学]