我国医药行业国企与民企间的风险传染分析——基于国企混改后的实证研究  

Analysis of risk transmission between state-owned enterprises and private enterprises in China’s pharmaceutical industry——Empirical research based on the mixed reform of state-owned enterprises

作　　者：闫海波 安璐 YAN Haibo;AN Lu(School of Statistics and Data Science,Xinjiang University of Finance and Economics,830012,Urumqi,Xinjiang,PRC)

机构地区：[1]新疆财经大学统计与数据科学学院,新疆维吾尔自治区乌鲁木齐市830012

出　　处：《曲阜师范大学学报（自然科学版）》2022年第2期33-39,共7页Journal of Qufu Normal University(Natural Science)

基　　金：国家社会科学基金(17BJY235);新疆维吾尔自治区高校科研计划项目(XJEDU2017M028)。

摘　　要：通过Granger因果检验和以t分布为边缘分布的混合Copula函数对我国医药行业国企混改前后与民企间的相依关系进行研究,并且用蒙特卡洛方法分析了在不同置信水平下国企和民企间的风险特征,结果表明,用混合Copula函数刻画的国企和民企间相依结构最优,混改后我国医药行业国企和民企之间的联动性有所增强,面临的风险也有所降低.In this paper, Granger causality test and mixed Copula function with t distribution as edge distribution were used to study the dependence relationship between state-owned enterprises and private enterprises in China’s pharmaceutical industry before and after mixed reform. Monte Carlo method was used to analyze the risk characteristics between state-owned enterprises and private enterprises at different confidence levels. The results show that: the codependence structure between state-owned enterprises and private enterprises described by the mixed Copula function is the best. After the mixed reform, the coactivity between state-owned enterprises and private enterprises in China’s pharmaceutical industry is enhanced, and the risks are also reduced.

关 键 词：混合所有制改革 GRANGER检验 混合Copula函数 蒙特卡洛模拟 

分 类 号：F832.5[经济管理—金融学]