资产流动性、政府纾困力度与企业违约风险  

Asset liquidity,government bail-out and enterprise default risk

作　　者：杨金强[1,2] 林春鹏 胡涛 YANG Jinqiang;LIN Chunpeng;HU Tao(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]上海国际金融与经济研究院,上海200433

出　　处：《系统工程理论与实践》2022年第9期2333-2349,共17页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(72072108,71772112);上海财经大学研究生创新基金(CXJJ-2020-349,CXJJ-2020-351)。

摘　　要：本文基于企业的违约决策特征,将寻求政府纾困视作一项实物期权,构建了连续时间下的企业动态模型,以此揭示资产流动性、政府纾困力度对企业债务违约风险交互影响的内在逻辑.理论模型表明,以市场潜在出售机会减少为表现的企业资产流动性下降会提高企业违约风险,而政府纾困力度的加强能削弱资产流动性对违约风险的影响.本文以2009-2019年中国A股上市公司作为样本进行了实证检验,结果与理论模型一致.进一步研究发现,政府纾困对企业违约风险的影响具有区域异质性,经济发展状况越好、政府治理能力越强的地区,政府公共资源的纾困效果越强,以高管政治关联为代表的私人渠道效果越弱.本文的研究拓展了企业违约风险影响因素的理论框架,有助于理解企业违约决策过程中的资产流动性影响与政府纾困效果,促成切实有效的违约风险防范措施.This paper regards seeking government bailouts as a real option,and constructs a dynamic model to reveal the impact of asset liquidity and government bailouts on enterprise default risks.The model shows that the decline of asset liquidity,which is reflected in the reduction of market sales opportunities,will increase enterprise default risk,while the strengthening of government bailouts can weaken the impact of asset liquidity on default risk.This paper uses the 2009-2019 Chinese A-share listed companies as a sample to conduct an empirical test,showing consistent results with the theoretical model.Further research finds that the government’s public support only has a significant impact on companies without political connections,while politically connected companies rely on private channels to seek government bailouts and ease liquidity pressure.The research expands the framework for studying factors affecting enterprise default risk and helps to understand the impact of asset liquidity and the effect of government bailouts,providing evidence for formulating risk prevention policies.

关 键 词：资产流动性 政府纾困 违约风险 实物期权 

分 类 号：F830[经济管理—金融学]