股市波动对民间借贷的风险溢出效应:来自法院文书的证据  

The Spillover Effects of Stock Market Fluctuations on Private Lending Risk:Evidence from Court Judgments

作　　者：陈珉昊 汪建雄[2] 高昊宇 Chen Minhao;Wang Jianxiong;Gao Haoyu

机构地区：[1]中国人民大学财政金融学院,北京市海淀区100872 [2]北京第二外国语学院经济学院

出　　处：《世界经济》2023年第6期108-131,共24页The Journal of World Economy

基　　金：国家自然科学基金面上项目(72273146);中国人民大学科学研究基金(中央高校基本科研业务费专项资金)(21XNA010);教育部人文社会科学重点研究基地基金(22JJD790086)的资助。

摘　　要：民间借贷长期脱离系统性金融监管,是中国金融体系的重要风险源。本文利用约270万份法院判决文书构建民间借贷风险指标,检验了股票市场波动对民间借贷信用风险的溢出效应。研究发现:股票市场收益显著影响了民间借贷的违约风险,投资者“认知偏误”和“风险偏好”是其中主要的影响机制;在股票市场收益率上升时期,更关注股票市场的城市出现更多高风险民间借贷融资活动;正规金融的可得性能显著缓解股票市场对民间借贷违约风险的影响。本文立足信用风险为民间借贷增加了新研究视角,为金融风险的跨市场溢出提供了新的实证证据,进而为高效防范化解系统性金融风险提供了新的决策参考。The unregulated nature of the private lending sector in China poses a significant risk to the financial system.Using around 2.7 million court judgments,this paper constructs a measurement indicator to assess the credit risk of private lending and empirically tests the spillover effects of stock market fluctuations on such risk.The findings reveal that:(1)stock market returns exert a significant impact on the default risk of private lending;(2)investors'"cognitive biases"and"risk preferences"are the main economic mechanisms at play;(3)in periods of rising stock market returns,cities that pay more attention to the stock market experience a surge in high-risk private lending financing activities;and(4)the availability of formal financial services can significantly alleviate the impact of stock market returns on the private lending default risk.This study offers a new perspective on private lending risk,sheds light on cross-market spillovers of financial risks and provides valuable insights for policymakers to effectively prevent and resolve systemic financial risks.

关 键 词：民间借贷风险 股票市场风险 风险溢出 

分 类 号：F832.51[经济管理—金融学] F832.4[政治法律—法学] D926.2D925.1