基于结构化模型的续贷政策对企业违约风险影响研究  

Research on the Impact of Loans Rollover Policy on Default Risk of Enterprises Based on Structural Model

作　　者：黄祥钟 邹长武[3] 高渊 HUANG Xiang-zhong;ZOU Chang-wu;GAO Yuan(School of Economics and Management,Fuzhou University,Fuzhou 350108,China;Fujian Provincial Key Laboratory of Finance and Technology Innovation,Fuzhou 350108,China;School of Mathematics and Statistics,Fuzhou University,Fuzhou 350108,China)

机构地区：[1]福州大学经济与管理学院,福建福州350108 [2]福建省金融科技创新重点实验室,福建福州350108 [3]福州大学数学与统计学院,福建福州350108

出　　处：《中国管理科学》2023年第12期329-339,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助面上项目(72273032);福建省社会科学规划研究基地重大项目(FJ2020MJDZ014,FJ2021MJDZ012)。

摘　　要：本文将停贷冲击视为导致企业资产价值跳跃的现实因素,将续贷政策要素引入结构化信用风险模型中,通过数值模拟和实证分析考察了续贷政策变化对企业违约风险的影响。数值模拟结果表明,贷款期限越长、贷款利率越低、停贷损失越小、续贷成本越低,则企业违约门限值越低,企业违约风险越小。基于全国中小企业股份转让系统挂牌企业数据的实证分析验证了数值模拟结果。异质性分析表明,续贷政策要素对非国有企业有更加明显的影响;停贷损失对所有类型企业的违约风险都有显著影响。影响机制分析表明,续贷政策通过流动性和收益两个渠道影响企业违约风险。本文研究为我国续贷政策实施提供了一个理论解释,对推进宽货币向宽信用传导政策落地具有一定的启示。To examines the impact of loan rollover policies on the default risk of small and micro enterprises,a structural credit risk model containing elements of loan rollover policy has been established,where firm asset value follows a diffusion process with jumps.The numerical simulation results show that longer-term lending,lower interest rate,smaller lending halts loss and lower loan rollover cost can provide lower default threshold value and smaller default risk.The numerical simulation results are verified by empirical analysis using the data of listed enterprises in the National Equities Exchange and Quotations.Heterogeneity analysis shows that the factors of loan rollover policy have more obvious influence on non-state enterprises and the loan halts loss has a significant impact on the default risk of all types of enterprises.The analysis of the impact mechanism shows that the loan rollover policy affects the default risk of enterprises through fluidity channel and income channel.Loan rollover is literatured on in three aspects.First,different loan rollover policy elements are included into a unified structural credit risk model,which helps us to better understand how the loan rollover affecting corporate default risk.Secondly,our model treat bank’s lending halts as an external shock to change the value of corporate assets,which providing a new perspective for understanding the reasons for asset value jumps.Third,a theoretical explanation is provided for the policies of“further strengthening the development and promotion of loan rollover products”and“safely handling the lending rollover without repayment of principal”for small and micro enterprises in China,and certain policy inspiration is provided for smoothing the channel of transmission from loose currency to credit expansion.

关 键 词：无还本续贷 违约风险 结构化模型 新三板 

分 类 号：F830.5[经济管理—金融学]