新能源汽车企业间信用风险传染效应研究——基于新能源汽车产业供应链  

Research on the Contagion Effect of Credit Risk among Enterprises: Based on the Supply Chain of the New Energy Vehicle Industry

作　　者：张钰哲 李程 Yuzhe Zhang;Cheng Li(Department of Applied Mathematics,The Hong Kong Polytechnic University,Hong Kong 999077,China;College of Economics and Management,Tiangong University,Tianjin 300387,China)

机构地区：[1]香港理工大学应用数学系,中国香港999077 [2]天津工业大学经济与管理学院,天津300387

出　　处：《财务与金融》2024年第3期11-21,共11页Accounting and Finance

基　　金：教育部后期基金资助项目(21JHQ068)。

摘　　要：近年来,新能源汽车产业供应链体系发展迅速,其供应链金融模式中信用风险的预防和管控是确保新能源汽车企业平稳发展的关键。选取新能源汽车产业供应链中五家代表性企业,利用KMV模型计算新能源汽车产业供应链上下游这五家企业的违约概率衡量其各自的信用风险,并利用Vine Copula模型构建这五家企业间的风险相依结构,探究企业间的风险传染效应。研究表明:新能源汽车产业供应链上下游企业间存在信用风险传染,且主要集中在中上游企业。同时,宏观环境的冲击会进一步引发新能源汽车产业供应链中企业间信用风险的传染。因此,监管层应特别关注新能源汽车产业供应链中下游企业之间信用风险的传染效应,避免形成供应链系统性风险。此外,政府应加强对新能源汽车行业的监管,防范供应链金融风险;企业间要加强供应链网络的构建,提升企业核心竞争力,以便更好地应对宏观环境的冲击,防范信用风险的形成与传染。In recent years,the supply chain system of the new energy vehicle industry has developed rapidly,and the prevention and control of credit risks in its supply chain finance model are crucial for ensuring the smooth development of new energy vehicle enterprises.This study selects five representative enterprises from the supply chain of the new energy vehicle industry,employs the KMV model to calculate the default probability of these enterprises between the upstream and downstream of the supply chain,and measures their respective credit risks.Additionally,the Vine Copula model is used to construct the risk interdependence structure among these five enterprises,exploring the risk contagion effect among them.The research shows that credit risk contagion exists between upstream and downstream enterprises in the new energy vehicle supply chain,mainly concentrated in the middle and upstream enterprises.Meanwhile,the impact of the macro environment will further trigger the contagion of credit risks among enterprises in the new energy vehicle supply chain.Therefore,special attention from regulators is required to address the contagion effect of credit risk among downstream enterprises in the new energy vehicle supply chain to avoid systemic risks within the supply chain.Moreover,the author suggests that the government strengthen the supervision of the new energy vehicle industry to prevent supply chain financial risks.Simultaneously,enterprises should enhance the construction of supply chain networks and improve their core competitiveness to better cope with the macro environment shocks and prevent the formation and spread of credit risks.

关 键 词：新能源汽车 供应链金融 信用风险传染 企业集团 

分 类 号：G32[文化科学]