国有企业是消散风险传染的“稳定器”吗?——基于A股上市公司的研究  

Are state-owned enterprises a “stabilizer” to absorb and dissipaterisk contagion?: Based on the research of listed companies

作　　者：欧阳志刚[1,2] 李伟 何富美 OUYANG Zhigang;LI Wei;HE Fumei(School of Finance,Zhongnan University of Economics and Law,Wuhan 430073,China;School of Economy and Management,East China Jiaotong University,Nanchang 330013,China;School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China)

机构地区：[1]中南财经政法大学金融学院,武汉430073 [2]华东交通大学经济管理学院,南昌330013 [3]南京财经大学金融学院,南京210023

出　　处：《系统工程理论与实践》2024年第9期2819-2837,共19页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(71973044);国家社科基金领军人才项目(22VRC016);国家高层次人才创新创业项目(20603);全国统计学科重点项目(2022LZ09)。

摘　　要：国有企业在吸收并化解我国经济体系中面临的各种重大风险发挥着重要作用,然而关于其作用机理的理论研究相对较少.本文利用LASSO-VAR模型构建A股上市公司的高维风险溢出网络,度量国有企业吸收风险水平,进而构建计量模型检验国有企业吸收风险及其机制.实证研究发现,国有企业显著吸收并化解风险在企业间的传染,尤其是在风险较高时期.特别地,国有企业主要是通过增加投资间接带动产业链其他企业的需求;提供商业信用供给缓解其他企业资金缺口;以及稳定上游企业的生产活动而实现的.进一步检验还发现,国有企业吸收并化解风险的能力与地方金融发展水平、地方政府的干预程度、企业规模、所处行业性质相关.本文的研究为国有企业稳定经济增长提供新的视角和证据.State-owned enterprises play an important role in absorbing and defusing various major risks in China’s economic system,but there are relatively few theoretical studies on their mechanism.This paper uses LASSO-VAR model to construct a high-dimensional risk spillover network of A-share listed companies,measure the level of market risk absorption of state-owned enterprises,and then build an economometric model to test the risk absorption and risk absorption mechanism of state-owned enterprises.The empirical study shows that the state-owned enterprises significantly absorb and dissipate the contagion of market risk among enterprises,especially in the period of high risk. State-owned enterprises absorb and dissipate risks by promotinginvestment, increasing labor employment, provision of commercial credit and stabilizingbusiness activities of upstream enterprises. Further examination also found that the ability ofsoes to absorb market risks is related to the level of local financial development, the degree of localgovernment intervention, the size of the enterprises and the nature of the industry they are in.The research of this paper provides a new perspective and evidence for state-owned enterprisesto stabilize economic growth.

关 键 词：高维风险溢出网络 LASSO-VAR模型 国有企业 作用机制 

分 类 号：F271[经济管理—企业管理]