行业泡沫与公司系统性风险贡献--基于分位数风险网络模型的证据  

Industry Price Bubbles and Firm's Systemic Risk Contribution:Evidence from Quantile Risk Network Model

作　　者：马勇[1] 苏晓坚 张正军 MA Yong;SU Xiaojian;ZHANG Zhengjun(College of Finance and Statistics,Hunan University,Changsha 410079,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]湖南大学金融与统计学院,长沙410079 [2]中国科学院大学经济与管理学院,北京100190

出　　处：《计量经济学报》2025年第1期218-240,共23页China Journal of Econometrics

基　　金：湖南省哲学社会科学基金(22YBA026);国家自然科学基金面上项目(72371098)。

摘　　要：在“守住不发生系统性金融风险的底线”背景下,本文探究行业泡沫对行业内公司系统性风险贡献的影响,并以此构建行业间风险网络来识别不同强度冲击下的风险源头,旨在为深化以国内大循环为主体的新发展格局改革提供有效的政策参考.研究发现:第一,除农业、水利业以及文娱业外,大多数行业泡沫对行业内公司系统性风险贡献的影响不显著或呈抑制作用;但当投资者情绪高涨时,行业泡沫会提高行业内公司系统性风险贡献;第二,局部投影模型的累积效应结果表明,大部分行业泡沫的促进作用呈持续上升趋势,且促进作用的累积效应存在异质性;第三,分位数风险网络中尾部冲击导致的行业联系相较于正常时期更为紧密,同时各行业的风险防御能力也随冲击强度而异.此外,行业泡沫网络的风险源主要集中在农业、制造业、交通业、住宿餐饮业和租赁业,说明风险冲击以生产、分配、流通、消费为核心向外扩散,体现了我国经济正转向以国内大循环为主体的新发展格局.In the context of China's emphasis on“maintaining the bottom line of no systemic financial risks”,this paper examines the impact of industry bubbles on systemic risks contribution from an industry perspective.Furthermore,we construct inter-industry risk networks to identify the risk sources under different levels of systemic shocks.This provides effective policy references for deepening the reform of the new development pattern in which the domestic grand cycle plays a leading role.The empirical results indicate that,apart from the promoting effect of asset price bubbles in the Agriculture,Water,Environment,and Utilities Management,and Culture,Sports,and Entertainment industries,the impact of most industry bubbles on the systemic risk contributions of firms within those industries is either insignificant or inhibitory.However,when investor sentiment is high,the systemic risk of companies within the industry increases during a bubble period.In the cumulative effects of the local projection model,the promoting effect of bubbles in most industries shows a sustained upward trend,with the cumulative effect of promotion being heterogeneous.In the quantile risk network,industry connections tighten during extreme shocks compared to normal periods.Additionally,the risk defense capabilities of each industry vary depending on the intensity of systemic shock.Besides,the risk sources in industry bubble networks are predominantly in the Agriculture,Manufacturing,Transportation,Catering,and Leasing industries.This implies that risk shocks propagate outward,revolving around production,distribution,circulation,and consumption as the core,indicating that China's economy is transitioning towards a new development pattern centered on the domestic grand cycle.

关 键 词：资产价格泡沫 公司系统性风险贡献 局部投影 投资者情绪 分位数风险网络 

分 类 号：F224[经济管理—国民经济] F832.51F272.3