产融型企业集团经济效应及金融市场风险研究

发布时间：2018-01-14 05:20

本文关键词：产融型企业集团经济效应及金融市场风险研究　出处：《湖南大学》2012年博士论文　论文类型：学位论文

【摘要】：产融型企业集团,实质上是指产业与金融业的内在融合,在国内集中表现为实体产业通过参与或控制金融机构股权,组建产融型企业集团,具体是实业企业通过参股、持股、控股或人事参与等方式参与到金融业中。产融型企业集团的运营是一项“美丽而危险”的模式,在获取收益的同时,产融型企业集团也面临一定的金融市场风险,特别是在金融危机频发的背景下,更应权衡产融型企业集团的经济效应与金融市场风险。在此背景下,探讨产融型企业集团运营的经济效应和金融市场风险对金融市场稳定运行以及产融型企业集团的风险管理具有较重要的意义,同时对经济金融以及风险管理等相关理论也具有重要的价值。沿理论研究、实证研究和对策研究的思路展开,具体内容如下：首先,在对相关文献和理论进行综述的基础上,分别就经济效应与金融市场风险的内在统一性进行了阐述,并对规模经济效应、范围经济效应以及内部资本市场效应的表现以及形成机制进行了理论分析,同时,描述了产融型企业集团的金融市场风险及其风险传递的过程及形成机制。然后,分别运用超越对数成本函数、广义超越对数成本函数以及Maksimovic和Phillips方法,对国内产融型企业集团的经济效应进行度量。结果表明：在样本期间,产融型企业集团产融型企业集团在参股金融后其规模经济效应显著增强；产融型企业集团范围经济效应系数的平均值为—0.0106,表明金融业务与实体产业之间并没有真正融合,但参股商业银行的产融型企业集团实现了范围经济效应；内部资本市场效应系数表明参股或控股金融企业能强化产融型企业集团的内部资本市场效应。接着,分别运用不同的金融市场风险度量模型对产融型企业集团的金融市场风险进行了度量：在权益市场风险方面,运用GARCH-VaR和Copula模型对产融型企业集团进行了风险度量,结果表明产融型企业集团具有较大的权益市场风险,在金融风险较大时,或权益价值波动较大时,产融型企业集团受其参股或控股金融企业的影响较大,同时产融型企业集团权益市场风险的波动较大,并且波动较为频繁；在利率市场风险方面,Flannery部分调整模型以及Granger因果检验的实证结果表明,产融型企业集团在运营期间面临的风险为利率上升以及利率波动率上升的风险,同时,利率对部分金融企业资产价值的影响比较明显；在外汇市场风险方面,实证结果表明汇率变化和波动率的变化对产融型企业集团的金融业务管理尚无显著影响；在信贷市场方面,大部分产融型企业集团的Z值低于1,其信用风险值同时受自身滞后值和参股金融企业信用风险指标的影响,金融市场的信用风险有可能向产业资本进行转移。其后,对金融市场风险与经济效应的关系进行了研究,以方差分析为主要研究方法的实证结果表明：在权益市场风险显著影响规模经济效应,利率市场风险显著影响内部资本市场效应的前提下,产融型企业集团仍然实现了规模经济效应和内部资本市场效应,这在一定程度上说明产融型企业集团这种运营模式是有效的,当前产融型企业集团的运营是有效率的。最后,基于经济效应发挥以及金融市场风险防范,提出了产融型企业集团发展的对策建议。
[Abstract]:Property and financial conglomerate, is the essence of internal integration refers to the industry and financial industry in China, focus on the performance of industrial entities through participation or control shares of financial institutions, the formation of production and financial conglomerate, particularly industrial enterprises through equity holdings, holdings, or personnel participation, participation to the financial industry and financial conglomerate. The operation is a "beautiful and dangerous" mode, while obtaining the income, property and financial conglomerate also faces some risks in the financial market, especially in the financial crisis under the background of frequent, more financial products should weigh the enterprises group's economic effect and the financial market risk. In this context, to explore the production the economic effect and the risk of financial market and financial conglomerate operation has important significance for the stable operation of the financial market and financial conglomerate risk management, at the same time on economic and financial and risk management The theory of theory of theory and so on also has important value.
First of all, based on the review of the relevant literature and theory, respectively internal unity of economic effect and the financial market risk is discussed, and the effect of scale economy, scope economy effect and internal capital market effect and formation mechanism are analyzed, at the same time, describes the formation and type of industry and Finance the financial market risk and risk transfer mechanism.
Then, using the translog cost function, generalized translog cost function and the Maksimovic and Phillips method, the economic effects of domestic production and financial conglomerate is measured. The results show that in the sample period, enterprise production and financial conglomerate is enhanced significantly in financial shares after its scale effect of Finance and industry; the average value of melt production business scope economy effect coefficient was 0.0106, that between the financial business and industrial entities and there is no real fusion, but shares of commercial bank financial products group realized the scope economy effect; effect coefficient of internal capital market that shares or holding financial enterprises can strengthen the internal capital market effect from financial conglomerate.
Then, the measurement model of financial market risk of financial conglomerate of financial market risk measurement using different aspects: risk in the equity market, using GARCH-VaR and Copula model of production and financial conglomerate of risk measurement, results show that the melt production enterprise group has a larger equity market risk, financial risk in when, or equity value fluctuation, production and financial conglomerate affected its shares or holding financial enterprises large, simultaneous production of financial conglomerate equity market risk fluctuations, and fluctuations are frequent; in terms of the interest rate market risk, Flannery partial adjustment model and the empirical results of Granger causality test showed that the risk of financial products group during operation face as rising interest rates and risk, interest rate volatility rose at the same time, the interest rate on the part of the financial industry information Effect of production value is obvious; in the foreign exchange market risk, the empirical results show that the change of exchange rate changes and volatility of financial business management and financial conglomerate has no significant effect; in the credit market, most financial conglomerate Z value is lower than 1, the value of credit risk as well as influenced by its lagged value and equity the financial enterprise credit risk index, financial market credit risk may be transferred to the industrial capital.
Then, the relationship of market risk and economic effect of financial was studied by variance analysis as the main research methods of the results show that the effect of equity market risk significantly influence the premise of economies of scale, interest rate market risk significantly affect the internal capital market effect, production and financial conglomerate still achieve economies of scale and internal capital market this shows that production effect, financial conglomerate this operating mode is effective in a certain extent, the current production and financial conglomerate operation is efficient.
Finally, based on the economic effect and the risk prevention in the financial market, the countermeasures and suggestions for the development of the financial enterprise group are put forward.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F272;F832.5;F224

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