产融型企业集团利率市场风险实证研究
发布时间：2018-08-17 14:50
【摘要】：以Flannery部分调整模型以及Granger因果检验为实证研究法对产融型企业集团的利率市场风险进行了实证研究,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,且参股商业银行、证券公司以及保险公司的产融型企业集团的利率市场风险表现出了一定的差异性,这为产融型企业集团的利率市场风险的控制提供了一定的借鉴意义。
[Abstract]:Based on Flannery partial adjustment model and Granger causality test, this paper makes an empirical study on interest rate market risk of industrial and financial enterprise groups. The results show that the risks faced by industrial and financial enterprise groups during operation are interest rate rise and interest rate volatility rising. The interest rate market risk of the securities company and the insurance company is different, which provides a certain reference for the interest rate market risk control of the industry and finance enterprise group.
【作者单位】： 中南林业科技大学经济学院;
【基金】：湖南省社科基金(11YBB393)
【分类号】：F830.39;F224
，
本文编号：2187988
[Abstract]:Based on Flannery partial adjustment model and Granger causality test, this paper makes an empirical study on interest rate market risk of industrial and financial enterprise groups. The results show that the risks faced by industrial and financial enterprise groups during operation are interest rate rise and interest rate volatility rising. The interest rate market risk of the securities company and the insurance company is different, which provides a certain reference for the interest rate market risk control of the industry and finance enterprise group.
【作者单位】： 中南林业科技大学经济学院;
【基金】：湖南省社科基金(11YBB393)
【分类号】：F830.39;F224
，
本文编号：2187988
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