摘要
本文基于关联网络和风险传染指标,利用异质性系数的空间面板自回归模型(SAR)量化关联网络机制在货币政策提高企业风险传染水平过程中的重要性。研究发现,宽松的货币政策提高企业风险传染水平,其中,关联网络机制贡献约68%的占比。异质性分析发现,关联网络机制在价格型货币政策提高企业风险传染水平的贡献占比低于数量型货币政策。此外,关联网络机制在货币政策提高企业风险传染中的重要程度还随着所有权性质、行业性质以及是否为金融机构而变化。
Based on the correlation network and risk contagion index,this paper uses the spatial panel autoregressive model(SAR)with heterogeneity coefficient to quantify the importance of correlation network mechanism in enhancing the level of risk contagion by monetary policy.It is found that the loose monetary policy increases the level of risk contagion of enterprises,of which the correlation network mechanism contributed about 68%.Heterogeneity analysis shows that the con-tribution of the correlation network mechanism to the increase of enterprise risk contagion level through price based mone-tary policies is lower than that of quantity based monetary policies.The importance of the correlation network mechanism in the process of monetary policy improving the level of enterprise risk contagion varies with the nature of ownership,in-dustry nature,and whether it is a financial institution.
作者
李伟
欧阳志刚
LI Wei;OU YANG Zhi-gang
出处
《金融论坛》
北大核心
2023年第9期14-24,80,共12页
Finance Forum
基金
国家自然科学基金面上基金项目(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)
国家自然科学基金地区项目(72263008)
全国统计学科重点项目(2022LZ09)
中南财经政法大学基本科研业务经费的联合资助。
