摘要
当前我国基础设施企业的融资结构正处于巨大变革之中,原有融资渠道有限且创新不足。公募基础设施REITs的出现和发展,在拓宽国内基建公司的投融资渠道的同时也为中小投资人提供了集安全性和盈利性于一体的国际金融市场新投资方式。文章应用GARCH-VaR模型分析了我国首批公募基础设施REITs收益率波动特征,在此基础上计算出首批此类金融产品的VaR值用以度量风险。研究结果表明:T分布下的GARCH-VaR模型的估计有效性最佳;在我国首批9只公募基础设施REITs中,中航首钢绿能REIT风险测度最高,博时蛇口产业园REIT风险测度最低;在四大资产类别中,收费公路类REITs风险测度最高,产业园区类REITs风险测度最低。结合国内外经验及实证结果,文章建议将GARCH-VaR模型纳入我国公募基础设施REITs风险管理体系,并完善其相关制度建设,以防范化解我国金融风险。
At present,the financing structure of infrastructure enterprises in China is undergoing great changes,with the original financing channels being both limited and lacking in innovation.The emergence and development of public offering infrastructure Real Estate Investment Trusts(REITs)have not only broadened the investment and financing channels for domestic infrastructure companies but have also furnished small and medium-sized investors with a new investment mode that integrates security and profitability within the realm of the international financial market.The authors use GARCH-VaR model to describe the volatility of the first public offering infrastructure REITs in our country,and calculate the VAR value of the first public offering infrastructure REITs to measure the risk.The results show that the GARCH-VaR model under T-distribution has the best estimation validity,and in our country's first batch of 9 public offering infrastructure REITs,AVIC Shougang Green Energy REIT exhibits the highest risk measure,whereas Bosera Shekou Industrial Park REIT boasts the lowest risk measure.Within the four asset categories,the risk measure is highest for the oll roads REITs and lowest for the industrial park REITs.Based on domestic and foreign experience and empirical results,the authors suggest incorporating the GARCH-VaR model into China's public infrastructure REITs risk management system and improving its relevant institutional construction to prevent and mitigate financial risks in China.
作者
王癸涵
邹兆敏
WANG Guihan;ZOU Zhaomin(Businesses School,University of Shanghai for Science&Technology,Shanghai 200093;School of Finance,Shanghai Lixin University of Accounting and Finance,Shanghai 201620)
出处
《上海立信会计金融学院学报》
2023年第4期28-40,共13页
Journal of Shanghai Lixin University of Accounting and Finance
基金
国家社会科学基金一般项目(18BJL024)。
