摘要
制造业债券市场是实体经济的重要融资平台,但也存在着潜在的信用风险传染问题,防范化解其信用风险对于维护实体经济和金融市场的稳定至关重要。本文以2018-2022年制造业发债主体为研究样本,采用KMV模型来度量信用风险,利用关联规则算法构建风险关联网络,探索债券信用风险传染路径,借助SIRS传染病模型进行多情景模拟分析。结果表明,制造业债券发行主体信用风险关联网络具有小世界与无标度特征;制造业企业具有产业集聚特点,关键节点大部分位于广东和江苏,且以工业机械、机动车零配件和基础化工行业为主;救助政策在降低风险方面发挥关键作用,免疫政策对易感企业有显著影响。上述结论可以为政府在制造业债券风险防范方面的相关工作提供政策参考。
The manufacturing bond market is an important financing plaform for the real economy,but there are also potential credit risk contagion issues.It is crucial to prevent and mitigate these credit risks for the stability of both the real economy and the financial markets.This paper focuses on the period from 2018 to 2022,using manufacturing sector bond issuers as the research sample.It employs the KMV model to measure credit risk,utilizes association rule algorithms to construct a risk correlation network,explores the pathways of bond credit risk transmission,and conducts multi-scenario simulation analysis with the SIRS infectious disease model.The results show that the credit risk correlation network of manufacturing bond issuers has small-world and scale-free characteristics;manufacturing companies have industrial agglomeration characteristics,with most of the key nodes located in Guangdong and Jiangsu,and are dominated by industrial machinery,motor vehicle parts and basic chemical industry;rescue policies play a key role in reducing risks,and immunity policies have a significant impact on susceptible companies.This will provide government with relevant policy recommendations on risk prevention in manufacturing bonds.
作者
冯鸿雁
王星月
董志良
Feng Hongyan;Wang Xingyue;Dong Zhiliang
出处
《财政科学》
CSSCI
2023年第12期115-130,共16页
Fiscal Science
基金
河北省社会科学基金项目(重点项目)“环境税费改革对企业行为决策和绩效的影响及政策优化”(项目编号:HB20YJ001)
河北省教育厅人文社会科学研究重大课题攻关项目“‘双碳’目标下河北省资源经济高质量发展的财政政策研究”(项目编号:ZD202318)。
