本文關鍵詞：產(chǎn)融型企業(yè)集團經(jīng)濟效應及金融市場風險研究　出處：《湖南大學》2012年博士論文　論文類型：學位論文

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【摘要】：產(chǎn)融型企業(yè)集團,實質上是指產(chǎn)業(yè)與金融業(yè)的內在融合,在國內集中表現(xiàn)為實體產(chǎn)業(yè)通過參與或控制金融機構股權,組建產(chǎn)融型企業(yè)集團,具體是實業(yè)企業(yè)通過參股、持股、控股或人事參與等方式參與到金融業(yè)中。產(chǎn)融型企業(yè)集團的運營是一項“美麗而危險”的模式,在獲取收益的同時,產(chǎn)融型企業(yè)集團也面臨一定的金融市場風險,特別是在金融危機頻發(fā)的背景下,更應權衡產(chǎn)融型企業(yè)集團的經(jīng)濟效應與金融市場風險。在此背景下,探討產(chǎn)融型企業(yè)集團運營的經(jīng)濟效應和金融市場風險對金融市場穩(wěn)定運行以及產(chǎn)融型企業(yè)集團的風險管理具有較重要的意義,同時對經(jīng)濟金融以及風險管理等相關理論也具有重要的價值。沿理論研究、實證研究和對策研究的思路展開,具體內容如下： 首先,在對相關文獻和理論進行綜述的基礎上,分別就經(jīng)濟效應與金融市場風險的內在統(tǒng)一性進行了闡述,并對規(guī)模經(jīng)濟效應、范圍經(jīng)濟效應以及內部資本市場效應的表現(xiàn)以及形成機制進行了理論分析,同時,描述了產(chǎn)融型企業(yè)集團的金融市場風險及其風險傳遞的過程及形成機制。 然后,分別運用超越對數(shù)成本函數(shù)、廣義超越對數(shù)成本函數(shù)以及Maksimovic和Phillips方法,對國內產(chǎn)融型企業(yè)集團的經(jīng)濟效應進行度量。結果表明：在樣本期間,產(chǎn)融型企業(yè)集團產(chǎn)融型企業(yè)集團在參股金融后其規(guī)模經(jīng)濟效應顯著增強；產(chǎn)融型企業(yè)集團范圍經(jīng)濟效應系數(shù)的平均值為—0.0106,表明金融業(yè)務與實體產(chǎn)業(yè)之間并沒有真正融合,但參股商業(yè)銀行的產(chǎn)融型企業(yè)集團實現(xiàn)了范圍經(jīng)濟效應；內部資本市場效應系數(shù)表明參股或控股金融企業(yè)能強化產(chǎn)融型企業(yè)集團的內部資本市場效應。 接著,分別運用不同的金融市場風險度量模型對產(chǎn)融型企業(yè)集團的金融市場風險進行了度量：在權益市場風險方面,運用GARCH-VaR和Copula模型對產(chǎn)融型企業(yè)集團進行了風險度量,結果表明產(chǎn)融型企業(yè)集團具有較大的權益市場風險,在金融風險較大時,或權益價值波動較大時,產(chǎn)融型企業(yè)集團受其參股或控股金融企業(yè)的影響較大,同時產(chǎn)融型企業(yè)集團權益市場風險的波動較大,并且波動較為頻繁；在利率市場風險方面,Flannery部分調整模型以及Granger因果檢驗的實證結果表明,產(chǎn)融型企業(yè)集團在運營期間面臨的風險為利率上升以及利率波動率上升的風險,同時,利率對部分金融企業(yè)資產(chǎn)價值的影響比較明顯；在外匯市場風險方面,實證結果表明匯率變化和波動率的變化對產(chǎn)融型企業(yè)集團的金融業(yè)務管理尚無顯著影響；在信貸市場方面,大部分產(chǎn)融型企業(yè)集團的Z值低于1,其信用風險值同時受自身滯后值和參股金融企業(yè)信用風險指標的影響,金融市場的信用風險有可能向產(chǎn)業(yè)資本進行轉移。 其后,對金融市場風險與經(jīng)濟效應的關系進行了研究,以方差分析為主要研究方法的實證結果表明：在權益市場風險顯著影響規(guī)模經(jīng)濟效應,利率市場風險顯著影響內部資本市場效應的前提下,產(chǎn)融型企業(yè)集團仍然實現(xiàn)了規(guī)模經(jīng)濟效應和內部資本市場效應,這在一定程度上說明產(chǎn)融型企業(yè)集團這種運營模式是有效的,當前產(chǎn)融型企業(yè)集團的運營是有效率的。 最后,基于經(jīng)濟效應發(fā)揮以及金融市場風險防范,提出了產(chǎn)融型企業(yè)集團發(fā)展的對策建議。
[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.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F272;F832.5;F224

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