【摘要】：以Flannery部分調(diào)整模型以及Granger因果檢驗(yàn)為實(shí)證研究法對產(chǎn)融型企業(yè)集團(tuán)的利率市場風(fēng)險進(jìn)行了實(shí)證研究,結(jié)果表明:產(chǎn)融型企業(yè)集團(tuán)在運(yùn)營期間面臨的風(fēng)險為利率上升以及利率波動率上升的風(fēng)險,且參股商業(yè)銀行、證券公司以及保險公司的產(chǎn)融型企業(yè)集團(tuán)的利率市場風(fēng)險表現(xiàn)出了一定的差異性,這為產(chǎn)融型企業(yè)集團(tuán)的利率市場風(fēng)險的控制提供了一定的借鑒意義。
[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.
【作者單位】： 中南林業(yè)科技大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：湖南省社科基金(11YBB393)
【分類號】：F830.39;F224
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本文編號：2187988