土地市场对城投公司信用风险传染机理

Contagion Mechanism of Land Risk on Credit Risk of Urban Construction Investment Company

摘要:

一旦土地价格及流动性发生剧烈波动，过度依赖土地市场的城投公司将产生风险传染.依据资产负债表理论从抵押品价值、资本金及流动性3个渠道探讨了土地市场波动对城投公司信用风险的传染机理，通过52个中国城投公司数据样本，运用向量自回归（VAR）和有向图（DAG）模型进行风险传染实证.3种渠道分析结果表明：地价波动对城投公司信用风险存在显著短期传染效应，经由资本金渠道城投公司融资能力产生显著影响；土地市场波动则经由流动性渠道对公司信用风险产生长期显著的放大效应；城投公司投资、收益水平及支付性风险的传染效应相对不显著.

关键词:土地市场; 城投公司; 传染机理

Abstract:

Once urban land price and liquidity fluctuate sharply, risk contagion may occur and the credit defaults event of urban construction investment company (UCIC) relying deeply on the land market may be triggered. Firstly, this paper studies the mechanism of land risk’s contagion effect on the credit of UCIC theoretically based on the balance sheet theory through three channels, namely land price fluctuation-collateral value channel, land price fluctuation-capital channel and liquidity-financing channel. Secondly, the study identifies 52 urban construction investment companies in China as research samples, and the directed acyclic graph (DAG) technology and vector auto regressive (VAR) model are employed to verify the risk contagion mechanism. The empirical results of the three channels show that: Urban land price fluctuation has significant short-term influence on UCIC’s credit defaults, and its risk contagion effects take place through land price fluctuation-capital channel signifying UCIC’s financing ability. Urban land fluctuation has significant amplificated long-term influence on UCIC’s credit defaults through the liquidity-financing channel. The contagion effect via investment, revenues and cash payment risk does not have significance.

Key words:land market; urban construction investment company; contagion mechanism