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

被引：0
|
作者：
He F. [1 ]
Fan H. [1 ]
Song R. [1 ]
Chen X. [1 ]
机构：
[1] College of Economics and Management, Tongji University, Shanghai
来源：
Tongji Daxue Xuebao/Journal of Tongji University | 2019年 / 47卷 / 07期
关键词：
Contagion mechanism; Land market; Urban construction investment company;
D O I：
10.11908/j.issn.0253-374x.2019.07.019
中图分类号：
O144 [集合论]; O157 [组合数学（组合学）];
学科分类号：
070104 ;
摘要：
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. © 2019, Editorial Department of Journal of Tongji University. All right reserved.
引用
收藏
页码：1065 / 1074
页数：9
相关论文
共 34 条
  • [1] Li Y., Zhang X., Chang X., Et al., China's National Balance Sheet 2018, (2018)
  • [2] Xu Y., The structural vulnerabilities and systemic risk of financial system, Fudan Journal(Social Science), 4, (2018)
  • [3] Hao Y., Li Z., Study of land finance, local government debt and macroeconomic volatility-an example of investment and financing platform of local government, Modern Economic Science, 1, (2017)
  • [4] Ge H., Gou T., Study on the credit risk of China local government financing platforms, Economic Perspectives, 1, (2011)
  • [5] Sun J., Wang B., Evaluation and empirical research on credit risk indicators of government financing platform loans, World Economic Papers, 3, (2011)
  • [6] Zhang W., Xia J., Zhang N., Credit risk assessment of local government financing platform in China: based on logistic model, Guizhou Social Science, 10, (2016)
  • [7] Liu H., Lu Y., Wang S., Game imulation of local government financing platform credit behavior in transitional period, Journal of Audit & Economics, 1, (2018)
  • [8] Jia Y., Concerned about the loan risk of local government financing platform, The Chinese Banker, 7, (2009)
  • [9] Yu Y., Land perspective analysis on loan risk of local financing platform, Financial Vertical and Horizontal, 10, (2010)
  • [10] He Y., Man Y., Study on control of local government debt risk based on an land finance perspective, Finance and Trade Economy, 5, (2012)
1234