產業內互動關係與信用傳染

Abstract

在本篇論文中，我們使用三種不同的變數來衡量產業內的互動關係檢視其是否會影響公司的破產機率，並嘗試以這些變數來解釋產業內信用傳染。三種產業變數分別為: Sundaram, et al (1996)所定義的策略競爭測度來衡量公司所面對的策略競爭方式;利用同產業內所有公司的違約距離的平均數做為產業面財務危機的變數;以及公司與同產業內公司的股票報酬率相關係數做為衡量公司財務相關性的變數。我們利用 Duan, et al (2010) 中的遠期違約的強度來分析這些產業內的互動關係對違約機率是否有顯著影響。由實證的結果可以得知產業層面的財務危機以及公司間的財務相關性，都對公司的破產機率有顯著影響，可以用以解釋產業內的信用傳染現象。

In this paper, we examine the effect of intra-industry interaction between firms on credit risk, and three different kinds of intra-industry interaction measures are considered in our empirical study. We apply the Competitive strategic measure (CSM) of Sundaram, et al (1996) to capture the strategic interaction faced by firms. We also consider the measure of industry-wide financial distress and the measure of equity correlations. We use the forward intensity approach of Duan, et al (2010) to examine if these industry measures can affect default intensity. Our empirical results suggest that intra-industry contagion effect may be characterized by the level of industry-wide financial distress or equity correlations among firms.