基于DCC-MSV-KMV模型的第三产业行业信用风险传染效应度量

结合KMV模型和DCC-MSV模型，构建了一个行业间信用风险传染效应度量模型，以考查第三产业中各行业间的信用风险传染效应.排除涉及领域繁杂和主营业务不突出的行业，兼顾行业中上市公司数量，最终选择交通运输、仓储业，信息技术业，批发和零售贸易业，房地产业和社会服务业等5个行业为研究对象.实证结果显示：第三产业各行业间信用风险传染效应均大于0.5，且呈现震荡上行的态势，说明行业间信用风险传染效应在增强、传染程度在加深；交通运输、仓储业与其它4个行业之间的信用风险传染效应均较为明显，这可能是由于作为基础产业，该行业对其它行业的影响比较深远；房地产业与社会服务业间的信用风险传染比较明显，可能是因为二者具有共同的信用风险传染影响因素，即交通运输、仓储业；批发和零售贸易业与社会服务业间的信用风险传染效应最强，且相对稳定，其原因可能是这二个行业均受交通运输、仓储业影响，它们本身也存在较强的关联性.

Measurement of the Credit Risk Contagion Effects between the Sectors in the Tertiary Industry Based on DCC-MSV-KMV Model

By combining KMV model and DCC-MSV model, a sectors'' credit risk correlation analysis model was constructed to explore the credit risk contagion effects between the five sectors. Having ruled out the sectors whose field involved is too miscellaneous and main business is not prominent, the number of listed companies in each sector is taken into consideration, and eventually the research object is determined to consist of the transportation warehousing sector, information technology sector, the retail establishment sector, the real estate sector and the community services sector. The empirical results show that the credit risk contagion effects between the sectors are significantly greater than 0.5 and have an upward trend in the turbulence, which further confirms that there indeed exists significantly incremental credit risk contagion between different sectors in the tertiary industry, and also illustrates that the degree of contagion is strengthening. Meanwhile, the empirical results also demonstrate that the credit risk contagion effects between the transportation warehousing sector and the other four sectors was marked, which may be due to the fact that the transportation warehousing sector, as the basic sector, significantly impacts on other sectors. This article also points out that the credit risk contagion effect between the real estate sector and the community services sector is also significant, probably because both sectors share the credit risk contagion affecting factors, that is, the transportation warehousing sector. Besides, the article manifests that the credit risk contagion effect between the wholesale and the retail establishments sector and the community services sector is the strongest and relatively stable. The possible reasons can be that both of the two sectors are influenced by the transportation warehousing sector, and that there also exists a strong affinity between them.