产融型企业集团利率市场风险实证研究

以Flannery部分调整模型以及Granger因果检验为实证研究法对产融型企业集团的利率市场风险进行了实证研究,结果表明:产融型企业集团在运营期间面临的风险为利率上升以及利率波动率上升的风险,且参股商业银行、证券公司以及保险公司的产融型企业集团的利率市场风险表现出了一定的差异性,这为产融型企业集团的利率市场风险的控制提供了一定的借鉴意义。

Empirical Analysis on Interest Risk of Enterprise Group

Financial groups often suffere the shocks of interest market. The empirical research has been done to test the interest risk of financial groups facing by Flannery partial adjust models and granger causality test. The results show that the risks are coming from the rising of the interest and the volatility of the interest rate. Meanwhile, there are different kinds of interest risks faced by commercial banks, security companies and insurance companies. The results are giving some help to the control of interest risk faced by financial groups.