A Study on the Impact of Global Financial Cycle on Corporate Systematic Tail Risk
With the deepening of global economic and financial integration,international capital flows more frequently among major economies,and the linkage of financial markets in various countries is gradually improving.Against this back-ground,more attention should be paid to the impact of global financial risks on the production and operation of Chinese enter-prises.Based on the quarterly data of China's A-share listed companies from 2003 to 2022,this paper explores the impact of global financial cycle on the systematic tail risk of Chinese corporates.The results show that:at the prosperous stage of global financial cycle,the systematic tail risk of Chinese corporates shows a downward trend.On the contrary,at the recession stage,the systematic tail risk of Chinese corporates rises significantly.The channel test shows that cross-border capital inflow,EPU and the level of corporate financialization investment are the main transmission paths of the global financial cycle affecting the systematic tail risk of corporates.When the global financial cycle is in a boom phase,it will promote cross-border capital inflows,stabilize uncertainty economic policy and reduce the level of corporate financialization investment,thus curbing the systematic tail risk of corporates.Conducting further tests,the sharehold-ing of institutional investors,Shanghai-Hong Kong and Shenzhen-Hong Kong stock Connect investors and qualified foreign in-vestors can significantly weaken the impact of the global financial cycle on the systematic tail risk of Chinese corporates.This paper extends the research perspective on the economic consequences of the global financial cycle to the micro-firm level,and clarifies the transmission mechanism of the global financial cycle to the tail systemic risk of Chinese firms,providing a useful supplement to existing research.At the same time,this paper provides new theoretical insights and empirical evidence for China to effectively manage tail systemic risk and prevent systemic financial risk in response to the impact of global finan-cial cycle.
Global Financial CycleSystematic Tail RiskExternal Risk
万方数据
维普
