財務危機之信用交易對手風險

本文探討企業發生不同程度的財務危機，對債權、債務信用交易對手財富效果之影響。研究結果顯示，企業發生財務危機時確實會將此風險傳染至債權、債務之信用交易對手，而此傳染效果僅發生於重度財務危機。其中尤以對債務企業的影響最為顯著，對債權銀行的影響則較微弱且短暫，此可能因金融機構角色的獨特性所致。而債權人的曝險程度是影響傳染效果的重要因素，且危機企業償債能力的提升可減緩債權企業被倒帳的風險。此外，相對於債權企業，債務企業之傳染效果將隨債務企業對發生財務危機之供應商的依賴程度增加而提高。透過本研究的實證結果，不僅提供企業擬定授受信用政策之參考，更可提供投資人投資組合建構時之參考。

This study examines the impacts on wealth effect of trade and financial counterparties from different financial distress extents firms. Our findings indicate that there are significant contagion effects from the subsamples with heavily financial distress to their counterparties, especially for trade debtors but slightly and temporarily for financial institutional creditors. It is seemingly due to the idiosyncratic of financial institutions. Besides, the risk exposure of trade creditor is a positive and important source of contagion effect and the contagion effect on creditors can be alleviated by improving in solvency ability of distress firms. However, the contagion effect on trade debtors is exacerbated by increasing the dependence on distress firms. This study suggests that trade counterparty is a more important additional channel of credit contagion than financial counterparty. These results have significant implications for the formulation of credit policy for firms and the construct portfolios for investors.