| With the development of economy and the demand of industrial structure optimization,the number of small and medium-sized enterprises in China is increasing and is playing an increasingly important role.But the difficulty of financing has always been a major problem in the development of small and medium-sized enterprises.The effective loan of commercial banks is very limited,which has a certain stagnant effect on the development of small and medium-sized enterprises,and then affects the development level of China’s overall economy and the strategic layout of the balance of industrial structure.In 2005,the people’s Bank of China issued a report of the "The protection of human rights of credit in China",it is clear that the pledge of movable property is an effective way to solve the financing problems of small and medium-sized enterprises.It reduces the occupation of the capital flow of the enterprise and saves the cost of the enterprise.Unlike the bonds,stocks and standard warehouse receipts,the inventory financing converts the credit risk of the enterprise subject into the price risk of the quality in the process of financing for small and medium-sized enterprises.In business practice,the price of steel,coal,nonferrous metals,grain and petrochemical products,which represent the characteristics of random fluctuations in price,is less influenced by the operation decision of the enterprise but depends more on the market factors.The occurrence of big events will exacerbate the transmission of information among different inventories,thereby affecting the price of goods.This phenomenon is known as the "volatility spillover effect".With the improvement of the market level,the linkage effect between the various inventories is increasingly strengthened.If there is a volatility spillover effect between the supply chain financial inventories,the price change of a inventory will certainly affect the price of other inventories.Therefore,the commercial bank should consider the spillover effect when formulating the corresponding business policy.This paper studies the spillover direction and spillover intensity of supply chain finance from the vector perspective.Taking the daily average transaction price of silver,copper,aluminum,screw steel and fuel oil five as samples,the data range is from January 5,2009 to December 29,2017.The direction of volatility spillover is studied by Granger causality test,and the variable structure Copula model is used to study the volatility spillover intensity of the price return rate between two inventories.The main conclusions can be summarized as following:(1)By analyzing the statistical characteristics of the yield sequence of silver,copper,aluminum,screw steel and fuel oil,it is found that all sequences showed the characteristics of peak and thick tail,and the distribution does not obey the normal distribution,and the sequences have obvious volatility aggregation characteristics.Based on stationarity test,autocorrelation test and ARCH effect test,AR-GARCH(1,1)model is established to fit the marginal distribution.Finally,after the K-S test and Q-Q diagram test,it is considered that the AR-GARCH(1,1)-GED model is the most suitable model for the marginal distribution of five inventories.(2)The Granger causality test was used to test the direction of the supply chain financial inventories.It was found that there were two-way Granger causality between silver and copper,silver and fuel oil,copper and aluminum,aluminum and fuel oil;Silver and aluminum silver and screw steel had a single wave spillover from silver to other two other inventories;About copper and screw steel,aluminum and screw steel,screw steel and fuel oil,there is a one-way fluctuation spillage of copper,aluminum and fuel oil to screw steel;There is no Granger causality between copper and fuel oil.(3)The analysis of the volatility spillover intensity of the supply chain financial inventories by using the variable structure Copula model shows that:①From the related level,the correlation of copper and aluminum has the strongest positive correlation.The related levels of the other inventories are:silver and copper,copper and fuel oil,silver and aluminum,aluminum and fuel oil,silver and fuel oil,copper and screw steel,aluminum and screw steel,silver and screw steel,and screw steel and fuel oil;②In the frequency of wave spillover effects,the number of variable structural points between silver and fuel oil,screw steel and fuel oil reached 14,and the volatility spillover effect lasted longer between the two inventories;The number of structural changes between copper and aluminum,aluminum and screw steel,silver and copper,copper and fuel oil was the second.;The number of variable structure points between silver and aluminum,silver and screw steel,aluminum and fuel oil is slightly less than that of the above four groups;The dependence of the relationship between copper and screw steel is the least changed,that is,the fluctuating spillovers are the least.③In the time of the volatility spillover effect,the location of variable structure points in different combinations of inventories is closer.In the second half of 2011,the correlation between the yield sequence of each inventories combinations decreased significantly.And the correlation coefficient of each inventories combinations had also changed significantly in the year of March 2013.The correlation of the correlation coefficient of each inventories combinations was mostly increased from October 2015 to March 2016.This is mainly the impact of macroeconomic events on the inventory market. |
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