Abstract
Existing studies on the financing difficulties of middle- and small-sized enterprises (SMEs) have neglected the quantitative analysis of SMEs’ risk spillovers to banks. Therefore, taking China as an example, we have analyzed the financing difficulties of SMEs from the perspective of risk spillover. The GARCH time-varying copula-CoVaR model based on the skewed-t distribution was used to measure the risk spillover effects of SMEs on banks. Furthermore, the heterogeneous impacts of risk spillovers on different scale banks were analyzed, including state-owned banks, joint-stock banks, and city commercial banks. The study found that SMEs always have obvious risk spillover effects on banks; it is particularly difficult for SMEs to obtain loans from the largest state-owned banks because in extreme cases, SMEs have the highest risk spillover effects on state-owned banks. The changes in risk spillover effects are attributed to two reasons. One is that the degree of association between SMEs and various banks is different, and the other is that there are varying degrees of risk spillover effects among various banks.
Highlights
small-sized enterprises (SMEs) play a positive role in alleviating employment pressure, promoting economic growth, and maintaining social stability. e economy relies to a large extent on small and medium enterprises, mainly due to the small size of the market, limited resources, consumer patterns, and their evolution in the market, and due to the prevailing business culture.Input-oriented technologies could integrate the internal systems of financial sectors that facilitate the processes of collecting, processing, storing, and circulating information and carrying out various tasks
Expansion into new markets with higher risk, large-scale investments in information technology, and changes in products and delivery channels are the main ways in which financial sectors react. e survival and development of SMEs are inseparable from financial support, but the problem of financing difficulties for SMEs has not been resolved for a long time
In the selection of the CoVaR calculation method, the copula function can make up for the defect that the traditional quantile regression cannot measure the complex risk spillover. erefore, according to the data characteristics of SMEs and banks, the GARCH timevarying copula-CoVaR under the skewed-t distribution is adopted for the research. e model measures the risk spillover effects of SMEs on banks and further explores the heterogeneous effects of SMEs on the risk spillovers of different banks
Summary
SMEs play a positive role in alleviating employment pressure, promoting economic growth, and maintaining social stability. e economy relies to a large extent on small and medium enterprises, mainly due to the small size of the market, limited resources, consumer patterns, and their evolution in the market, and due to the prevailing business culture. In addition to the financial market [2], credit rationing system [3, 4], financial products and services [5], financial and fiscal policies [6], and other factors, the risk spillover of SMEs to banks is an important reason for the financing difficulty of SMEs [7, 8]. E scales of SMEs are different and financial institutions are unwilling to take loan risks, which are two important reasons for SMEs’ financing difficulties [15]. The CoVaR model can fully measure the risk spillover of SMEs to banks, but it has not been applied to the research on financing difficulties of SMEs. erefore, this paper explains the reasons for the financing difficulties for SMEs from the perspective of risk spillover. In the selection of the CoVaR calculation method, the copula function can make up for the defect that the traditional quantile regression cannot measure the complex risk spillover. erefore, according to the data characteristics of SMEs and banks, the GARCH timevarying copula-CoVaR under the skewed-t distribution is adopted for the research. e model measures the risk spillover effects of SMEs on banks and further explores the heterogeneous effects of SMEs on the risk spillovers of different banks
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