国际原油价格不确定性对财务风险的影响：基于越南上市公司的实证分析

International oil price uncertainty and firm financial risk: Evidence from Vietnamese listed company

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归属院系：

经济学院（数字经济学院）

作者：

NGUYEN THI NGAN HA

导师：

余劲松

导师单位：

经济学院（数字经济学院）

学位：

硕士

语种：

中文

关键词：

国际原油价格不确定性;财务风险;越南上市公司

摘要：

全球原油市场长期以来都以其高波动性著称，尤其是近年来，国际原油价格的不确定性与日俱增。 原油价格的波动性增加了全球企业的财务不确定性，尤其是那些依赖石油作为生产要素的行业。越南作为东南亚的重要经济体，近年来在国际贸易和工业化进程中表现突出。然而，越南的经济结构对能源的依赖程度较高，70%国内对原油与成品油的需求仍然依赖于进口。国际油价的不确定性给越南的宏观经济带来了显著的挑战，影响了越南的工业生产、通货膨胀、外汇储备以及整体经济增长。国际市场波动频繁，油价的不确定性叠加国内通胀趋势，使得越南企业在生产与资金安排上面临双重挑战。实际操作中，企业往往会遇到利润空间被压缩、融资难度提升等问题，这种连锁反应在一定程度上加剧企业财务风险、削弱经济增长的稳定性。 本研究探讨了国际原油价格不确定性对越南上市公司财务风险的影响。基于2008年至2023年越南上市公司的财务数据，采用Z值模型和回归分析方法，对油价不确定性如何影响企业财务风险、行业差异和投资行为进行了深入研究。结果表明，国际油价不确定性显著增加企业财务风险，其影响存在滞后效应以及各行业异质性。同时，研究发现油价不确定性削弱了企业的资本支出，导致投资活动延迟和缩减，并对企业偿债能力和流动性产生负面影响。本研究为越南企业优化风险管理与投资策略提供了实证支持，也为政策制定者应对全球能源市场波动提供了理论参考。

参考文献：

1.胡光辉.国际石油价格波动对中国经济的影响：理论、机制与对策[D].河北大学, 2013.2.李程, 李佳馨. 国际能源价格波动对中国金融市场的风险溢出效应研究[J]. 价格月刊, 2024, (10): 9-18.3.李明芳, 徐弋然, 赵鲁涛. 国际原油市场价格风险研究——基于股票市场的不对称溢出效应. 煤炭经济研究. 2024, 44(5): 6-14.4.孟刚,张意翔.国际原油价格波动对我国经济的影响与对策建议[J].工业技术经济,2008,(02):114-118.5.孙焱林,刘垚.国际石油价格波动对石油进出口国汇率的影响[J].统计与决策, 2019(21):5.6.周杰琦.国际油价波动对经济增长的影响——基于中国的实证分析[J].技术经济与管理研究,2010,(04):12-157.Altman E I. Predicting financial distress of companies: revisiting the Z-score and ZETA® models[M] Handbook of research methods and applications in empirical finance. Edward Elgar Publishing, 2013: 428-456.8.Arezki, R., & Blanchard, O. Seven questions about the recent oil price slump. IMFdirect, 2014.9.Baker S R, Bloom N, Davis S J. Measuring economic policy uncertainty[J]. The quarterly journal of economics, 2016, 131(4): 1593-1636.10.Baumeister C, Peersman G. The role of time‐varying price elasticities in accounting for volatility changes in the crude oil market[J]. Journal of applied econometrics, 2013, 28(7): 1087-1109.11.Bernanke B S. Irreversibility, uncertainty, and cyclical investment[J]. The quarterly journal of economics, 1983, 98(1): 85-106.12.Bloom N. The impact of uncertainty shocks[J]. econometrica, 2009, 77(3): 623-685.13.Bollerslev T, Chowdhury M. Exchange rate uncertainty and corporate investment: Evidence from emerging markets [J]. Journal of International Money and Finance, 2019, 95: 137-153.14.Bouri E, Gupta R, Tiwari A K, et al. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions[J]. Finance Research Letters, 2017, 23: 87-95.15.Campa J M, Goldberg L S. The effect of exchange rate movements on US export prices[J]. Review of Economics and Statistics, 2017, 99(3): 561-577.16.Chen S S. Do higher oil prices push the stock market into bear territory?[J]. Energy Economics, 2010, 32(2): 490-495.17.Chen S S. Oil price pass-through into inflation[J]. Energy economics, 2009, 31(1): 126-133.18.Corden W M, Neary J P. Booming Sector and De-Industrialisation in a Small Open Economy[J]. 1982.19.Elder J, Serletis A. Oil price uncertainty[J]. Journal of money, credit and banking, 2010, 42(6): 1137-1159.20.Fama E F, French K R. Testing trade-off and pecking order predictions about dividends and debt[J]. Review of financial studies, 2002: 1-33.21.Ghosh S. Examining crude oil price–Exchange rate nexus for India during the period of extreme oil price volatility[J]. Applied Energy, 2011, 88(5): 1886-1889.22.Goh K, Kim J. Oil price shocks and exchange rate dynamics in emerging economies[J]. Journal of Emerging Market Finance, 2018, 17(4): 485-507.23.Gulen H, Ion M. Policy uncertainty and corporate investment[J]. The Review of financial studies, 2016, 29(3): 523-564.24.Gupta R, Modise M P. Does the source of oil price shocks matter for South African stock returns? A structural VAR appROAch[J]. Energy Economics, 2013, 40: 825-831.25.Hamilton J D. Causes and Consequences of the Oil Shock of 2007-08[R]. National Bureau of Economic Research, 2009.26.Hamilton, J. D. Oil and the Macroeconomy since World War II[J]. Journal of Political Economy, 1983, 91(2), 228–248.27.Hassan M K, Mahmud S. Exchange rate exposure and financial risk: Evidence from South Asian economies[J]. Emerging Markets Review, 2016, 28: 89-105.28.Jo S. The effects of oil price uncertainty on global real economic activity[J]. Journal of Money, Credit and Banking, 2014, 46(6): 1113-1135.29.Jones D W, Leiby P N, Paik I K. Oil price shocks and the macroeconomy: what has been learned since 1996[J]. The Energy Journal, 2004, 25(2): 1-32.30.Kang W, Ratti R A, Yoon K H. The impact of oil price shocks on the stock market return and volatility relationship[J]. Journal of International Financial Markets, Institutions and Money, 2015, 34: 41-54.31.Kilian L, Park C. The impact of oil price shocks on the US stock market[J]. International economic review, 2009, 50(4): 1267-1287.32.Li L, Chen H, Xiang J. Oil price uncertainty, financial distress and real economic activities: Evidence from China[J]. Pacific-Basin Finance Journal, 2023, 81: 102103.33.Narayan P K, Sharma S S. New evidence on oil price and firm returns[J]. Journal of Banking & Finance, 2011, 35(12): 3253-3262.34.Nguyen, Huu Minh, Tony Cavoli, and John K. Wilson. "The determinants of inflation in Vietnam, 2001-09." ASEAN Economic Bulletin (2012): 1-14.35.Phan D H B, Sharma S S, Narayan P K. Oil price and stock returns of consumers and producers of crude oil[J]. Journal of International Financial Markets, Institutions and Money, 2015, 34: 245-262.36.Sadorsky P. Modeling renewable energy company risk[J]. Energy Policy, 2012, 40: 39-48.37.Sadorsky P. Oil price shocks and stock market activity[J]. Energy economics, 1999, 21(5): 449-469.38.Tariq M, Ahmed Z. Exchange rate volatility and corporate profitability: Evidence from the Asia-Pacific region[J]. Asian Economic Policy Review, 2020, 15(2): 236-252.39.Trang, Nguyen Thi Ngoc, Tran Ngoc Tho, and Dinh Thi Thu Hong. "The impact of oil price on the growth, inflation, unemployment and budget deficit of Vietnam." International Journal of Energy Economics and Policy 7.3 (2017): 42-49.40.Tsai C L. How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?[J]. Energy Economics, 2015, 50: 47-62.41.Wang Y, Wu C, Yang L. Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries[J]. Journal of Comparative economics, 2013, 41(4): 1220-1239.

提交日期：

2025-05-28

引用参考：

NGUYEN THI NGAN HA. 国际原油价格不确定性对财务风险的影响：基于越南上市公司的实证分析[D]. 西南政法大学,2025.

全文附件授权许可：

知识共享许可协议-署名

  • dc.title
  • 国际原油价格不确定性对财务风险的影响：基于越南上市公司的实证分析
  • dc.title
  • International oil price uncertainty and firm financial risk: Evidence from Vietnamese listed company
  • dc.contributor.schoolno
  • WS202102020003
  • dc.contributor.author
  • NGUYEN THI NGAN HA
  • dc.contributor.affiliation
  • 经济学院（数字经济学院）
  • dc.contributor.degree
  • 硕士
  • dc.contributor.childdegree
  • 经济学硕士学位
  • dc.contributor.degreeConferringInstitution
  • 西南政法大学
  • dc.identifier.year
  • 2025
  • dc.contributor.direction
  • 金融
  • dc.contributor.advisor
  • 余劲松
  • dc.contributor.advisorAffiliation
  • 经济学院（数字经济学院）
  • dc.language.iso
  • 中文
  • dc.subject
  • 国际原油价格不确定性,财务风险,越南上市公司
  • dc.subject
  • oil price uncertainty; financial risk; Vietnamese listed companies
  • dc.description.abstract
  • 全球原油市场长期以来都以其高波动性著称，尤其是近年来，国际原油价格的不确定性与日俱增。 原油价格的波动性增加了全球企业的财务不确定性，尤其是那些依赖石油作为生产要素的行业。越南作为东南亚的重要经济体，近年来在国际贸易和工业化进程中表现突出。然而，越南的经济结构对能源的依赖程度较高，70%国内对原油与成品油的需求仍然依赖于进口。国际油价的不确定性给越南的宏观经济带来了显著的挑战，影响了越南的工业生产、通货膨胀、外汇储备以及整体经济增长。国际市场波动频繁，油价的不确定性叠加国内通胀趋势，使得越南企业在生产与资金安排上面临双重挑战。实际操作中，企业往往会遇到利润空间被压缩、融资难度提升等问题，这种连锁反应在一定程度上加剧企业财务风险、削弱经济增长的稳定性。 本研究探讨了国际原油价格不确定性对越南上市公司财务风险的影响。基于2008年至2023年越南上市公司的财务数据，采用Z值模型和回归分析方法，对油价不确定性如何影响企业财务风险、行业差异和投资行为进行了深入研究。结果表明，国际油价不确定性显著增加企业财务风险，其影响存在滞后效应以及各行业异质性。同时，研究发现油价不确定性削弱了企业的资本支出，导致投资活动延迟和缩减，并对企业偿债能力和流动性产生负面影响。本研究为越南企业优化风险管理与投资策略提供了实证支持，也为政策制定者应对全球能源市场波动提供了理论参考。
  • dc.description.abstract
  • The global crude oil market has long been characterized by high volatility, particulary in recent years, with increasing uncertainty in international oil prices. Oil price flucuations amplify financial risks for global enterprises, especially industries heavily reliant on petroleum as a production input. Vietnam, a key economy in Southeast Asia, has demonstrated remarkable performance in international trade and industrialization. However, its economic structure remains highly energy-dependent, with approximately 70% of domestic crude oil and refined petroleum demand reliant on imports. The uncertainty in international oil prices poses significant macroeconomic challenges for Vietnam, impacting industrial output, inflation, foreign exchange reserves, and overall economic growth. Global market volatility, combined with domestic inflationary pressures, creates a dual challenge for Vietnamese enterprises in production planning and capital management. In practice, Vietnamese enterprises often face compressed profit margins, rising financing costs, and cascading effects that exacerbate financial risks and destabilize economic growth.This study examines the impact of international oil price uncertainty on the financial risks of Vietnamese listed companies. Utilizing financial data from 2008 to 2023 and employing the Z-score model and regression analysis, the research investigates how oil price volatility influences corporate financial risks, industry-specific disparities, and investment behaviors. Findings reveal that oil price uncertainty significantly elevates corporate financial risks, with lagged effects and notable heterogeneity across industries. Furthermore, research has found that oil price uncertainty weakens corporate capital expenditure, leading to delays and reductions in investment activities, and negatively impacting firm's debt repayment ability and liquidity. The study provides empirical support for Vietnamese firms to optimize risk management and investment strategies, while offering policymakers theoretical insights to address global energy market volatility.
  • dc.date.issued
  • 2025-05-28
  • dc.date.oralDefense
  • 2025-05-15
  • dc.relation.citedreferences
  • 1.胡光辉.国际石油价格波动对中国经济的影响：理论、机制与对策[D].河北大学, 2013.2.李程, 李佳馨. 国际能源价格波动对中国金融市场的风险溢出效应研究[J]. 价格月刊, 2024, (10): 9-18.3.李明芳, 徐弋然, 赵鲁涛. 国际原油市场价格风险研究——基于股票市场的不对称溢出效应. 煤炭经济研究. 2024, 44(5): 6-14.4.孟刚,张意翔.国际原油价格波动对我国经济的影响与对策建议[J].工业技术经济,2008,(02):114-118.5.孙焱林,刘垚.国际石油价格波动对石油进出口国汇率的影响[J].统计与决策, 2019(21):5.6.周杰琦.国际油价波动对经济增长的影响——基于中国的实证分析[J].技术经济与管理研究,2010,(04):12-157.Altman E I. Predicting financial distress of companies: revisiting the Z-score and ZETA® models[M] Handbook of research methods and applications in empirical finance. Edward Elgar Publishing, 2013: 428-456.8.Arezki, R., & Blanchard, O. Seven questions about the recent oil price slump. IMFdirect, 2014.9.Baker S R, Bloom N, Davis S J. Measuring economic policy uncertainty[J]. The quarterly journal of economics, 2016, 131(4): 1593-1636.10.Baumeister C, Peersman G. The role of time‐varying price elasticities in accounting for volatility changes in the crude oil market[J]. Journal of applied econometrics, 2013, 28(7): 1087-1109.11.Bernanke B S. Irreversibility, uncertainty, and cyclical investment[J]. The quarterly journal of economics, 1983, 98(1): 85-106.12.Bloom N. The impact of uncertainty shocks[J]. econometrica, 2009, 77(3): 623-685.13.Bollerslev T, Chowdhury M. Exchange rate uncertainty and corporate investment: Evidence from emerging markets [J]. Journal of International Money and Finance, 2019, 95: 137-153.14.Bouri E, Gupta R, Tiwari A K, et al. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions[J]. Finance Research Letters, 2017, 23: 87-95.15.Campa J M, Goldberg L S. The effect of exchange rate movements on US export prices[J]. Review of Economics and Statistics, 2017, 99(3): 561-577.16.Chen S S. Do higher oil prices push the stock market into bear territory?[J]. Energy Economics, 2010, 32(2): 490-495.17.Chen S S. Oil price pass-through into inflation[J]. Energy economics, 2009, 31(1): 126-133.18.Corden W M, Neary J P. Booming Sector and De-Industrialisation in a Small Open Economy[J]. 1982.19.Elder J, Serletis A. Oil price uncertainty[J]. Journal of money, credit and banking, 2010, 42(6): 1137-1159.20.Fama E F, French K R. Testing trade-off and pecking order predictions about dividends and debt[J]. Review of financial studies, 2002: 1-33.21.Ghosh S. Examining crude oil price–Exchange rate nexus for India during the period of extreme oil price volatility[J]. Applied Energy, 2011, 88(5): 1886-1889.22.Goh K, Kim J. Oil price shocks and exchange rate dynamics in emerging economies[J]. Journal of Emerging Market Finance, 2018, 17(4): 485-507.23.Gulen H, Ion M. Policy uncertainty and corporate investment[J]. The Review of financial studies, 2016, 29(3): 523-564.24.Gupta R, Modise M P. Does the source of oil price shocks matter for South African stock returns? A structural VAR appROAch[J]. Energy Economics, 2013, 40: 825-831.25.Hamilton J D. Causes and Consequences of the Oil Shock of 2007-08[R]. National Bureau of Economic Research, 2009.26.Hamilton, J. D. Oil and the Macroeconomy since World War II[J]. Journal of Political Economy, 1983, 91(2), 228–248.27.Hassan M K, Mahmud S. Exchange rate exposure and financial risk: Evidence from South Asian economies[J]. Emerging Markets Review, 2016, 28: 89-105.28.Jo S. The effects of oil price uncertainty on global real economic activity[J]. Journal of Money, Credit and Banking, 2014, 46(6): 1113-1135.29.Jones D W, Leiby P N, Paik I K. Oil price shocks and the macroeconomy: what has been learned since 1996[J]. The Energy Journal, 2004, 25(2): 1-32.30.Kang W, Ratti R A, Yoon K H. The impact of oil price shocks on the stock market return and volatility relationship[J]. Journal of International Financial Markets, Institutions and Money, 2015, 34: 41-54.31.Kilian L, Park C. The impact of oil price shocks on the US stock market[J]. International economic review, 2009, 50(4): 1267-1287.32.Li L, Chen H, Xiang J. Oil price uncertainty, financial distress and real economic activities: Evidence from China[J]. Pacific-Basin Finance Journal, 2023, 81: 102103.33.Narayan P K, Sharma S S. New evidence on oil price and firm returns[J]. Journal of Banking & Finance, 2011, 35(12): 3253-3262.34.Nguyen, Huu Minh, Tony Cavoli, and John K. Wilson. "The determinants of inflation in Vietnam, 2001-09." ASEAN Economic Bulletin (2012): 1-14.35.Phan D H B, Sharma S S, Narayan P K. Oil price and stock returns of consumers and producers of crude oil[J]. Journal of International Financial Markets, Institutions and Money, 2015, 34: 245-262.36.Sadorsky P. Modeling renewable energy company risk[J]. Energy Policy, 2012, 40: 39-48.37.Sadorsky P. Oil price shocks and stock market activity[J]. Energy economics, 1999, 21(5): 449-469.38.Tariq M, Ahmed Z. Exchange rate volatility and corporate profitability: Evidence from the Asia-Pacific region[J]. Asian Economic Policy Review, 2020, 15(2): 236-252.39.Trang, Nguyen Thi Ngoc, Tran Ngoc Tho, and Dinh Thi Thu Hong. "The impact of oil price on the growth, inflation, unemployment and budget deficit of Vietnam." International Journal of Energy Economics and Policy 7.3 (2017): 42-49.40.Tsai C L. How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?[J]. Energy Economics, 2015, 50: 47-62.41.Wang Y, Wu C, Yang L. Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries[J]. Journal of Comparative economics, 2013, 41(4): 1220-1239.
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