Distribution of Net Operating Cash-Flow-at-Risk: The Dynamic Panel Data Model

Adopting the basic principles of the comparables approach to measuring Cash-Flow-at-Risk, this paper examines the operating CFaR of Chinese non-financial listed firms with a Dynamic Panel Data estimation based on the comparable industry clusters and the economic determinants of the operating cash flow. The empirical structural functions of the net operating cash flow and the empirical distributions of CFaR are achieved, which provide a solid basis for cash flow risk management. The results show that the representative firm in the comparable industry cluster of construction and real estate industries is exposed to higher operating CFaR than that in the largely monopoly-dominated industry cluster of mining, transport and storage, and utilities industries, while the traditional manufacturing industry shows moderate operating CFaR exposure as compared with the above two industry clusters.