基于时变Copula的房地产业与银行业尾部动态相关性研究

发布时间：2018-04-19 12:11

本文选题：时变Copula + GARCH　；参考：《管理工程学报》2013年03期

【摘要】：文献多数从线性相关和静态相关的视角研究房地产业与银行业(金融业)的相关性,本文基于大智慧"板块指数"中的"房地产"(代表房地产业)和"银行类"(代表银行业)数据,采用GARCH、EVT和时变Copula模型研究房地产业和银行业的动态尾部相关性。实证结果表明,时变Copula模型刻画尾部相关性的效果优于静态模型,时变SJC-Copula的建模效果相对最好;样本考察期内,上、下尾相关系数均为正,分别落在区间[0.2287,0.6146]和[0.4666,0.7143]内,且下尾相关系数均大于上尾相关系数,说明市场低迷时,房地产业和银行业易产生共生风险,并且低迷时的相关性强于活跃时的相依性;上、下尾相关系数均具有自相关性、ARCH效应。分析月均下尾相关系数发现,房地产业和银行业的下尾相关性具有"政策效应":下尾相关系数相对较低的月份往往伴有严厉的房地产调控政策出台或之前的月份出台了调控政策,意味着房地产调控政策将弱化房地产业和银行业的下尾相关性。未来应继续执行或出台更严厉的调控政策,降低银行业与房地产业的共生风险,促进房地产业的健康发展。
[Abstract]:Most of the literature studies the correlation between real estate industry and Banking (financial industry) from the linear and static perspective. Based on the data of "real estate" (representing real estate) and "banking category" (representing Banking) in the big wisdom "plate index", this paper uses GARCH, EVT and time-varying Copula model to study the dynamic tail phase of the real estate industry and the banking industry. The empirical results show that the effect of time-varying Copula model depicting the tail correlation is better than that of the static model, and the modeling effect of time variant SJC-Copula is the best. The correlation coefficient of the upper and lower tail is positive in the period of sample investigation, and it falls in the interval [0.2287,0.6146] and [0.4666,0.7143] respectively, and the correlation coefficient of the lower tail is larger than the correlation coefficient of the upper and the tail. When the market is depressed, the real estate industry and the banking industry are liable to produce symbiotic risk, and the correlation of the downturn is stronger than the dependence of active time. The correlation coefficient of the lower tail has autocorrelation and ARCH effect. The lower months are often accompanied by severe real estate regulation policies, or previous months of regulation, which means that the real estate regulation policy will weaken the lower end relevance of the real estate industry and the banking industry. The future should continue to carry out or introduce more stringent regulation policies to reduce the risk of intergrowth between the banking and real estate industry and promote real estate. The healthy development of the industry.

【作者单位】：东南大学经管学院;
【基金】：国家自然科学基金资助项目(71071034)
【分类号】：F224;F293.3;F832.3

【参考文献】