房地产业与金融业的波动溢出效应研究

发布时间：2018-01-30 18:07

本文关键词： 房地产业金融业波动溢出 MVGARCH-BEKK-t模型 Wald检验　出处：《现代管理科学》2014年08期 　论文类型：期刊论文

【摘要】：文章基于MVGARCH-BEKK-t模型,结合Wald检验,实证研究了次贷危机前、后房地产业和金融业间的波动溢出效应。通过分析得出:我国房地产业和金融业收益率的波动均受自身历史波动的影响,而且波动具有聚集性和持久性,但次贷危机前波动的持久性强于次贷危机后;次贷危机前,5%显著水平下,房地产业与金融业之间不存在波动溢出效应;次贷危机后,房地产业对金融业存在单向的波动溢出效应。因此,后危机时代,政府要进一步控制房地产业的风险,严防房地产业风险向金融系统扩散。
[Abstract]:Based on MVGARCH-BEKK-t model and Wald test, this paper empirically studies the pre-subprime mortgage crisis. By analyzing the volatility spillover effect between the real estate industry and the financial industry, it is concluded that the volatility of the real estate industry and the financial industry is affected by their own historical fluctuations, and the volatility has the characteristics of aggregation and persistence. But the persistence of the fluctuation before the sub-prime crisis is stronger than that after the sub-prime crisis. Under the significant level of 5% before the subprime mortgage crisis, there is no volatility spillover effect between the real estate industry and the financial industry. After the subprime mortgage crisis, the real estate industry has a one-way volatility spillover effect on the financial industry. Therefore, in the post-crisis era, the government should further control the risk of the real estate industry and strictly prevent the risk of real estate industry from spreading to the financial system.
【作者单位】：江苏大学财经学院;江苏大学;东南大学经济管理学院;
【基金】：国家自然科学基金项目(项目号:71071034,71271103) 中国博士后科学基金第54批面上资助(项目号:2013M541603) 江苏省高校哲学社科基金项目(项目号:2013SJB6300018)
【分类号】：F299.23;F832
【正文快照】： 一、前言作为经济发展重要的两个产业,房地产业和金融业之间有着密切联系。一方面,房地产项目开发需要巨额资金支持,除了主要来源于银行信贷,还有一部分来源于上市融资、保险、基金、信托、期货等其它金融类产业;另一方面,消费者对房地产业产品的消费也需要银行的支持。因此,

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