房地产板块与金融板块指数相关性研究——基于Copula-Kermel模型的分析

发布时间：2018-01-31 15:39

本文关键词： Copula 核密度房地产与金融尾部相关　出处：《数学的实践与认识》2014年17期 　论文类型：期刊论文

【摘要】：近年来,房地产市场与金融市场的关联关系越来越紧密.选取2001年7月3日至2011年9月30日房地产板块与金融板块指数日收益率数据,利用非参数核密度估计单指数收益率的边缘分布,采用Copula方法定量刻画两者的相关结构及尾部相关性.实证结果表明:T-Student-Copula是描述房地产和金融板块指数日收益率的最佳Copula函数形式,且两者具有较强的上尾和下尾相关关系,因此投资者不能通过投资这两类股票降低投资组合风险.另外,政府在制定宏观经济政策时,一方面需注意在采取措施促进金融行业发展时,要防范房地产泡沫的加剧,另一方面还需注意在对房地产业进行调控时,要防止金融业的衰退.
[Abstract]:In recent years, the relationship between real estate market and financial market is more and more close. From July 3rd 2001 to September 30th 2011, the daily yield data of real estate and financial sector index are selected. The nonparametric kernel density is used to estimate the marginal distribution of a single exponential rate of return. The Copula method is used to describe the correlation structure and tail correlation between them quantitatively. The empirical results show that:. T-Student-Copula is the best form of Copula function to describe the daily yield of real estate and financial sector index. And the two have a strong relationship between the tail and the tail, so investors can not reduce the portfolio risk by investing in these two types of stocks. In addition, the government in the formulation of macroeconomic policies. On the one hand, we should take measures to promote the development of the financial industry, to prevent the exacerbation of the real estate bubble, on the other hand, we should also pay attention to the regulation of the real estate industry, to prevent the recession of the financial industry.
【作者单位】：东北财经大学数学与数量经济学院经济计量分析与预测研究中心;
【分类号】：F224;F299.23;F832
【正文快照】： 1引言近年来,随着我国金融体制改革的深入及房地产业的飞速发展,房地产业与金融业在国民经济中不仅占据了越来越重要的地位,而且两者的相互影响和相互依赖程度更是与日俱增.在证券市场中,金融板块和房地产板块股票指数的波动性是否也相互影响,且具有怎样的相关结构及尾部相关

【参考文献】