基于变点CAViaR模型的中国房地产市场风险演化模式研究

发布时间：2018-03-25 06:47

本文选题：房地产市场　切入点：市场风险演化模式　出处：《系统工程》2017年04期

【摘要】：利用申万一级行业-房地产业指数(200001~201501)数据,通过构建CAViaR模型来对我国房地产市场风险演化模式进行实证分析,研究结果表明:我国房地产市场受外部宏观调控政策冲击,自身走势存在多个突变点;房地产业在不同景气阶段内,其市场风险演化模式特征具有明显差异。总体上,非对称模型(AS)最适合用于刻画我国房地产业市场风险演化模式,而且我国房地产市场风险具有显著的自相关性,前期VaR值对随后的VaR值产生显著的正向影响。房地产市场对利空消息的冲击响应程度要显著大于对利好消息的冲击响应程度,具有显著的非对称性。在行业平稳发展时期,房地产市场对利空和利好消息的冲击具有对称性;在金融危机期间,房地产市场对利空消息的响应程度要大于利好消息,但在行业持续衰退时期,房地产市场对利好消息的响应程度就显著大于对利空消息的响应程度。
[Abstract]:By using the data of Shenhan First-Class industry-real estate industry index 200001 / 201501, this paper makes an empirical analysis on the risk evolution model of China's real estate market by constructing the CAViaR model. The results show that the real estate market of our country is impacted by external macro-control policies. There are many abrupt points in the trend of real estate industry, the characteristics of market risk evolution mode of real estate industry are obviously different in different boom period. In general, asymmetric model is the most suitable to describe the evolution model of real estate market risk in our country. Moreover, the risk of Chinese real estate market has significant autocorrelation, and the early VaR value has a significant positive impact on the subsequent VaR value. The real estate market response to the impact of bad news is significantly greater than the impact response to the good news. During the period of steady development of the industry, the impact of the real estate market on the good news and the bad news is symmetrical. During the financial crisis, the real estate market is more responsive to the bad news than the good news. But during the continuing recession, the response of the real estate market to the good news is significantly greater than the response to the bad news.
【作者单位】：广东财经大学金融学院;华南理工大学工商管理学院;
【基金】：2017年度广州市哲学社会科学“十三五”规划课题(2017GZYB20) 2014年广东省高等学校优秀青年教师培养计划项目(Yqgdufe1402) 2017年广东大学生科技创新培养专项资金(广东攀登计划)一般项目(pdjh2017b0214) 教育部人文社会科学研究规划项目(13YJA790033)
【分类号】：F299.23

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