房市与建筑建材板块的信息传导关系研究——基于VAR-BEKK-GARCH二元模型  

The Information Transmission Between the Housing Plate and Building Materials Sector——Based on VAR-BEKK-GARCH Binary Model

作　　者：罗燕芳[1] 刘小龙[1] 

机构地区：[1]华南理工大学工商管理学院,广州510640

出　　处：《河南科学》2013年第8期1294-1299,共6页Henan Science

基　　金：国家自然科学基金项目(71071059);中央高校基本科研业务费专项资金资助项目(2012ZMO031)

摘　　要：通过运用VAR-BEKK-GARCH模型对房市和建筑建材板块两者间的信息传导关系进行实证分析,发现了两者之间存在协整关系,即存在双向价格溢出效应,但短期内,它们彼此的冲击具有不对称性,主要是房市对建筑建材板块冲击比较明显.另外,两市之间存在着波动溢出效应,但是它们的条件相关系数具有不稳定性,反映了两市一体化程度比较低.The information transmission relationship between house market and building construction materials sector is analyzed through VAR-BEKK-GARCH model. The result shows that co-integration relationship exists between them, which means a two-way price spillover effects. But in the short term, the impact is asymmetry, since the impact from house plate on building materials sector is more noticeable. There is volatility spillover effect between the two sectors, however the correlation coefficient is not stable,which reflects the degree of integration is low.

关 键 词：VAR—BEKK—GARCH 房市 建筑建材板块 价格溢出效应 波动溢出效应 

分 类 号：F830.9[经济管理—金融学]