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  

Dependency Research on Index of Real Estate and Financial Plate——Analysis on Copula-Kermel Model

作　　者：刘迎春[1] 

机构地区：[1]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

出　　处：《数学的实践与认识》2014年第17期30-37,共8页Mathematics in Practice and Theory

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.The relation of the real estate market and the financial market returned closely more and more in resent years. This paper selects daily return datas of the real estate plate and the financial plate from July the 3rd of 2001 to September the 30th of 2011, we estimate the marginal distribution of a single index Return Using nonpaxametric kernel density estimation method and Copula method was used to quantitatively characterize the dependency structure and Tail dependence of the two index returns. The empirical results show that T-Student- Copula is The best form of function to characterize the dependency structure of the two index returns and the Two indexes have a strong tail relationship, we cant reduce the risk of our portfolio by investing on the two stocks. The government should make effort to prevent real estate bubble intensifies when they Take measures to promote the development of financial industry in the formulation of macroeconomic policy, on the other side, The government should make effort to prevent the decline of the financial sector when they make measures to regular the real estate.

关 键 词：COPULA 核密度 房地产与金融 尾部相关 

分 类 号：F224[经济管理—国民经济] F299.23F832