我国银行业与房地产业极端风险溢出效应研究  

The Spillover Effect of Extreme Risk between Banking and Real Estate

作　　者：陈迅[1] 胡成春 花拥军[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《系统工程》2017年第8期127-133,共7页Systems Engineering

基　　金：国家社会科学基金资助项目(14BJY188);中央高校基本科研业务费项目(CQDXWL-2013-089)

摘　　要：本文通过CoVaR方法,结合GARCH模型和Copula函数,构建GARCH-Copula-CoVaR模型测度了银行与房地产两个行业在极端情况下的风险关联性及风险溢出效应。结果显示,两个行业在极端情况下具有较高的风险关联性,且在市场衰退时期相关性高于市场活跃时期;条件风险值CoVaR显示,两个行业存在双向的风险溢出效应,且风险溢出强度均超过50%,其中房地产的风险溢出性更强。This paper analyzes the risk spillover effect of banking and real estate in extreme cases based on CoVaR method with GARCH model and Copula function.The results show that the two sectors have a higher risk of association in extreme cases,and the degree is higher in downturn than the market in active period.The CoVaR value shows that there is a bidirectional risk spillover effects between banking and real estate,and the degree of risk over flow is more than 50 percents in both sides,of which real estate risk spillover stronger.

关 键 词：极值理论 广义帕累托分布 COPULA函数 尾部相关性 

分 类 号：F830[经济管理—金融学]