基于Vine Copula的REITs市场极端风险溢出效应研究  

On Extreme Risk Spillover Effect of REITs Market Based on Vine Copula

作　　者：刘坚[1] 刘晨 Liu Jian;Liu Chen(School of Economics&Management,Changsha University of Science&Technology,Changsha 410114,China)

机构地区：[1]长沙理工大学经济与管理学院,湖南长沙410114

出　　处：《长沙理工大学学报（社会科学版）》2023年第4期78-90,共13页Journal of Changsha University of Science and Technology：Social Science

基　　金：国家自然科学基金资助项目(71871030);湖南省教育厅科学研究重点项目(22A0201)。

摘　　要：随着金融全球化不断推进,REITs(不动产信托投资基金)市场价格震荡幅度加剧,不同REITs市场间风险扩散加快,需准确度量价格波动带来的风险及其溢出传导机制。文章从多市场关联角度出发,结合Vine Copula模型与CoVaR模型,研究REITs市场间的极端风险溢出效应。研究结果表明:国际REITs市场间的相依性存在明显的区域集聚特征;欧美REITs市场对外的尾部相依性均值较高,亚洲REITs市场之间的尾部相依性偏弱;主要REITs市场间大部分都具有双向的风险溢出效应且呈现出非对称性,较强相依结构的REITs市场间的双向风险溢出效应极其明显。本研究有助于从整体上把握REITs市场间极端风险溢出效应,为维护金融稳定、防范不同地区市场间风险传导提供借鉴,帮助投资者进行风险管理。With the continuous advancement of financial globalization,the volatility of REITs(real estate trust and investment funds)market price has intensified,and the risks spread among different REITs markets has accelerated.It is necessary to accurately measure the risks brought by price fluctuations and their spillover transmission mechanisms.From the perspective of multi-market correlation,this paper studies the extreme risk spillover effects via combining Vine Copula model and CoVaR(contingent value at risk)model.The main conclusions are as follows:The interdependence among international REITs markets has obvious regional agglomeration characteristics;the average tail interdependence outward in European and American markets is higher,but the tail interdependence among Asian REITs markets is weaker;most of the major REITs markets have a two-way risk spillover effects and show asymmetry;the two-way risk spillover effects among REITs markets with strong interdependence structures are extremely obvious.This study is helpful to globally grasp the extreme risk spillover effects of REITs markets,to provide reference for maintaining financial stability and preventing risk transmission among markets in different regions,and to help investors manage risks.

关 键 词：REITS 极端风险 溢出效应 Vine Copula CoVaR 

分 类 号：F299.23[经济管理—国民经济] F832.51