房地产市场与绿色金融市场的高阶矩风险溢出效应分析  

Analysis of High-order Moment Risk Spillover Effect of Real Estate Market and Green Finance Market

作　　者：齐锡晶[1] 翟宇星 翟嘉 QI Xijing;ZHAI Yuxing;ZHAI Jia(School of Resources and Civil Engineering,Northeastern University,Shenyang 110819,China;School of Economics,Beijing International Studies University,Beijing 100024,China)

机构地区：[1]东北大学资源与土木工程学院,辽宁沈阳110819 [2]北京第二外国语学院经济学院,北京100024

出　　处：《东北大学学报（社会科学版）》2024年第5期44-54,共11页Journal of Northeastern University(Social Science)

基　　金：北京市社会学科基金资助项目(22JJC036)。

摘　　要：随着我国绿色金融蓬勃发展,房地产业转型逐步提速,房地产市场与绿色金融市场互联互通程度逐渐加深,科学衡量两个市场间风险溢出效应变得尤为重要。基于GARCHSK模型和DY溢出指数模型,分析了房地产市场与绿色金融市场的发展现状、溢出机制及各阶矩风险溢出,聚焦高阶矩风险溢出。研究结果表明,两市场间存在具有显著时变特征的双向风险溢出;多数情况下,房地产市场是风险的净传递方,且对不同绿色金融市场的风险溢出情况有所不同。根据研究结果,围绕市场监管者、房地产开发企业和绿色金融投资者三个层面提出了政策建议。With the vigorous development of green finance in China,the transformation of the real estate industry is gradually accelerating.The interconnection between the real estate market and the green finance market is deepening,making it increasingly important to scientifically measure the risk spillover effect between the two markets.Based on the GARCHSK model and the DY spillover index model,the current development status,spillover mechanisms,and various moments risk spillover between the real estate market and the green finance market are analyzed,focusing on the high-order moment risk spillover.The research results indicate that there is significant time-varying bi-directional risk spillover between the two markets;in most cases,the real estate market is a net transmitter of risk,and the risk spillover situation to different green finance markets varies.Based on the research results,policy recommendations are provided for market regulators,real estate development enterprises,and green finance investors.

关 键 词：房地产市场 绿色金融 高阶矩 风险溢出效应 

分 类 号：F832[经济管理—金融学]