中国汽车行业风险相依性测度  

Measurement of Risk Dependency in China's Automotive Industry

作　　者：王春丽[1] 白昌易 董琳慧 WANG Chun-li;BAI Chang-yi;DONG Lin-hui(School of Statistics,Dongbei University of Finance and Economics,Dalian 116025,China;School of Economics and Management,Dalian Minzu University,Dalian 116600,China)

机构地区：[1]东北财经大学统计学院,辽宁大连116025 [2]大连民族大学经济与管理学院,辽宁大连116600

出　　处：《数学的实践与认识》2024年第9期26-37,共12页Mathematics in Practice and Theory

基　　金：国家社会科学基金(20BTJ040)“中国汽车产业风险测度研究”阶段性成果。

摘　　要：汽车行业作为主导国民经济发展的主要行业之一,对促进消费拉动经济增长发挥了重要作用.从整体相依性和尾部相依性两个层面,采用最优ARMA-GARCH-Copula模型对中国汽车行业及其相关行业的风险关联度进行测算.结果表明,国际贸易争端加剧了中国汽车行业与其相关行业的风险传导,其中相依程度最大的是汽车整车与汽车零部件行业,其次为钢铁行业,而汽车行业与金融行业的风险相依关系最小.As one of the leading industries in the development of national economy,automo-tive industry plays an indisputable role in speeding up consumption and promoting economic development.From the two aspects of overall dependence and tail dependence,the opti-mal ARMA-GARCH-Copula model is applied to measure the risk dependence among China's automotive industry and its related industries in China.The results show that the trade dis-pute deepens the risk dependence of automotive industry and its related industries in China,in which the risk dependence among whole vehicle industry and auto parts industry is the largest,followed by steel industry,and the risk dependence between traditional financial industry and automotive industry is the least.

关 键 词：汽车行业 风险相依性测度 ARMA-GARCH-Copula模型 

分 类 号：F426.471[经济管理—产业经济]