中国股市与房市间的双向风险溢出效应研究——基于时变Copula-CoVaR模型分析  

Bidirectional Risk Spillover Effect between China’s Stock Market and Housing Market: Analysis Based on Time-Varying Copula-CoVaR Model

作　　者：肖强 陈立媛 XIAO Qiang;CHEN Liyuan(School of Statistics,Lanzhou University of Finance and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学统计学院,甘肃兰州730020

出　　处：《山东财经大学学报》2025年第1期58-74,101,共18页Journal of Shandong University of Finance and Economics

基　　金：国家自然科学基金项目“分位数动态因子模型的构建及其应用”(72163019)。

摘　　要：探讨我国房市与股市间的双向风险溢出效应。采用IFM两步法确定边际和联合Copula分布,并据此计算CoVaR值以构建最优时变Copula-CoVaR模型,测度股市与房市之间的风险溢出效应,提出绝对和相对风险溢出测度并进行实证研究,指出风险溢出效应的不对称性。结果发现:时变t-Copula更适合分析双向风险溢出。相对风险溢出测量更适合于双向风险溢出强度的计算。房地产市场对股票市场具有单向风险溢出,对不同的股票价格指数的风险溢出强度存在显著差异。不同股票的价格指数对国房景气指数单向风险溢出强度的变化趋势具有较强的一致性。房市与股市之间的双向风险溢出具有不对称性,在样本期内,后者对前者的单向风险溢出强度高于前者。建议宏观调控政策制定时要多元化、精准化并兼顾不同市场的相互影响。This study explores the bidirectional risk spillover effects between China’s housing market and stock market.The study firstly determines the marginal and joint Copula distributions by using the IFM two-step method,and based on this,calculates CoVaR values to construct the optimal time-varying Copula-CoVaR model,and measures the risk spillover effects between the stock market and the housing market;secondly proposes absolute and relative risk spillover measurements for empirical analysis;and finally,points out the asymmetry of the risk spillover effects.The results are as follows:a.Time-varying t-Copula is more suitable for analyzing bidirectional risk spillover;b.Relative risk spillover measurement is more suitable for calculating the intensity of bidirectional risk spillover;c.The real estate market has a one-way risk spillover effect on the stock market,and there are significant differences in the intensity of risk spillover on different stock price indices;d.The price indices of different stocks have strong consistency in the changing trend of one-way risk spillover intensity of the national housing prosperity index;and e.The bidirectional risk spillover between the housing market and the stock market exhibits asymmetry,and during the sample period,the latter has a higher one-way risk spillover intensity than the former.

关 键 词：风险不对称性 CoVaR模型 双向风险溢出 时变Copula函数 

分 类 号：F830[经济管理—金融学]