摘要
房地产业金融风险的不断积累,是构成系统性金融风险的潜在影响因素。本文基于TGARCH模型拟合了房地产业对其他金融业的边际分布,主要使用时变SJCCopula-CoVaR模型分析房地产业对银行业、证券业及其他金融业的风险溢出效应程度和差异。结果表明:房地产业对银行业的风险溢出效应值最大,其次为证券业。同时,房地产业对各个金融业的风险溢出效应在危机事件前后具有较大的差异。最后,结合我国房地产业的发展实际,提出相关风险防控建议。
The continuous accumulation of financial risks in the real estate industry is a potential influencing factor of systemic financial risks.Based on the TGARCH model,this paper fitting the marginal distribution of real estate industry to other financial industries,mainly using the time-varying SJCCOPula-CoVAR model to analyze the degree and difference of dynamic risk spillover effect of real estate industry to banking,securities industry,insurance industry and other financial industries.The results show that the risk spillover effect of real estate industry on banking industry is the largest,followed by the securities industry.At the same time,the spillover effect of the real estate industry on the financial industry is quite different before and after the crisis.Finally,combined with the actual development of China's real estate industry,the relevant risk prevention and control suggestions.
出处
《价格理论与实践》
北大核心
2020年第2期87-90,175,共5页
Price:Theory & Practice
