中国股市与房市间的双向风险溢出效应研究

doi:10.3969/j.issn.1008-2670.2025.01.006

	中国股市与房市间的双向风险溢出效应研究
其他题名	Bidirectional Risk Spillover Effect between China's Stock Market and Housing Market:Analysis Based on Time-Varying Copula-CoVaR Model
	肖强; 陈立媛
	2025-01-19
发表期刊	山东财经大学学报
卷号	37 期号:1 页码:58-74,101
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.
其他摘要	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
DOI	10.3969/j.issn.1008-2670.2025.01.006
URL	查看原文
收录类别	AMI
ISSN	2095-929X
语种	中文
原始文献类型	Periodical
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/39080
专题	统计与数据科学学院
作者单位	兰州财经大学统计学院,甘肃兰州 730020
第一作者单位	统计与数据科学学院
推荐引用方式 GB/T 7714	肖强,陈立媛. 中国股市与房市间的双向风险溢出效应研究[J]. 山东财经大学学报,2025,37(1):58-74,101.
APA	肖强,&陈立媛.(2025).中国股市与房市间的双向风险溢出效应研究.山东财经大学学报,37(1),58-74,101.
MLA	肖强,et al."中国股市与房市间的双向风险溢出效应研究".山东财经大学学报 37.1(2025):58-74,101.