基于Copula函数的中国房地产业与银行业风险传染研究

doi:10.12068/j.issn.1005-3026.2021.04.018

东北大学学报（自然科学版） ›› 2021, Vol. 42 ›› Issue (4): 582-588.DOI: 10.12068/j.issn.1005-3026.2021.04.018

基于Copula函数的中国房地产业与银行业风险传染研究

苑莹，刘睿，许波

(东北大学工商管理学院，辽宁沈阳110169)

修回日期:2020-07-27 接受日期:2020-07-27 发布日期:2021-04-15
通讯作者: 苑莹
作者简介:苑莹(1980-)，女，辽宁沈阳人，东北大学教授，博士生导师.
基金资助:
国家社会科学基金资助项目(18BJY238).

Research on Risk Contagion of China′s Real Estate Industry and Banking Industry Based on Copula Function

YUAN Ying， LIU Rui， XU Bo

School of Business Administration， Northeastern University， Shenyang 110169， China.

Revised:2020-07-27 Accepted:2020-07-27 Published:2021-04-15
Contact: YUAN Ying
About author:-
Supported by:
-

摘要/Abstract

摘要： 针对房地产业与银行业间存在的非线性及动态时变的复杂关系，以2005-01-04~2018-12-28日数据为研究样本，通过动态时变Copula函数对中国房地产业与银行业间非线性相依关系及金融危机时期的风险传染进行检验，并基于金融关联理论及行为金融理论探究了三种风险传染渠道.结果表明，中国房地产业与银行业间存在非线性、非对称的相依结构，与非危机时期相比，金融危机时期两行业尾部依赖性明显增强，存在风险传染.传染渠道探究结果表明，流动性及投资者情绪是中国房地产业与银行业间风险传染的渠道，而信息关联不是两行业间的风险传染渠道.

关键词: 风险传染；流动性；投资者情绪；信息关联；Copula函数

Abstract: Aiming at the non-linear， dynamic time-varying complex relationship between the real estate industry and the banking industry， taking the daily data from 2005-01-04 to 2018-12-28 as the research sample， the dynamic time-varying Copula function was used to test the nonlinear interdependence and the risk contagion between China′s real estate industry and the banking industry， and three contagion channels were explored based on financial association theory and behavioral finance theory. The results showed that there is a non-linear and asymmetric dependent structure between China′s real estate industry and banking industry. Compared with the non-crisis period， the two industries′ tail dependence is significantly increased during the financial crisis， so there is a risk of contagion. The results of the contagion channel research showed that liquidity and investor sentiment are the channels of risk contagion between China′s real estate industry and banking industry while information association is not the channel of risk contagion between them.

Key words: risk contagion; liquidity; investor sentiment; information association; Copula function

中图分类号:

F832.3

苑莹，刘睿，许波. 基于Copula函数的中国房地产业与银行业风险传染研究[J]. 东北大学学报（自然科学版）, 2021, 42(4): 582-588.

YUAN Ying， LIU Rui， XU Bo. Research on Risk Contagion of China′s Real Estate Industry and Banking Industry Based on Copula Function[J]. Journal of Northeastern University(Natural Science), 2021, 42(4): 582-588.

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基于Copula函数的中国房地产业与银行业风险传染研究

Research on Risk Contagion of China′s Real Estate Industry and Banking Industry Based on Copula Function

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