Analysis of High-order Moment Risk Spillover Effect of Real Estate Market and Green Finance Market

doi:10.15936/j.cnki.1008-3758.2024.05.006

Abstract

Abstract: With the vigorous development of green finance in China， the transformation of the real estate industry is gradually accelerating. The interconnection between the real estate market and the green finance market is deepening， making it increasingly important to scientifically measure the risk spillover effect between the two markets. Based on the GARCHSK model and the DY spillover index model， the current development status， spillover mechanisms， and various moments' risk spillover between the real estate market and the green finance market are analyzed， focusing on the high-order moment risk spillover. The research results indicate that there is significant time-varying bi-directional risk spillover between the two markets; in most cases， the real estate market is a net transmitter of risk， and the risk spillover situation to different green finance markets varies. Based on the research results， policy recommendations are provided for market regulators， real estate development enterprises， and green finance investors.

Key words: real estate market; green finance; high-order moment; risk spillover effect

CLC Number:

F832

QI Xijing， ZHAI Yuxing， ZHAI Jia. Analysis of High-order Moment Risk Spillover Effect of Real Estate Market and Green Finance Market[J]. Journal of Northeastern University(Social Science), 2024, 26(5): 44-54.

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