CAJ | 학술논문

利用基于极值理论的VAR模型和CD模型，在检验了银行业及房地产业个体机构风险水平的基础上，研究了2个行业内及行业间的风险传染情况，并将房地产业与银行和其他行业间的风险传染特征进行比较。结果表明，房地产业发生风险的概率较大，危机后房地产业和银行业之间的传染性显著增加，并且银行业与房地产业之间的风险传染概率明显高于银行业与其他行业之间的风险传染概率。据此，提出了一系列政策建议，以增强对风险传染的防控能力。
이용기우겁치이론적VAR모형화CD모형，재검험료은행업급방지산업개체궤구풍험수평적기출상，연구료2개행업내급행업간적풍험전염정황，병장방지산업여은행화기타행업간적풍험전염특정진행비교。결과표명，방지산업발생풍험적개솔교대，위궤후방지산업화은행업지간적전염성현저증가，병차은행업여방지산업지간적풍험전염개솔명현고우은행업여기타행업지간적풍험전염개솔。거차，제출료일계렬정책건의，이증강대풍험전염적방공능력。
In this paper, we conduct an empirical study on the possibility of the internal risks and contagion risks in banks and real estate industry with the help of VAR and CD model in Extreme Value Theory. The results indicate that the financial crisis increases the risk in the real estate industry and banks, it was also found out that the crisis significantly increases the contagion risks between the two industries; Moreover, the contagion risk between banks and real estate industry is higher than that between banks and other industries. The paper finally put forward some policy-making sugges- tions regarding strengthening the ability of risk management.